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Denis Mazieres

PhD Mathematics

 

Research interests:

• Approximation theory applied to Radial Basis Functions (RBF) , Tensor of  Basis Functions (TBF) and Hybrid TBF-RBF

• Tensor algebra and spaces

• Valuation in energy market: Gas storage, gas swing contract, basket and multi-spread options...

Working paper:

"Tensor product of compactly supported basis functions: convergence order and reduction in computing time" with Simon Hubbert.

"A Radial Basis Function Approach to Gas Storage Valuation" with Alexander Boogert, submitted to the Journal of Energy Markets, Nov. 2011. Mazieres_Boogert_RBF_GasStorage.pdf

Speaker/Participant:

Speaker at the ESE Energy & Finance Conference, Oct. 2011, Rotterdam. Title:"A Radial Basis Function Approach to Gas Storage Valuation"

Participant at the INREC, Mar. 2012, Essen. Title:"A Radial Basis Function Approach to Gas Storage Valuation in High Dimensions "

Speaker at the SIAM Conference on  Financial Mathematics & Engineering, Jul. 2012, Minneapolis. Title:" A Kernel Based Approach to Gas Storage and Swing Contracts Valuations in High Dimensions"

Current news

  • ESRC Postdoctoral Fellowships

    The UCL, Bloomsbury and East London DTP invites applications for three postdoctoral fellowships (PDFs) to be based within departments at the partner institutions within the Doctoral Training Partnership (DTP): University College London, Birkbeck, the London School of Hygiene & Tropical Medicine, the School of Oriental and African Studies, and the University of East London.

  • Competition for ESRC Studentships for October 2018 entry is now open

    ESRC PhD Scholarships for 2018 entry are available via UCL, Bloomsbury and East London Doctoral Training Partnership (DTP) for suitable candidates.

  • Sundstrom Scholarships for 2017/18 Entry

    Two Home/EU scholarships for MSc programmes are available in the Department of Economics, Mathematics and Statistics.