On August 24th, 2017, Juho Häppölä successfully defended his
PhD thesis entitled "Efficient Numerical Methods for Stochastic
Differential Equations in Computational Finance"
Committee Members:
Prof. Jorge Zubelli (IMPA, Brazil)
Prof. Diogo Gomes (KAUST, CEMSE, AMCS)
Prof. Mohamed-Slim Alouini (KAUST, CEMSE, AMCS - EE)
Prof. Boualem Djehiche (KTH, Sweden) External Examiner
Prof. Ernesto Mordecki (CMAT, Uruguay) External Examiner
Prof. Raul Tempone (KAUST, CEMSE, AMCS) Thesis Advisor
Abstract:
Stochastic
Differential Equations (SDE) offer a rich framework to model the
probabilistic evolution of the state of a system. Numerical
approximation methods are typically needed in evaluating relevant
Quantities of Interest arising from such models. In this dissertation,
we present novel effective methods for evaluating Quantities of Interest
relevant to computational finance when the state of the system is
described by an SDE.
Biography:
Juho
Häppölä (born 1986, Riihimäki, Finland) finished his Finnish
matriculation examination in 2005, and joined Helsinki University of
Technology (currently, Aalto University). Having taken time off to
complete his national service, he graduated witha Masters degree with
distinction in engineering physics and mathematics. During his studies
in Aalto University, he held numerous short-term research and teaching
positions in Department of Mathematics and Systems Analysis, Olli V.
Lounasmaa Laboratory, and Laboratory of Applied Physics. His final
thesis project was carried out in P in Perimeter Institute for
Theoretical Physics in Waterloo, Ontario, Canada. After a year in the
energy commodity industry as a quantitative portfolio analyst, he joined
KAUST in fall of 2012 as a PhD student. His Research at KAUST covers
computational methods for stochastic dynamic systems, with computational
finance as a field of application. In addition, he has volunteered on
various open data initiatives, including contributing to the
OpenStreetMap initiative in the Hejaz region. He is joining Bain &
Company Nordics branch as a Senior Associate Consultant after his
doctoral studies.
