About
Currently working in the systematic trading space focusing on equity vol…
Activity
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With my collagues Danxu Du and Gang Xu we published a paper exposing an accurate and quick pricing of different FX Volatility Derivatives (…
With my collagues Danxu Du and Gang Xu we published a paper exposing an accurate and quick pricing of different FX Volatility Derivatives (…
Liked by Henry Stone
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We are delighted that our paper “Transaction Costs and Capacity of Systematic Corporate Bond Strategies” (joint with Alexey Ivashchenko) has been…
We are delighted that our paper “Transaction Costs and Capacity of Systematic Corporate Bond Strategies” (joint with Alexey Ivashchenko) has been…
Liked by Henry Stone
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We had a great afternoon yesterday (at least until we picked up our phones and checked the England score...) hosting the ESG_VC community with our…
We had a great afternoon yesterday (at least until we picked up our phones and checked the England score...) hosting the ESG_VC community with our…
Liked by Henry Stone
Experience
Education
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Imperial College London
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Phd Thesis: ''Rough volatility models: small-time asymptotics and calibration''
MRes Thesis: ''Large Deviations and Implied Volatility Asymptotics for the Rough Bergomi model''
MRes taught courses: Advanced Methods of Derivative Pricing, Levy Processes in Finance, Supervised Learning
Publications:
''Calibrating Rough Volatility Models: a Convolutional Neural Network approach''.
Quantitative Finance, 20(3): 379-392, 2020.
''Pathwise Large Deviations for the Rough Bergomi…Phd Thesis: ''Rough volatility models: small-time asymptotics and calibration''
MRes Thesis: ''Large Deviations and Implied Volatility Asymptotics for the Rough Bergomi model''
MRes taught courses: Advanced Methods of Derivative Pricing, Levy Processes in Finance, Supervised Learning
Publications:
''Calibrating Rough Volatility Models: a Convolutional Neural Network approach''.
Quantitative Finance, 20(3): 379-392, 2020.
''Pathwise Large Deviations for the Rough Bergomi Model'', with A. Jacquier and M. Pakkanen.
Journal of Applied Probability, 55(4): 1078-1092, 2018.
Preprints and working papers:
''Asymptotics for volatility derivatives in multi-factor rough volatility models'', with C. Lacombe and A. Muguruza Gonzalez.
Submitted to SIAM Journal of Financial Mathematics, Preprint available at: https://arxiv.org/abs/1903.02833. -
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Thesis: ''On Credit-Risk Measurement with Wrong-Way Risk''
Taught courses: Probability Theory, Stochastic Analysis, Exotic Derivatives, Incomplete Markets, Numerical Methods for Finance, Statistics in Finance, Interest Rates and FX dynamics, Risk Neutral Valuation -
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More activity by Henry
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✨ I’m really excited to finally be able to talk about the launch of something I’ve been working on all year - a video podcast - Connected Capital. ✨…
✨ I’m really excited to finally be able to talk about the launch of something I’ve been working on all year - a video podcast - Connected Capital. ✨…
Liked by Henry Stone
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Equity #momentum has had quite a rally so far this year, fuelled by the #AI frenzy. Yet, timing the exit is notoriously difficult. After all…
Equity #momentum has had quite a rally so far this year, fuelled by the #AI frenzy. Yet, timing the exit is notoriously difficult. After all…
Liked by Henry Stone
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Without meaningful partnerships, sustainability fails. Since we starting working with the Goodwood Estate I have been astonished and inspired by…
Without meaningful partnerships, sustainability fails. Since we starting working with the Goodwood Estate I have been astonished and inspired by…
Liked by Henry Stone
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I’ve become fascinated by fungi. So, last week I had the huge pleasure of hosting a dinner with Adelheid (Liechtenstein) Coudenhove - Kalergi and…
I’ve become fascinated by fungi. So, last week I had the huge pleasure of hosting a dinner with Adelheid (Liechtenstein) Coudenhove - Kalergi and…
Liked by Henry Stone
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We are pleased to announce the publication of a piece by Capstone’s own Tom Adlard and Tom Leake in the Journal of Portfolio Management’s March 2024…
We are pleased to announce the publication of a piece by Capstone’s own Tom Adlard and Tom Leake in the Journal of Portfolio Management’s March 2024…
Liked by Henry Stone
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Great insight from our own Tom Adlard, Tom Leake, and Arie Aboulafia on the risks of zero-day options and an outdated margining system.
Great insight from our own Tom Adlard, Tom Leake, and Arie Aboulafia on the risks of zero-day options and an outdated margining system.
Liked by Henry Stone
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🥈 I'm delighted to share that together with Martin Garrido Rodriguez-Cordoba, we've secured a Silver Medal in the "Single-Cell Perturbations" Kaggle…
🥈 I'm delighted to share that together with Martin Garrido Rodriguez-Cordoba, we've secured a Silver Medal in the "Single-Cell Perturbations" Kaggle…
Liked by Henry Stone
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When a business grows from 100 -> 650 employees in 5 years, you have both an incredible opportunity to promote and invest in diversity, but also a…
When a business grows from 100 -> 650 employees in 5 years, you have both an incredible opportunity to promote and invest in diversity, but also a…
Liked by Henry Stone
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I’m happy to share that I’m starting a new position as Associate Professor (Reader) in Mathematics at Imperial College London!
I’m happy to share that I’m starting a new position as Associate Professor (Reader) in Mathematics at Imperial College London!
Liked by Henry Stone
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I am delighted to finally share my first paper, titled: “Signature Trading: A Path-Dependent Extension of the Mean-Variance Framework with Exogenous…
I am delighted to finally share my first paper, titled: “Signature Trading: A Path-Dependent Extension of the Mean-Variance Framework with Exogenous…
Liked by Henry Stone
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📈 Modern financial markets involve a range of participants who place buy and sell orders across a wide spectrum of time scales. ✅ On one hand…
📈 Modern financial markets involve a range of participants who place buy and sell orders across a wide spectrum of time scales. ✅ On one hand…
Liked by Henry Stone
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It was the first time that the editorial board of SIAM Journal on Financial Mathematics was meeting in person since 2019. It was great to see so many…
It was the first time that the editorial board of SIAM Journal on Financial Mathematics was meeting in person since 2019. It was great to see so many…
Liked by Henry Stone
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An insightful piece on volatility levels in 2022 and their potential impact written by Capstone’s Tom Leake featured in Investment & Pensions Europe…
An insightful piece on volatility levels in 2022 and their potential impact written by Capstone’s Tom Leake featured in Investment & Pensions Europe…
Liked by Henry Stone
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I am happy to share that in January 2023 I will join the Baloise Group in Basel as an Actuary in Quantitative Risk Management. I am very excited…
I am happy to share that in January 2023 I will join the Baloise Group in Basel as an Actuary in Quantitative Risk Management. I am very excited…
Liked by Henry Stone
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