Email: Aleksandra.Tokaeva@warwick.ac.uk

WhatsApp: +7-906-789-49-10

LinkedIn: https://ru.linkedin.com/in/alexandra-tokaeva-111985266Link opens in a new window

About me

I am a MSc graduate from MathSys CDT (University of Warwick) . I am interested in calculation of CVA (credit value adjustment) for different asset classes (FX&Rates, Equities, Commodities) and derivatives pricing with focus on interest rate derivatives (in LGM and Cheyette models), including both Monte Carlo and analytical approaches.

I have deep knowledge in Probability Theory, Random Processes, Stochastic Modelling, Stochastic Analysis, Monte Carlo methods, Numerical methods, Interest Rates models. I have experience of pricing vanilla Rates&FX products (FX Forwards, IRS, CIRS, Cap/Floors), together with light exotics (Autocallable Cap/Floors and Autocallable notes). I also have experience of implementing pricing models, CVA and curve calibration in Python and C/C++.

I am also interested in stochastic control methods for optimal pair trading and applications of HJB equation and Pontryagin's stochastic maximum principle to these problems (see articles of Kabanov-Kozhevnikov, Boguslavskaya-Muravey, Pergamenchtchikov).

Publications:

• I. V. Evstigneev, A. A. Tokaeva, M. J. Vanaei, M. V. Zhitlukhin, “Survival strategies in an evolutionary finance model with endogenous asset payoffs”, Annals of Operations Research, 2023, 1–2.

• M. V. Zhitlukhin, A. A. Tokaeva, "Necessary and sufficient conditions for survival strategies in asset markets with endogenous prices", Teoriya Veroyatnosti i primenenia, 2024, 69:4.

• A. A. Tokaeva, "Caplet Formulae for Backward-Looking Term Rates with Linear Gaussian Model", Advances in Strategic Management and Leadership, 2024.

Education:

• MSc Mathematics of Systems, University of Warwick, Coventry, UK, 2023 - 2024; Passed courses in Interest Rate Models, Brownian Motion, Stochastic Analysis, Numerical methods, Data Analysis
• MSc+BSc Fundamental Mathematics, Lomonosov Moscow State University, Moscow, Russia, 2017 - 2023 (First Class Honours); Passed courses in Algebra, Geometry, Analysis, Physics, Mechanics and Programming
• Vega Institute of Financial Mathematics, Moscow, Russia, 2021 - 2023; Passed courses in Interest Rate Models, Stochastic Volatility Models, Asset Pricing, Monte-Carlo methods, Game Theory, Convex Optimisation, Mean Field Games, Viscosity solutions, Rough Path
• Technosphere Data Analysis school by Mail.ru, Moscow, Russia, 2020 - 2021; Passed courses in Advanced Python, C/C++ and Machine Learning

Projects:

• Stochastic control theory in portfolio selection, MSc Project (Jun. 2024 - Sep.2024).

• Bayesian Optimization: which constraints matter, MSc Group Project (Apr. 2024 - Jun. 2024).

• Caplet Formulae for Backward Looking Term Rates with Linear Gaussian Model(Jun. 2024 - Nov. 2024), Vega Institute Research Group

• Rates Curves Calibration (Jan. 2023 - March 2023), Vega Institute Applied Mathematical Finance course
• Local Stochastic Volatility Model (Sep. 2022 - Jan.2023), Vega Institute Research Group

Teaching Experience:

• Quantitative Finance, Higher School of Economics (Sep. 2024 - Dec. 2024)
• Interest Rates and Credit models, Vega Institute (Sep. 2022 - Dec. 2022)