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Francesco Cosentino

Personal photo - Francesco Cosentino

Francesco Cosentino

Doctoral Student

Interests

Hi everyone,

I am interested in stochastic systems from a computer science and mathematical point of view. My research lies between mathematics and theoretical computer science, the best result I would reach is to do formal verification of stochastic environments in continuous time and space (SDE), therefore to study and quantify (compute the probability of) safety-critical properties of these systems, using rough paths.

I am attracted by quantitative financial applications, which are relevant thanks to the dynamical setting of the problems; at the moment I am studying mainly the optimal execution problem. Moreover, I am getting closer to learning theory, in particular I want to deep the Recurrent Neural Network structure.

Biography

I am a Ph.D. student in Computer Science at the University of Oxford, and at The Alan Turing Institute, London, supervised by Prof. Alessandro Abate. Before joining "the Turing" I developed expertise in the financial industry as FX risk analyst. I hold a Bachelor and an M.Sc. in Mathematics from University of Turin, Italy, with focus on Probability, Finance and Insurance, and an M.A. in Financial Economics from Collegio Carlo Alberto, Turin.

Supervisor