An ambitious crew

Research

My work lies on the intersection of Asset Pricing and Machine Learning.

Currently, I am based at Saïd Business School at the University of Oxford.

Research
Empirical Asset Pricing

Risk Premia on Foreign Bonds.

Using surveys to understand the dynamics of risk premia in Fixed Income and Foreign Exchange.
Jointly with Ilaria Piatti and Paul Whelan
Theoretical Asset Pricing

Understanding prices through games.

An agent-based approach revisit of the tâtonnement process using Machine Learning.
Jointly with Dimitrios Tsomocos
Machine Learning

Understanding OTC markets.

Develop a framework to analyse the dynamics of quote aggregators in OTC markets. Due to fragmented liquidity and informational frictions, adverse selection occurs and complicates market making.
Jointly with Dieter Hendricks, Michael Harvey and Steve Roberts
Teaching
Master of Science in Financial Economics
Since 2019
- Theoretical Asset Pricing
- Fixed Income & Derivatives
Master of Business Administration
Since 2019
- Financial Crises and Risk Management
- Machine Learning for Business
Philosophy, Politics and Economics (PPE)
Since 2019
- Microeconomics (1st and 2nd year) at Magdalen College