Andrei Cozma

University of Oxford

Andrei is a PhD student in the Mathematical and Computational Finance Group at the University of Oxford. He holds a Master of Mathematics from University of Manchester. His research interests include numerical methods for stochastic differential equations arising in finance, the pricing of currency and equity options with conditional Monte Carlo and finite differences, and the convergence of discretization schemes for high-dimensional systems

Articles by Andrei Cozma

Original research

A mixed Monte Carlo and partial differential equation variance reduction method for foreign exchange options under the Heston–Cox–Ingersoll–Ross model

The paper concerns a hybrid pricing method build upon a combination of Monte Carlo and PDE approach for FX options under the four-factor Heston-CIR model.

10 Aug 2016