Here is a selection of the research papers I’ve written during my two master’s programmes. More details here.
MSc dissertation under the supervision of Riccardo Rebonato:
– Why is the slope a good predictor of excess returns? An overreaction explanation
MSc advanced module research projects
– The Gaussian Copula and the Financial Crisis: A Recipe for Disaster or Cooking the Books?
– Hedging Basis Risk Using Reinforcement Learning
– Simulating Limit Order Book Models
MMath 4th year original research project under the supervision of Colm Connaughton:
– Modelling Twitter Trends