List of talks, presentations and attendances of Goncalo dos Reis

University of Edinburgh
School of Mathematics
Probability and Stochastic Analysis Group

G. dos Reis homepage

Research

Conferences and Talks

Teaching

CV & related

Teaching

At Scottish Mathematical Sciences Training Centre (SMSTC) (UK/Scotland)
- A Fourier Based Approach of (stochastic) Integration and applications (2017-18) (Teacher)
At University of Edinburgh / School of Mathematics (UK/Scotland)
- Numerical Probability and Monte Carlo (2022-23) (Teacher and TA), [50 students]
- Numerical Probability and Monte Carlo (2021-22) (Teacher and TA), [50 students]
- Numerical Probability and Monte Carlo (2020-21) (Teacher and TA)
- Numerical Probability and Monte Carlo (2019-20) (Teacher and TA)
- Research-Linked Topics (2019-20) (Teacher)
- Research-Linked Topics (2018-19) (Teacher)
- Object-Oriented Programming with Applications (2018-19) (Teacher and TA)
- Financial Mathematics (2018-19) (Teacher and TA)
- Financial Mathematics (2017-18) (Teacher and TA)
- Stochastic Control and Dynammic Asset Allocation (2016-17) (Teacher and TA)
- Financial Mathematics (2016-17) (Teacher and TA)
- Stochastic Control and Dynammic Asset Allocation (2015-16) (Teacher and TA)
- Financial Mathematics (2015-16) and Financial Mathematics and Investment (2015-16) [SS1-SEM1] (Teacher and TA)
- Financial Mathematics (2014-15) and Financial Mathematics and Investment (2014-15) [SS1-SEM1] (Teacher and TA)
At Berlin Mathematical School (BMS) (DE) - Advanced Courses
- Mathematical Finance II (MSc), Spring 2013 (Teaching assistant)
- Backward Stochastic Differential Equations and Applications (MSc & PhD), [10 students], [3236 L 284], Fall 2012/13 (Teacher)
At Technical University Berlin (DE) (Teacher)

Stochastic Models (MSc), [30 students], [3236 L 298], Fall 2013/14
Mathematics II for Economists, [200 students], [3236 L 028], Spring 2013
Mathematics II for Economists, [200 students], [3236 L 028], Spring 2012
Mathematics I for Economists, [200 students], [3236 L 026], Fall 2011/12
Mathematics II for Economists, [170 students], [3236 L 028], Spring 2011

Teaching assistant

At Berlin Mathematical School (BMS) (DE) - Advanced Courses
- Mathematical Finance II (MSc), Spring 2013
At Technical University Berlin (DE) (Teacher)

Mathematics I for Economists, Fall 2011/12
Mathematics II for Economists, Spring 2011

At Ecole Polytechnique (FR)

Numerical methods for Stochastic Differential Equations, Feb.-Mar. 2009

At at Instituto Superior Tecnico (PT)

Calculus I, Spring 2003/04
Calculos II, Fall 2003/04
Calculus III, Spring 2002/03
Calculus II, Fall 2002/03

Supervision

Supervision of Postdoc fellows and Research assistants

Research Assistants
- Matthieu de Langard ('15)
- Paula Fermin Cueto (Aug '19 - Feb '20)
- Richard Gilchrist (Sep '20 - Jan '21)
Postdoctoral Fellows
- Xiang (Shawn) Li (Oct '20 - Jan '21)
- Hang Ruan

Supervision of PhD students (as 1st supervisor)

Graduated PhD Student: Greig Smith, graduated Winter 2019

MIGSAA PhD student; 2nd Supervisor Dr Matthias Fahrenwaldt of HW Univ.
Currently a Research Associate at the Research Team of Moody's Analytics Edinburgh
Title: Properties and advances of probabilistic and statistical algorithms with applications in finance

Graduated PhD Student: William Salkeld (Orcid, ArXiv) graduated Summer 2020

2nd Supervisor Dr Michal Branicki
Title: McKean-Vlasov equations: a probabilistic and pathwise approach
Prizes: UoE School of Mathematics Postgraduate Research Student Essay Prize with work "The Support theorem for McKean-Vlasov SDEs" (Nov/2018)
Prizes: LMS early career fellowship (May-Oct 2020) to visit Prof Francois Delarue (Nice, FR)

Graduated PhD Student: Vadim Platonov

2nd Supervisor Dr Michal Branicki
Title: On the dynamics of measure flows and multi-agent and mean-field financial games
Currently: Quant Strategist at NatWest (formerly at Credit Suisse)

PhD Student: Daniel T. Adams

2nd Supervisor Dr Michal Branicki
Title: Regularised variational schemes for non-gradient systems, and large deviations for a class of reflected McKean-Vlasov SDE
First Job: Postdoctoral fellow in Paris

PhD Student: Calum Strange

2nd Supervisor Dr James Foster (Bath)
Title: Path-based splitting methods for SDEs and machine learning for battery lifetime prognostics
First job: Quantitative Analysis as Susqueana in Dublin

PhD Student: Xingyuan Chen

2nd Supervisor: Dr Bruno Pereira (ISEL, PT)
Title: Theory and simulation of interacting particle systems and Mckean-Vlasov processes: the super measure class, ergodicity, and weak error
First job: Huawei's 'Theory Lab' in Hong-Kong

PhD Student: Rasheed Ibrahim

2nd Supervisor

PhD Student: Zachary Wilde

2nd Supervisor: Dr ILya Chevyrev

Supervision of PhD students (as 2nd supervisor)
- PhD Student: Shuren Tan
  - MIGSAA PhD student
  - Title: Monte-Carlo based numerical methods for a class of non-local deterministic PDEs and several random PDE systems
- PhD Student: Alina Kumakova
  - MIGSAA PhD student
  - Title: Regression analysis for extreme value responses and covariates
- PhD Student: Aigerim Davletzhanova
- PhD Student: Fraser O'Brien
- PhD Student: Eirini Ioannou

Supervision (MSc & BA)
- 2021/22
  - MSc thesis: Liu, Tianshu, Distributionally robust portfolio optimization, MSc Computational Mathematical Finance, University of Edinburgh (UK)
  - MSc thesis: Ji, Yepeng, Passive and Competitive Investment Strategies (log case), MSc Computational Mathematical Finance, University of Edinburgh (UK)
- 2020/21
  - None due to Sabbatical
- 2019/20
  - 4-5 dissertations
- 2018/19
  - Undergraduate Thesis: Mateusz Mroczka, Mean-field games and optimal execution, BSc Mathematics, University of Edinburgh (UK)
  - Undergraduate Thesis: A.~Buchannan, Jack, Liam, Microlending: Credit Risk modeling, MMaths Mathematics, University of Edinburgh (UK)
  - MSc thesis: Naomi Bryson, Can Segmentation Enhance Credit Scoring?, MSc Financial Modelling and Optimization, University of Edinburgh (UK), with industrial partner Royal Bank of Scotland
  - MSc thesis: Konstantinos Mylonakis, Customer churn prediction using Deep learning and other machine learning techniques, MSc Financial Modelling and Optimization, University of Edinburgh (UK), with industrial partner Sainsbury’s Bank
  - MSc thesis: Huihai Jiang, Chaos expansions for regressions and Credit valuation adjustment calculations, MSc Financial Modelling and Optimization, University of Edinburgh (UK)
  - MSc thesis: Qingying He, Passive and Competitive investment strategies, MSc Computational Mathematical Finance, University of Edinburgh (UK)
  - MSc thesis: Calum Strange, Concentration inequalities, SDEs and Numerical schemes , MSc Computational Mathematical Finance, University of Edinburgh (UK)
- 2017/18
  - MSc thesis: Duffy, David, Passive and Competitive Investment Strategies , MSc Computational Mathematical Finance, University of Edinburgh (UK)
  - MSc thesis: Saken, Aigerim, Chaos expansions for regressions and Credit valuation adjustment calculations , MSc Computational Mathematical Finance, University of Edinburgh (UK)
  - MSc thesis: Yu, Hang, Importance Sampling simulation, MSc Computational Mathematical Finance, University of Edinburgh (UK)
  - MSc thesis: Zhang, Wei , Simulating Greeks without derivatives , MSc Computational Mathematical Finance, University of Edinburgh (UK)
  - MSc thesis: Zimo, Guan, Cyber breach operational impact assesment, MSc Financial Modelling and Optimization, University of Edinburgh (UK), with industrial partner Scottish Widows
  - Undergraduate Thesis: Dale, Jack, Liam, Credit Risk Modelling and Insights from Data Science, BSc Mathematics, University of Edinburgh (UK)
- 2016/17
  - MSc thesis: Samuelle Mazzanti, Hidden Markov Models for Credit Rating Transitions and Implications for Credit Risk, MSc Statistics, University of Bologna (It)
  - MSc thesis: Niki-Mavra Kostouli, Credit Stress Testing, MSc Computational Mathematical Finance, University of Edinburgh (UK)
  - MSc thesis: Borbala Kovacs, Value-at-Risk Calculation using Copulas, MSc Computational Mathematical Finance, University of Edinburgh (UK)
  - MSc thesis: Yuanting Hu, Backtesting expected shortfall, MSc Computational Mathematical Finance, University of Edinburgh (UK)
  - MSc thesis: YueJian Zhang, Hamiltonian Monte Carlo, MSc Financial Modelling and Optimization, University of Edinburgh (UK)
- 2015/16
  - MSc thesis: Qiliang Chen, Multilevel Monte Carlo Methods and Fourier analysis, MSc Computational Mathematical Finance, University of Edinburgh (UK)
  - MSc thesis: Yangsi Shangguan, BSDEs and stochastic Nash games under performance concerns, MSc Computational Mathematical Finance, University of Edinburgh (UK)
  - MSc thesis: Jianan Liu, BSDEs, Wiener Chaos expansions and CVA calculation, MSc Financial Modelling and Optimization, University of Edinburgh (UK)
  - MSc thesis: Georgios Samartzis, Large Deviations Principles and Fourier analysis, MSc Computational Mathematical Finance, University of Edinburgh (UK)
  - MSc thesis: Nataliia Savina, Mean Variance Optimization to test portfolios, MSc Financial Modelling and Optimization, University of Edinburgh (UK)
  - MMath thesis: Claire Stacey, MCMC Methods with Applications to Credit Risk, Masters in Mathematics, University of Edinburgh (UK)
- 2014/15
  - Summer Project: Seunghyun Seo, Risk free betting, Math Undergrad student, University of Edinburgh (UK)
  - MSc thesis: Christos Karamitsos, MCMC methods and estimation of portfolio losses, MSc Financial Mathematics, University of Edinburgh (UK)
  - MSc thesis: Xintian Huang, Computing Risk in Credit Portfolios, MSc Financial Mathematics, University of Edinburgh (UK)
  - MSc thesis: Zhang Ran, Calibration of financial models, MSc Financial Modelling and Optimization, University of Edinburgh (UK) and Moody's Analytics (through SFRA)
- 2013/14
  - MSc thesis: Evelina Delikonstantinou, The Skorokhod Embedding Problem and its Applications in Finance, MSc Financial Modelling and Optimization, University of Edinburgh (UK)
  - MSc thesis: Kirsty Wallace, The Effect of Supply and Demand on Premia Evaluation, MSc Financial Mathematics, University of Edinburgh (UK)
  - MSc thesis: Hongchao Fan, Simulations of Backward Stochastic Differential Equations with Applications to Finance, MSc Financial Mathematics University of Edinburgh (UK)
  - BA Thesis: Nguyen Trong Duy, Asymptotic expansion for BSDEs at TU-Berlin (Berlin, DE)

Co-Supervision
- MSc thesis: Xingyi (Sharon) Li, Mean-square Stability of Forward and Backward Stochastic Differential Equation System, MSc Financial Mathematics, University of Edinburgh (Edinburgh, UK), 2012/13
- MSc thesis: Ana Lucia Baptista, First exit times of Brownian Motion with Barriers, MSc Applied Mathematics, at Instituto Superior Tecnico (Lisbon, PT), 2009/10