Teaching & Supervision

I served as a lecturer and as a teaching assistant for the graduate courses: Pricing and Hedging of Contingent Claims and Fixed Income Analysis. I encourage anybody interested in these topics to go through the following references:

• Arbitrage Theory in Continuous Time, by Thomas Björk.

• Stochastic Calculus for Finance II: continuous time models, by Steven Shreve.

• Term Structure Models: a graduate course, by Damir Filipovic.

• Fixed Income Modelling, by Claude Munk.
  

As a part of my doctoral studies, I supervise bachelor's and master's students. I tend not to assign or impose a topic for the projects. However, a student will make the most out of my supervision if the topic of her project aligns with my research interests. Examples of projects I supervised are:

• Using deep learning algorithms for: predicting the equity risk premium; pricing vanilla and exotic options.

• State space modeling of time series data.

• Comparing the (point, density and tail risk) predictive performances of models with time-varying parameters.

• Empirical asset pricing projects with a focus on the role of ESG ratings and metrics.