I spent 5 months at the Mathematics Department at Imperial College from February to June 2017, as an Imperial-CNRS fellow. I am very grateful to the Mathematics Department of Imperial College and the CNRS for awarding me with this fellowship, which not only allowed me to continue and develop collaborations with the members of the Department, but more generally to be a part of the very active London mathematics community, attend stimulating talks and lectures by high-profile researchers at the department and elsewhere, and establish many new professional connections.
Besides working on the second edition of our book with Rama Cont, my research while at Imperial focused on the applications of a class of Gaussian processes, called Gaussian Volterra processes in a variety of domains. Together with Antoine Jacquier and Blanka Horvath, we developed applications of these processes to volatility modeling. The end result of this work is a parsimonious volatility model which does a very good job in fitting the quoted prices of various volatility derivatives. In another project with Almut Veraart, we are exploring the applications of multidimensional Gaussian Volterra processes to the modeling of spatial wind fields. These models reproduce the observed spatial/temporal correlations of wind speeds very well and can be used for forecasting wind energy production at various scales and managing the associated risks.
Host: Professor Rama Cont
