My main fields of investigation are stochastic asset pricing models, option pricing and volatility surface modelling and volatility derivatives, in particular hybridised equity-volatility claims and volatility-controlled portfolio strategies.

I am interested in stochstic calculus,  semimartingale theory  in particular in connection with time changes and subordination,  Lévy and Markov additive processes, delayed systems, fractional and anomalos diffusions.

My previous studies in geometry were on the blow-up resolution of bi-rational mappings between projective surfaces, and a study on J.P. Serre Duality Theorem for general analytic complex manifolds.