I am a researcher at R&D Labs within Ortec Finance.

Prior to that I held a lecturer and researcher position at the Mathematical Institute of Utrecht University and did my PhD at the Delft Institute of Applied Mathematics of TU Delft, supervised by Kees Oosterlee (Utrecht University) and Mark Veraar (TU Delft). I was awarded the Peter Paul Peterich scholarship for my doctoral studies. 

My main interests lie in numerical solution of high-dimensional problems, particularly in the intersection of mathematical finance, stochastic control and machine learning.

Some specific topics I have worked on:

• forward-backward stochastic differential equations (decoupled, coupled, reflected, non Markovian)

• stochastic control (diffusion control, stochastic maximum principle, time inconsistent problems)

• classical numerical methods (COS method, regression Monte Carlo methods)

• scientific machine learning (deep BSDE methods, physics informed neural network)

• applications in portfolio allocation, (delta-gamma) hedging, climate risk management and time series modeling

Contact info:

• email: b.negyesi [AT] proton.me