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David Woodford


David is currently in the final year of his Phd as part of the MASDOC programme at the University of Warwick. David's research interests lie within probability in particular looking at jump processes and their applications to finance. The focus of David's work are the exponential funcationals of Markov additive processes (regieme switching Levy processes) including their applications to Asian option pricing in finance and the hitting time of stable processes in probability.

In the year 2015/6 David completed the Msc portion of the MASDOC programme submitting a dissertation on the Lamperti transform of self-similar Markov processes. This also invloved a group research project focusing on multi-server queueing theory.

For two years after graduating from his undergraduate degree David worked within the Market Risk Management and Analysis department of Goldman Sachs. He began focussing on the "linear" equities businesses before looking at private equaity, special situations and merchant banking. He was also involved with ad-hoc stress testing.

Previously, David completed an undergraduate MMath degree at the University of Bath, between October 2009 and June 2013, taking modules across a range of subjects.


  • On finiteness and tails of perpetuities under a Lamperti-Kiu MAP. Submitted to Stochastic Processes and their Applications. Preprint: Co-author: Larbi Alili

Conference's Attended

  • Probability and Non-local PDE's (University of Swansea) 17th-19th September 2018: presented a poster
  • 9th International Conference on Stochastic Analysis and its Applications (Univeristy of Bielefeld) 3rd-7th September 2018
  • Warwick SIAM-IMA Student conference (Universit of Warwick) 15th November 2017: member of organising committe
  • Levy Processes and Anomalous Diffusions (University of Manchester) 26 June 2017

Other Interests:

Outside of Mathematics David enjoys running and cycling and recently took part in a triathlon.