Karolina Bujok

DPhil student, Mathematical Institute, University of Oxford

Karolina is a fourth year DPhil student in the Mathematical Institute at the University of Oxford.

She has a Masters degree in Financial Mathematics from King's College London (2008) and a Masters degree in Quantitative Methods in Economics and Information Systems from Warsaw School of Economics (2005).

Her general interest is in building mathematical finance models, which have convincing economic interpretation, and developing efficient and robust numerical methods to make the models useful in practice.

She is currently working on basket credit derivatives and building a multidimensional structural model that captures behaviour of a portfolio of companies underlying the derivative. Each company asset value is driven by a jump diffusion and the firms are correlated via common factors. The joint distribution of a portfolio is found as a limit of an empirical distribution, which is given as a stochastic partial differential equation.

Karolina's supervisor is Christoph Reisinger.

Personal website at Maths, Oxford

 

Related Research: Numerical Methods and High Performance Computing in Finance, Efficient Markets, Risk Premia and Market Anomalies

Working Paper

Reisinger, C. and Bujok, K. (2011) Valuation of Basket Credit Derivatives in Structural Jump-Diffusion Models, Working Paper, Mathematical Institute, University of Oxford, Oxford.

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