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Son Le

I am currently in the MSc leading to PhD program of the Mathematics of Systems Centre of Doctoral Training program. My research interest include Machine Learning, Bayesian Statistics, Time-Series Analysis, Natural Language Processing, Deep Learning with a particular focus on Reinforcement Learning applied to Finance.

Prior to studying at the University of Warwick, I was an Executive Director at major Investment Banks such as Citigroup and UBS. I was the firm's senior inflation trader responsible for the market making activity in GBP inflation products. The large linear GBP inflation trading books I ran consisted of both bonds and derivatives, including linkers, gilts, inflation swaps, asset swaps and interest rate swaps. More recently I ran a EUR inflation and EUR long end core/ semi-core trading book. Prior to GBP Inflation, I traded Structured Credit/ Synthetic CDOs/ CDS.

I completed an MSc in Economics at the University of Konstanz, Germany and University of Oxford with 1.6 grade point average (Top 5%). My specialization was in Mathematical Finance, Financial Econometrics and Statistics. My M.Sc. thesis on ‘Stochastic Volatility Models for Foreign Currency Options’ supervised by Prof Jens Jackwerth (Institute of Finance, Konstanz), received distinguished grades, 1.3 (Top 5%).

Mobile: +49 152 256 76 477
Email: s.le@warwick.ac.uk