Cristin Buescu

Room 537, Strand Building
Department of Mathematics
Kings College London, WC2R 2LS
Tel(direct line): +44(0)20 7848 2226
Tel (general office): +44(0)20 7848 2217
Fax: +44(0)20 7848 2017

Research interests: Mathematical and Computational Finance

My research analyses the impact that credit risk and funding have on the valuation of financial contracts in view of the regulatory framework and the market practice. This includes the derivation of CVA (Credit Valuation Adjustment) and FVA (Funding Valuation Adjustment) in light of the Basel III and ISDA documents, but also incorporates these risk factors in the valuation, instead of adjusting the price with ad-hoc rules.

I am captivated by optimal stopping and stochastic control. They provide powerful tools that illustrate for instance the effect that taxes can have on the strategy that is optimal with respect to a specified investment criterion (like utility maximisation). Realistic market models incorporating these 'friction factors' yield interesting numerical results that shape the approach of practitioners. With the emergence of Machine Learning and the increased computational power available, it is interesting how stochastic control tools compete in solving real-world portfolio management problems.

Interview for


Teaching (22-23)

Professional societies