Anton Kovalov

PhD Candidate at RWTH Aachen University

Speaker

I am a doctoral student at RWTH Aachen University @ STCE. My current research interests revolvearound addressing the limitation of AD in the context of discontinuous functions, these appearin finance, but also in neuroscience, robotics, fluid dynamics and generally dynamical systems.This means working with generalized derivatives, their calculus and algebras.
My interaction with finance so far has been brief, but rewarding. As a part of my research I amcurrently looking into the Feynamn-Kac transformation and its use for the first-passage timeproblems in relation to Greeks of discontinuous exotics.