I am a lecturer and researcher at the Mathematical Institute of Utrecht University.
Prior to that I did my PhD in numerical analysis at the Department of Applied Mathematics  (DIAM) of Delft University of Technology (TU Delft), under the supervision of Kees Oosterlee (UU) and Mark Veraar (TU Delft).

My work revolves around the numerical approximation of high-dimensional (forward-)backward stochastic differential equations (FBSDE) and their applications in mathematical finance and stochastic control.

Main research interests:

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

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

• classical approaches (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

Contact info:

• email: b.negyesi [at] uu.nl

• office: 615, Hans Freudenthal building, Budapestlaan 6, Utrecht