Juan Jose Francisco Miguelez
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.
Contributions in Modelling Counterparty-linked Valuation Adjustments
- Derivative Pricing Theory
- Counterparty-linked Valuation Adjustments (Credit, Funding, Collateral)
- Stochastic Processes Applied to Finance
- Measure Theory Applied to Probability
Principal supervisor: Dr Cristin Buescu