Welcome to my personal page. For a quick reference here is my CV. I use this website to introduce myself as vividly and precisely as possible but also to keep track and spread activities I am doing that could benefit more people. I hardly ever separate my personal from professional life and so my personality traits appear in my professional collaborations and vice versa I try to form professional relationships that can motivate me to become a better person, learn and evolve as a human.
Mission
To establish an environment where everyone can thrive.
A microcosmos that can nourish and encourage people (and myself) to solve problems and reach new frontiers
Research Interests
Mean Field Games - Mean Field Control
Modelling problems as MFGs especially in finance with systemic risk as common noise. Questions of convergence of N-player games to Mean-Field Limit. Randomised Equilibria. Master Equation. Selection of equilibria. Numerical methods. Learning equilibria efficiently. MFGs with partial information
Reinforcement Learning
RL in games. Convergence of MDPs. Mixed and correlated equilibria. Solving stochastic control problems using RL. Modelling of RL as stochastic control problems. Relaxed controls. Deep RL. Kernel based RL. Regret minimisation. Efficient exploration. Applications in Finance and Economics. Mean Field RL.
Neural Network Approximations
ANN. RNN. Stochastic Approximation. Dynamical systems and Mean-Field interpretation. Theoretical guarantees for approximations.
Option Pricing and Volatility Modelling
Solving the curse of dimensionality using machine learning. Complex products. Interests rate models. Incomplete market pricing. Value adjustments. Maliavin Calculus
Stochastic models. Calibration of volatility surface. Machine Learning methods for volatility
Stochastic Analysis and Stochastic Control
Fractional Browninan Motion. Stochastic Processes with memory. Rough SDEs. Probabilistic Numerical methods. Applications.
Stochastic control. Optimal stoping problem. Hamilton-Jacobi-Bellman PDE
Machine Learining
Self-supervised ML. Clustering. Data Analysis. Applications in Finance. Probabilistic ML.
Values
These virtues are far from being the only ones or the most important and I do not claim to be even close to achieving them, however they always serve as guiding light for the path I want to follow and who I want to become. I chose to place them here so they remind me to have faith in the person I want to become
Courage for me, means to act having knowledge of the consequences (often having as well fear). To fight through adversity and hopelessness. To speak up when there is injustice, to question the established facts and to revolutionise.
Fidelity for me, means to have faith: in one person, in one relationship, in one's self, in an idea.
Generosity for me is to give more. Giving in a sense of equality is associated with justice -another virtue- but generosity is offering wholeheartedly for the sake of offering.
Compassion is related with understanding the feelings of others, of sharing the pain and the burden. For me she can enrich the life, building meaningful relationships and offering a widow for understanding one’s self.
Even though simplicity is often associated with a negative characterisation for me it is a virtue of utmost importance. It is the capability of explaining in plain words the complexity and living in simplicity can be a synonym of living effortlessly, without unnecessary complications. Humility is this instrument for achieving simplicity, offering a focus in the essentials.
Skills
- Stochastic analysis
- Stochastic control
- Probability theory
- Mean Field theory
- Dynamical System and Chaos Theory
- Optimal control
- BSDEs
- Partial Differential Equations
- Numerical Probability
- Simulation
- Game Theory
- Approximation Theory
- Numerical Methods
- Python, R
- Tensorflow: Sequential, Functional , Subclassing, Probablistic
- Pandas
- Statistical Learning
- Regression
- Inference
- Statistical testing
- Time Series: ARIMA, ARCH-GARCH, VAR, forecasting, causality, co-integration
- Neural Networks
- Reinforcement Learning
- Jax/coax
- OpenGym
- Optimisation
- HTML/CSS/Javascritp
- Option Pricing
- Volatility Modelling
- Risk Management
- Valuation
- Financial Econometrics
- Capital Markets Theory
- Corporate Finance
- General Equilibrium Models
- Dynamic Macroeconomics
- Microeconomics
- Machine Learning in Finance