HG G 49.1
Phone: +41 44 632 3444
Room: HG G 49.1
I am a PhD student at D-MATH of ETH Zürich. My advisor is Josef Teichmann.
Currently (June-September 2017) I am a visiting researcher / intern in the team of Hans Bühler at J.P. Morgan in London, working on an exciting project on deep learning in finance.
... include stochastic analysis, mathematical/computational finance and machine learning. In addition to the project described above, my PhD thesis will contain results in the following areas (see "Talks" for a preview):
- Stochastic filtering and data assimilation: theory, numerical methods and applications in finance
- The Skorokhod embedding problem
Publications and Preprints
- L. Döring, L. Gonon, D. Prömel , O. Reichmann. On Skorokhod Embeddings and Poisson Equations, arXiv:1703.05673, 2017.
- L. Gonon, L.C.G. Rogers. Evolution of Firm Size. International Journal of Theoretical and Applied Finance, 17. 2014.
A. Prorok, L. Gonon, A. Martinoli. Online Model Estimation of Ultra-Wideband TDOA Measurements for Mobile Robot Localization, IEEE International Conference on Robotics and Automation (ICRA), pp. 807-814, 2012.
Last update 24/08/2017 by lgonon