PhD thesis (Imperial College London, 2021) on spatially irregular ODEs and a pathwise volatility modelling framework: random ODEs, Heston and CIR limits, inverse Gaussian processes, rough volatility. LaTeX source and a Lean 4 formalisation of its main results.
latex monte-carlo-simulation option-pricing quantitative-finance phd-thesis ordinary-differential-equations mathematical-finance asset-pricing implied-volatility levy-processes rough-volatility fractional-brownian-motion random-differential-equations heston-model diffusion-processes stochastic-volatility lean4 pathwise-volatility initial-value-problems functional-limit-theorems
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Updated
Oct 19, 2026 - TeX