Teaching

• 2025

  Continuous-Time Finance

  Graduate course · University of Oxford · Saïd Business School · MSc Financial Economics

  Introduction to stochastic calculus and continuous-time models in finance: option pricing with binomial trees and Brownian motion, the Black–Scholes model, stochastic volatility, affine term-structure models, and Monte Carlo simulation.

  Lecture notes & slides
• 2024

  Market Microstructure and Algorithmic Trading

  Graduate course · University of Oxford · Mathematical and Computational Finance MSc

  Algorithmic and high-frequency trading models for optimal execution of large orders and market making in limit order books and OTC markets, using convex analysis, stochastic optimal control, and economics.

  Lecture notes Slides: 12345678
• 2022

  Computer C++ and Applications to Quantitative Finance

  Graduate course · Université Paris 1 Panthéon‑Sorbonne

  Object-oriented programming in C++ — classes, inheritance, templates, exceptions — with applications to designing a financial pricing library for vanilla and path-dependent options.

  Lecture notes & slides