Research

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, delayed systems, semimartingale theory and its applications, in particular in connection with changes of time, subordination and Lévy processes.

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.