Teaching & Supervision
Teaching activity and useful references
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.
Supervision of bachelor's and master's students
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.