Imanol Perez Arribas

PhD in Mathematics student at the University of Oxford

About

I am a PhD in Mathematics student at the University of Oxford and a member of Keble College.

My research interests include stochastic analysis, rough path theory, machine learning and finance. More specifically, I am interested in developing signature-based methods to study various problems arising in finance and machine learning.

In the context of finance, I have developed a framework based on signatures to tackle two problems: the pricing and hedging of exotic financial derivatives, and the optimal execution of financial securities.

Regarding machine learning, I am interested in the use of the signature within neural networks; the so-called deep signature networks.