PhD Students

• Truong Nguyen (2025 - present), Utrecht University 
  Project: Efficient Numerical Methods for XVAs and Risk Measures
• Maksim Chupin (2024 - present), KAUST (jointly with Raúl Tempone  and Sophia Wiechert)
  Project: Dimensionality Reduction in Filtering for Stochastic Reaction Networks
• Michael Samet (2024 - present), RWTH Aachen (jointly with Raúl Tempone)
  Project: Data-Driven Continuous-Time Modelling and Efficient Numerical Methods for Optimal Strategies in (Renewable) Energy Markets
• Eliza Rezvanova (2022 - Present), KAUST (jointly with Raúl Tempone and Erik von Schwerin)
  Project: Continuous-Time Optimal Control for the Management of Hybrid Power Systems
• Sophia Wiechert (2021 - 2024), RWTH Aachen (jointly with Raúl Tempone and Nadhir Ben Rached)
  Thesis: Generic Importance Sampling via Stochastic Optimal Control and Dimensionality Reduction for Stochastic Reaction Networks.

       Current Position: Postdoctoral Research Scientist, RWTH Aachen University.                                                                                    

Master Students

• Laura Robinson (Oct 2024), Utrecht University (jointly with Sioux Technologies company)
  Project: Forecasting Student Application Counts Using Hierarchical Bayesian Inference.
• Conrad Borm (Oct 2024), Utrecht University (jointly with CQM (Consultants in Quantitative Methods) company)
  Project: Enhancing Simulation Experimentation: A Comparative Study of Kriging Methods and Sampling Techniques.
• Maksim Chupin (Dec 2023 - July 2024), RWTH Aachen (jointly with Raúl Tempone and Sophia Wiechert)
  Thesis: Dimensionality Reduction in Filtering for Stochastic Reaction Networks.
  Current Position: PhD candidate, KAUST.
• Jordy Lamers (Feb 2024 - present), Utrecht University (second reader, supervisor Kees Oosterlee)
  Project: The Principle Component Copula of Correlated Assets: Examining the Impact of Stress on the Principal Components.
• Simon Hakvoort (Feb 2024 - present), Utrecht University (second reader, supervisor Sjoerd Dirksen)
  Project: Improving Probabilistic Forecasting in the Netherlands.
• Yeyang Hu (Nov 2023 - June 2024), Utrecht University (second reader, supervisor Ivan Kryven)
  Thesis: Algorithms for finding large independent sets on a (hyper)graph.
• Michael Samet (July 2023), KAUST (jointly with Raúl Tempone)
  Thesis: Hierarchical Adaptive Quadrature and Quasi-Monte Carlo for Efficient Fourier Pricing of Multi-Asset Options. Thesis link.
  Current Position: PhD candidate, RWTH Aachen University.
• Yosr Samet (April 2023), RWTH Aachen (jointly with Raúl Tempone)
  Thesis: Numerical Study of Rough Volatility Models with Application to Option Pricing. Thesis link.
  Current Position: Quantitative Investment Strategist, Allianz Global Investors.
• Sophia Wiechert (April 2021), RWTH Aachen (jointly with Raúl Tempone and Nadhir Ben Rached)
  Thesis: Optimal Control of Importance Sampling Parameters in Monte Carlo Estimators for Stochastic Reaction Networks. Thesis link.
  Current Position: PhD candidate, RWTH Aachen University.

Bachelor Students

• Tijmen Schipper (June 2024), Utrecht University
  Thesis: Enhanced Modeling and Control of Hybrid Power Systems: A Deep Reinforcement Learning Approach for Optimal Decision-Making  Thesis link
  Current Position: Master’s Student in Data Science, Utrecht University
• Hamouda Baghdadi (September 2023), KAUST
  Thesis: Numerical Smoothing with Multilevel (Quasi) Monte Carlo (MLMC) for Option Pricing and Greeks Computation  Thesis link
  Current Position: Master’s Student in Mathematics For Finance And Data, École des Ponts ParisTech
• Arij Hafi (September 2023), KAUST
  Thesis: Smooth Simulation Scheme for Stochastic Volatility Models  Thesis link
  Current Position: M2 Probabilités et Finance, École Polytechnique, France
• Nader Chamam (September 2022), RWTH Aachen
  Thesis: Efficient Pricing of American Options Using Machine Learning and Randomized Stopping Techniques Thesis link
  Current Position: Master’s Student in Financial Engineering, HEC Montréal
• Michael Samet (September 2021), RWTH Aachen
  Thesis: Fourier Techniques Combined with Hierarchical Deterministic Quadrature Methods for Efficient Pricing of High-Dimensional Options  Thesis link
  Current Position: PhD candidate, RWTH Aachen University
• Yosr Samet (September 2020), RWTH Aachen
  Thesis: Statistical and Numerical Analysis of Rough Volatility Pricing Models  Thesis link
  Current Position: Quantitative Investment Strategist, Allianz Global Investors
• Nihel Seghaier (June 2020), RWTH Aachen
  Thesis: Efficient Option Pricing Using Fourier Techniques  Thesis link
  Current Position: Senior Associate at Deloitte, Canada