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Research area(s)

Mathematical finance; nonlinear filtering, power systems optimization.

Research Interests

  • Algorithms for latent state estimation or ‘filtering’ in nonlinear time series and applications of filtering, especially for forecasting and risk measurement in mathematical finance.
  • Use of artificial neural networks in financial modelling and asset price prediction.
  • Optimization problems in power systems.

Research supervision

I have supervised 11 PhD students and 3 MPhil students to successful completion. Recently finishing students are

  • Dr Zryan Sadik, Asset price and volatiltiy forecasting using news sentiment (2018).
  • Dr Seham Allahyani, Contributions to filtering under randomly delayed observations and additive-multiplicative noise (2018).
  • Dr Suren Islyaev, Stochastic models with random parameters in finance (2015).

Research project(s) and grant(s)

2013: Variable sampling rate filtering for nonlinear time series, EPSRC overseas travel grant ( EP/L019477/1), £8775.