University of Edinburgh
School of Mathematics
Probability and Stochastic Analysis Group
Teaching



At Technical University Berlin (DE) (Teacher)
 Stochastic Models (MSc), [30 students], [3236 L 298], Fall 2013/14
 Mathematics II for Economists, [200 students], [3236 L
028], Spring 2013
 Mathematics II for Economists, [200 students], [3236 L 028],
Spring 2012
 Mathematics I for Economists, [200 students], [3236 L 026],
Fall 2011/12
 Mathematics II for Economists, [170 students], [3236 L 028], Spring 2011
Teaching assistant

 Mathematical Finance II (MSc), Spring 2013
At Technical University Berlin (DE) (Teacher)
 Mathematics I for Economists, Fall 2011/12
 Mathematics II for Economists, Spring 2011
At Ecole Polytechnique (FR)
 Numerical methods for Stochastic Differential Equations,
Feb.Mar. 2009
At at Instituto Superior Tecnico (PT)
 Calculus I, Spring 2003/04
 Calculos II, Fall 2003/04
 Calculus III, Spring 2002/03
 Calculus II, Fall 2002/03
Supervision

Supervision of Postdoc fellows and Research assistants
 Research Assistants
 Matthieu de Langard ('15)
 Paula Fermin Cueto (Aug '19  Feb '20)
 Richard Gilchrist (Sep '20  Jan '21)
 Postdoctoral Fellows
 Xiang (Shawn) Li (Oct '20  Jan '21)

Supervision of PhD students (as 1st supervisor)
 Graduated PhD Student: Greig Smith, graduated Winter 2019
 Graduated PhD Student: William Salkeld (Orcid) graduated Summer 2020
 PhD Student: Vadim Platonov
 PhD Student: Calum Strange
 PhD Student: Daniel T. Adams

Supervision of PhD students (as 2nd supervisor)
 PhD Student: Shuren Tan
 PhD Student: Alina Kumakova
 PhD Student: Aigerim Davletzhanova

Supervision (MSc & BA)
 2018/19
 Undergraduate Thesis: Mateusz Mroczka, Meanfield games and optimal execution, BSc Mathematics, University of Edinburgh (UK)
 Undergraduate Thesis: A.~Buchannan, Jack, Liam, Microlending: Credit Risk modeling, MMaths Mathematics, University of Edinburgh (UK)
 MSc thesis: Naomi Bryson, Can Segmentation Enhance Credit Scoring?, MSc Financial Modelling and Optimization, University of Edinburgh (UK), with industrial partner Royal Bank of Scotland
 MSc thesis: Konstantinos Mylonakis, Customer churn prediction using Deep learning and other machine learning techniques, MSc Financial Modelling and Optimization, University of Edinburgh (UK), with industrial partner Sainsburyâ€™s Bank
 MSc thesis: Huihai Jiang, Chaos expansions for regressions and Credit valuation adjustment calculations, MSc Financial Modelling and Optimization, University of Edinburgh (UK)
 MSc thesis: Qingying He, Passive and Competitive investment strategies, MSc Computational Mathematical Finance, University of Edinburgh (UK)
 MSc thesis: Calum Strange, Concentration inequalities, SDEs and Numerical schemes , MSc Computational Mathematical Finance, University of Edinburgh (UK)
 2017/18
 MSc thesis: Duffy, David, Passive and Competitive Investment Strategies , MSc Computational Mathematical Finance, University of Edinburgh (UK)
 MSc thesis: Saken, Aigerim, Chaos expansions for regressions and Credit valuation adjustment calculations , MSc Computational Mathematical Finance, University of Edinburgh (UK)
 MSc thesis: Yu, Hang, Importance Sampling simulation, MSc Computational Mathematical Finance, University of Edinburgh (UK)
 MSc thesis: Zhang, Wei , Simulating Greeks without derivatives , MSc Computational Mathematical Finance, University of Edinburgh (UK)
 MSc thesis: Zimo, Guan, Cyber breach operational impact assesment, MSc Financial Modelling and Optimization, University of Edinburgh (UK), with industrial partner Scottish Widows
 Undergraduate Thesis: Dale, Jack, Liam, Credit Risk Modelling and Insights from Data Science, BSc Mathematics, University of Edinburgh (UK)
 2016/17
 MSc thesis: Samuelle Mazzanti, Hidden Markov Models for Credit Rating Transitions and Implications for Credit Risk, MSc Statistics, University of Bologna (It)
 MSc thesis: NikiMavra Kostouli, Credit Stress Testing, MSc Computational Mathematical Finance, University of Edinburgh (UK)
 MSc thesis: Borbala Kovacs, ValueatRisk Calculation using Copulas, MSc Computational Mathematical Finance, University of Edinburgh (UK)
 MSc thesis: Yuanting Hu, Backtesting expected shortfall, MSc Computational Mathematical Finance, University of Edinburgh (UK)
 MSc thesis: YueJian Zhang, Hamiltonian Monte Carlo, MSc Financial Modelling and Optimization, University of Edinburgh (UK)
 2015/16
 MSc thesis: Qiliang Chen, Multilevel Monte Carlo Methods and Fourier analysis, MSc Computational Mathematical Finance, University of Edinburgh (UK)
 MSc thesis: Yangsi Shangguan, BSDEs and stochastic Nash games under performance concerns, MSc Computational Mathematical Finance, University of Edinburgh (UK)
 MSc thesis: Jianan Liu, BSDEs, Wiener Chaos expansions and CVA calculation, MSc Financial Modelling and Optimization, University of Edinburgh (UK)
 MSc thesis: Georgios Samartzis, Large Deviations Principles and Fourier analysis, MSc Computational Mathematical Finance, University of Edinburgh (UK)
 MSc thesis: Nataliia Savina, Mean Variance Optimization to test portfolios, MSc Financial Modelling and Optimization, University of Edinburgh (UK)
 MMath thesis: Claire Stacey, MCMC Methods with Applications to Credit Risk, Masters in Mathematics, University of Edinburgh (UK)
 2014/15
 Summer Project: Seunghyun Seo, Risk free betting, Math Undergrad student, University of Edinburgh (UK)
 MSc thesis: Christos Karamitsos, MCMC methods and estimation of portfolio losses, MSc Financial Mathematics, University of Edinburgh (UK)
 MSc thesis: Xintian Huang, Computing Risk in Credit Portfolios, MSc Financial Mathematics, University of Edinburgh (UK)
 MSc thesis: Zhang Ran, Calibration of financial models, MSc Financial Modelling and Optimization, University of Edinburgh (UK) and Moody's Analytics (through SFRA)
 2013/14
 MSc thesis: Evelina Delikonstantinou, The Skorokhod Embedding Problem and its Applications in Finance, MSc Financial Modelling and Optimization, University of Edinburgh (UK)
 MSc thesis: Kirsty Wallace, The Effect of Supply and Demand on Premia Evaluation, MSc Financial Mathematics, University of Edinburgh
(UK)
 MSc thesis: Hongchao Fan, Simulations of Backward Stochastic Differential Equations with Applications to Finance, MSc Financial Mathematics University of Edinburgh (UK)
 BA Thesis: Nguyen Trong Duy, Asymptotic expansion
for BSDEs at TUBerlin (Berlin, DE)

CoSupervision
 MSc thesis: Xingyi (Sharon) Li, Meansquare Stability of Forward and
Backward Stochastic Differential Equation System, MSc Financial Mathematics, University of Edinburgh (Edinburgh, UK), 2012/13
 MSc thesis: Ana Lucia Baptista, First exit times of Brownian
Motion with Barriers, MSc Applied Mathematics, at Instituto Superior Tecnico (Lisbon, PT), 2009/10