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Juan José Francisco Miguélez

Juan Jose Francisco Miguelez

PhD Student

Research interests

  • Mathematics

Biography

Juan José joined King's in 2020 as PhD student in Financial Mathematics. He is interested in the theory of derivative pricing, with special focus on the modelling of counterparty-linked valuation adjustments such as Credit Valuation Adjustments (CVA) or Funding Valuation Adjustments (FVA). Aside from his PhD research, Juan José is also a full-time quantitative analyst at Bank of America in London and an associate actuary at the French Institute of Actuaries. Juan José holds a joint undergraduate and graduate degree from ESSEC Business School (Paris, France) and the Paris Institute of Statistics.

Thesis

Contributions in Modelling Counterparty-linked Valuation Adjustments

Research interests

  • Derivative Pricing Theory
  • Counterparty-linked Valuation Adjustments (Credit, Funding, Collateral)
  • Stochastic Processes Applied to Finance
  • Measure Theory Applied to Probability

PhD supervision

Principal supervisor: Dr Cristin Buescu

Further information

Research profile

 

Research

FEATURE Finance
Financial Mathematics

King’s College has a large and thriving Financial Mathematics group, with an international reputation for research excellence. 

Research

FEATURE Finance
Financial Mathematics

King’s College has a large and thriving Financial Mathematics group, with an international reputation for research excellence.