Elena Boguslavskaya
Profile
Elena Boguslavskaya is a Lecturer at Brunel University. Her research interests include both the pure and applied aspects of stochastic analysis. She is especially interested in extending Malliavin calculus to a more general framework. She is also working on optimal stopping and optimal control of stochastic processes. In the applied direction, she is very interested in developing any techniques useful in algorithmic trading.
She obtained her Master in Mathematics from Moscow Lomonosov University and her doctorate from University of Amsterdam under supervision of Professor Albert Shiryaev.
Elena is a co-founder and a Trustee for the mathematical education charity We Solve Problems.
Research Areas
- Optimal stopping & optimal control of stochastic processes
- Malliavin Calculus
- Use of algebraic structures, operator calculus and combinatorial methods in probability
- Interplay between fractional calculus and stochastic analysis
- Financial mathematics
- Algorithmic trading
- Derivatives pricing
Research Grants and Projects
- Daphne Jackson Fellowship Funded by ESPRC (2014-2015)
Teaching
Master courses: Option Pricing Theory; Time Series Modelling; Probability&Stochastics; Cryptocurrencies&Blockchain Technologies; Information in Finance; Quantitative Data Analysis.
Undergradute courses: Analysis; Multivariate Calculus; Probability and Statistics II.
Presentations
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