# Dr Ankush Agarwal

**Lecturer in Quantitative Finance and Risk Management**(Economics)

**telephone**: 01413306317

**email**: Ankush.Agarwal@glasgow.ac.uk

## 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

## 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)