Yuanxi He

I am a PhD student in Data and Decision Science at BI Norwegian Business School and a member of the SURE-AI Centre, under the supervision of Professor Fred Espen Benth and Professor Fabian Andsem Harang.

My research interests lie at the intersection of stochastic analysis, financial mathematics, and machine learning. I am particularly interested in incorporating neural-network parametrisations into stochastic processes and studying their theoretical and computational properties. My current research focuses on dynamical stochastic models for weather variables, including temperature, wind, precipitation, and solar irradiation, using neural networks to model state-dependent dynamics and dependencies between weather factors. I am also interested in neural parametrisations of the market price of risk, change-of-measure techniques, risk-neutral dynamics, and the pricing of futures and derivatives. A related research direction concerns Lévy processes and neural extensions of measure transformations.

I hold an M.Sc. in Advanced Mathematics from the University of Barcelona and an M.Sc. in Quantitative Finance from the University of Bologna. My theses focused on the Sandwiched Volterra Volatility model and its extension using Malliavin calculus, and on numerical methods for stochastic differential equations. I also hold a B.Sc. in Economics from Pompeu Fabra University.