Dr Ankush Agarwal

  • Lecturer in Quantitative Finance and Risk Management (Economics)

Biography

Ankush is educated at IIT Bombay (BTech, MTech) and Tata Institute of Fundamental Research (PhD). Before joining the University of Glasgow Adam Smith Business School, Ankush worked at the commodities trading desk of Bank of America (2006-09) and as a post-doctoral researcher (2014-17) in Financial Modelling group at Centre of Applied Mathematics, École Polytechnique.


Research interests

Ankush is a member of the School's Finance research cluster.

Areas of expertise:

  • Mathematical finance
  • Monte Carlo methods
  • Markov Chain Monte Carlo methods
  • Stochastic analysis

Publications

List by: Type | Date

Jump to: 2020 | 2019 | 2018 | 2016 | 2015 | 2013
Number of items: 10.

2020

Agarwal, A. and Claisse, J. (2020) Branching diffusion representation of semi-linear elliptic PDEs and estimation using Monte Carlo method. Stochastic Processes and their Applications, (Accepted for Publication)

Agarwal, A. and Lorig, M. (2020) The implied Sharpe ratio. Quantitative Finance, (Accepted for Publication)

2019

Agarwal, A. , De Marco, S., Gobet, E., Lopez-Salas, J.-G., Noubiagain, F. and Zhou, A. (2019) Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements. ESAIM: Proceedings and Surveys, 65, pp. 1-26. (doi: 10.1051/proc/201965001)

2018

Agarwal, A. , De Marco, S., Gobet, E. and Liu, G. (2018) Study of new rare event simulation schemes and their application to extreme scenario generation. Mathematics and Computers in Simulation, 143, pp. 89-98. (doi: 10.1016/j.matcom.2017.05.004)

Agarwal, A. and Gobet, E. (2018) Finite Variance Unbiased Estimation of Stochastic Differential Equations. In: 2017 Winter Simulation Conference, Las Vegas, NV, USA, 03-06 Dec 2017, pp. 1950-1961. ISBN 9781538634288 (doi:10.1109/WSC.2017.8247930)

Agarwal, A. and Sircar, R. (2018) Portfolio benchmarking under drawdown constraint and stochastic sharpe ratio. SIAM Journal on Financial Mathematics, 9(2), pp. 435-464. (doi: 10.1137/16M1100861)

2016

Agarwal, A. , Juneja, S. and Sircar, R. (2016) American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics. Quantitative Finance, 16(1), pp. 17-30. (doi: 10.1080/14697688.2015.1068443)

2015

Agarwal, A. and Juneja, S. (2015) Nearest neighbor based estimation technique for pricing Bermudan options. International Game Theory Review, 17(1), 1540002. (doi: 10.1142/s0219198915400022)

2013

Agarwal, A. and Juneja, S. (2013) Comparing optimal convergence rate of stochastic mesh and least squares method for Bermudan option pricing. In: 2013 Winter Simulation Conference (WSC), Washington, DC, USA, 08-11 Dec 2013, pp. 701-712. ISBN 9781479939503 (doi:10.1109/wsc.2013.6721463)

Agarwal, A. , Dey, S. and Juneja, S. (2013) Efficient simulation of large deviation events for sums of random vectors using saddle-point representations. Journal of Applied Probability, 50(3), pp. 703-720. (doi: 10.1017/s0021900200009797)

This list was generated on Thu Feb 27 12:35:58 2020 GMT.
Number of items: 10.

Articles

Agarwal, A. and Claisse, J. (2020) Branching diffusion representation of semi-linear elliptic PDEs and estimation using Monte Carlo method. Stochastic Processes and their Applications, (Accepted for Publication)

Agarwal, A. and Lorig, M. (2020) The implied Sharpe ratio. Quantitative Finance, (Accepted for Publication)

Agarwal, A. , De Marco, S., Gobet, E., Lopez-Salas, J.-G., Noubiagain, F. and Zhou, A. (2019) Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements. ESAIM: Proceedings and Surveys, 65, pp. 1-26. (doi: 10.1051/proc/201965001)

Agarwal, A. , De Marco, S., Gobet, E. and Liu, G. (2018) Study of new rare event simulation schemes and their application to extreme scenario generation. Mathematics and Computers in Simulation, 143, pp. 89-98. (doi: 10.1016/j.matcom.2017.05.004)

Agarwal, A. and Sircar, R. (2018) Portfolio benchmarking under drawdown constraint and stochastic sharpe ratio. SIAM Journal on Financial Mathematics, 9(2), pp. 435-464. (doi: 10.1137/16M1100861)

Agarwal, A. , Juneja, S. and Sircar, R. (2016) American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics. Quantitative Finance, 16(1), pp. 17-30. (doi: 10.1080/14697688.2015.1068443)

Agarwal, A. and Juneja, S. (2015) Nearest neighbor based estimation technique for pricing Bermudan options. International Game Theory Review, 17(1), 1540002. (doi: 10.1142/s0219198915400022)

Agarwal, A. , Dey, S. and Juneja, S. (2013) Efficient simulation of large deviation events for sums of random vectors using saddle-point representations. Journal of Applied Probability, 50(3), pp. 703-720. (doi: 10.1017/s0021900200009797)

Conference Proceedings

Agarwal, A. and Gobet, E. (2018) Finite Variance Unbiased Estimation of Stochastic Differential Equations. In: 2017 Winter Simulation Conference, Las Vegas, NV, USA, 03-06 Dec 2017, pp. 1950-1961. ISBN 9781538634288 (doi:10.1109/WSC.2017.8247930)

Agarwal, A. and Juneja, S. (2013) Comparing optimal convergence rate of stochastic mesh and least squares method for Bermudan option pricing. In: 2013 Winter Simulation Conference (WSC), Washington, DC, USA, 08-11 Dec 2013, pp. 701-712. ISBN 9781479939503 (doi:10.1109/wsc.2013.6721463)

This list was generated on Thu Feb 27 12:35:58 2020 GMT.

Grants

  • Principal’s Early Career Mobility Scheme Fund (£2300)
  • Fully funded researcher, CEMRACS 2017, CIRM, Marseille (EUR 2500)
  • Travel grant, 2015 Workshop on systemic risk and financial networks, IPAM, UCLA ($750)
  • Travel grant, 2013 RTG Summer School in Financial Mathematics, Princeton University ($1200)

Supervision

Ankush is interested in supervising projects examining:

  • Topics in financial economics especially related to management of pension schemes, design of incentive mechanisms, mean field games in energy markets.
  • Classical problems of mathematical finance such as derivatives pricing & hedging, financial risk estimation and stress-testing of financial networks.

 


Current doctoral supervision

Yongjie Wang
"Stochastic control problems for pension funds"
Co-supervisor: Christian Ewald

Yihan Zou
"Jump dynamics and risk premiums from option-implied and realized volatilities: Empirical analysis of option pricing models during financial crisis"
Co-supervisor: Christian Ewald


Teaching

  • Derivatives pricing
  • Mathematical finance
  • Computational finance

Additional information

  • Post-doctoral fellowship by Risk Foundation (2014-17)
  • Tata Consultancy Services research scholarship (2012-14)
  • National Talent Search Scholarship awarded by Govt of India (2001-06)