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