01Current
Truong Nguyen
Supervisor · 2025–present · Utrecht University
Efficient Computational Methods for XVAs and Risk Measures
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Teaching & supervision
A complete record of
research supervision.
Doctoral researchers, master’s and bachelor’s theses, and Orientation in Mathematical Research projects. Second-reader and examination roles are intentionally excluded from this supervision record.
Doctoral mentoring
Current, incoming & completed researchers.
Primary supervision, co-supervision, and an incoming visiting doctoral research project.
02Current
Maksim Chupin
Co-supervisor · 2024–present · KAUST
Scalable Numerical Methods for High-Dimensional Stochastic Reaction Network
Joint supervision with Raúl Tempone
03Current
Michael Samet
Co-supervisor · 2024–present · RWTH Aachen
Data-Driven Modelling and Optimal Strategies in Renewable Energy Markets
Joint supervision with Raúl Tempone
04Incoming
Kexin Shao
Host & academic supervisor · Nov 2026–Sep 2027 · Utrecht University
Efficient Simulation Algorithms in Finance: Methods and Applications
Visiting from Southern University of Science and Technology; funded by the China Scholarship Council
05Completed visit
Xianglin Wu
Host & co-supervisor · Sep–Dec 2023 · Utrecht University
SigMA: Path Signatures and Multi-Head Attention for Learning Parameters in fBm-Driven SDEs
Joint supervision with Kees Oosterlee; visiting from the School of Mathematics, Southwestern University of Finance and Economics, China
Published research outcome06Completed
Sophia Wiechert
Co-supervisor · 2021–2024 · RWTH Aachen
Importance Sampling via Stochastic Optimal Control and Dimensionality Reduction
Joint supervision with Raúl Tempone
Next position: Postdoctoral Research Scientist, RWTH Aachen University
Thesis recordMaster’s theses
Thesis supervision across institutions.
Primary and joint master’s-thesis supervision; second-reader roles are excluded.
Jord van Eldik
Joint supervision with Kees Oosterlee
A Meyer Wavelet Fourier Method for Option Pricing
Laura Robinson
Joint supervision with Sioux Technologies
Bayesian Hierarchical Models for Forecasting Student Enrolment Counts
Next position: Mathware Engineer, Sioux Technologies
Conrad Borm
Joint supervision with Consultants in Quantitative Methods
Surrogate Models: Analysis of Their Current State, Applicability, Advantages and Limitations
Next position: Junior SAP SCM Consultant, SOA People
Maksim Chupin
Joint supervision with Raúl Tempone and Sophia Wiechert
Dimensionality Reduction in Filtering for Stochastic Reaction Networks
Next position: PhD candidate, KAUST
Thesis recordMichael Samet
Joint supervision with Raúl Tempone
Hierarchical Adaptive Quadrature and Quasi-Monte Carlo for Efficient Fourier Pricing of Multi-Asset Options
Next position: PhD candidate, RWTH Aachen University
Thesis recordYosr Samet
Joint supervision with Raúl Tempone
Numerical Study of Rough Volatility Models with Application to Option Pricing
Next position: Quantitative Investment Strategist, Allianz Global Investors
Thesis recordSophia Wiechert
Joint supervision with Raúl Tempone and Nadhir Ben Rached
Optimal Control of Importance Sampling Parameters in Monte Carlo Estimators for Stochastic Reaction Networks
Next position: Postdoctoral Research Scientist, RWTH Aachen University
Thesis recordOrientation in Mathematical Research
Team projects built around open questions.
Research projects completed by master’s-student teams at Utrecht University.
Flore Steenberghe, Marta Amaro Calatayud, Emma Scheepstra, Ricardo Martinho Marques & Joppe Vermeulen
Five-student team · Orientation in Mathematical Research Project
Machine Learning for Imbalanced Regression
Flore Steenberghe, Teun Wezel, Arthur Valk, Marta Amaro Calatayud, Emma Scheepstra & Jasper Sickinger
Six-student team · Orientation in Mathematical Research Project
Signature Volatility Models in Quantitative Finance
Casper Bakker, Iddo Bruijn, Melle Versluis & Noah van de Weerd
Four-student team · Orientation in Mathematical Research Project
Time-Series Generation with Random Signatures
Bachelor’s theses
Primary and joint bachelor’s-thesis supervision, with documented subsequent positions where available.
Yoey Tolboom
Neural Network Solutions to Stochastic Reaction Networks
Lucas Beernink
Stochastic Approximation Methods for Multivariate Systemic Risk Measures
Abderrahmene Ben Romdhane
Joint supervision with Michael Samet
Hierarchical Fourier Pricing under Rough Volatility Models
Kasper Marinus
Joint supervision with Rembert Duine
Learning Parameter-Dependent Antiferromagnetic Dynamics with Machine Learning
Thijs Perlee
Joint supervision with Maurizio Montone
Predictable and Profitable Market Inefficiencies in the Online Betting Market During the 2022 Football World Cup
Luuk van Manen
A Mathematical and Numerical Framework for Fractional Brownian Motion with Applications to Option Pricing
Tijmen Schipper
Enhanced Modeling and Control of Hybrid Power Systems: A Deep Reinforcement Learning Approach for Optimal Decision-Making
Next position: Master’s student in Data Science, Utrecht University
Thesis recordHamouda Baghdadi
Numerical Smoothing with Multilevel (Quasi-)Monte Carlo Methods for Option Pricing and Greeks Computation
Next position: Master’s student in Mathematics for Finance and Data, École des Ponts ParisTech
Thesis recordArij Hafi
A Smooth Simulation Scheme for Stochastic Volatility Models
Next position: M2 Probabilités et Finance, École Polytechnique
Thesis recordNader Chamam
Efficient Pricing of American Options Using Machine Learning and Randomized Stopping Techniques
Next position: Master’s student in Financial Engineering, HEC Montréal
Thesis recordMichael Samet
Fourier Techniques Combined with Hierarchical Deterministic Quadrature Methods for Efficient Pricing of High-Dimensional Options
Next position: PhD candidate, RWTH Aachen University
Thesis recordYosr Samet
Statistical and Numerical Analysis of Rough Volatility Pricing Models
Next position: Quantitative Investment Strategist, Allianz Global Investors
Thesis recordNihel Seghaier
Efficient Option Pricing Using Fourier Techniques
Next position: Senior Associate, Deloitte Canada
Thesis record