Current Ph.D. students
Jure Vogrinc: Asymptotic variance of ergodic Markov chains on general state spaces (Imperial College London, started Oct 2013)
Nika Novak: Diffusions and martingale properties of stochastic
exponentials (Imperial College London, started Oct 2008, on leave since Oct 2010)
Graduated Ph.D. students
Harry Lo (RBS): Markov chains and the pricing of derivatives [Imperial College London 2009]
Theodoros Tsagaris (GSA Capital):
Statistical arbitrage and algorithmic trading (jointly supervised with Niall Adams
and Giovanni Montana) [Imperial College London 2010]
Antoine Jacquier (Department of Mathematics,
Imperial
College
London): Asymptotic properties of the volatility surface [Imperial College London 2010]
Matija Vidmar
(Faculty of Mathematics and Physics, University of Ljubljana, Slovenia): Approximations of Levy and other processes
with jumps
(jointly with Saul Jacka) [University of Warwick 2014]
Dejan
Siraj (Actuarial department, Triglav Group, Ljubljana, Slovenia):
Coupling and the policy improvement algorithm for controlled diffusion processes (jointly with Saul
Jacka) [University of Warwick 2015]