James Wheeldon
I am a third-year student in the Warwick Statistics CDT studying BSDEs with multiple default jumps and their application in financial mathematics, focusing on the pricing and hedging of contingent claims. I am particularly interested in how the solutions of these processes can be used in credit risk, specifically in X-Value Adjustment (XVA). I am currently working on a number of projects with my supervisor Dr. Miryana Grigorova, including how BSDEs with multiple default jumps can be used to price and hedge European contingent claims in linear / nonlinear market models.
Prior to my PhD, I completed a 3-year BSc degree at the Queen Mary University of London in Mathematics with Actuarial Science, and a 1-year MSc degree at Warwick Business School in Mathematical Finance. My Masters dissertation, titled Markov Chain Credit Migration Models Under Nonlinear Expectations and Uncertainty, focused on incorporating model uncertainty into the classical Jarrow, Lando and Turnbull (JLT) corporate bond pricing model.
Publications
Grigorova, M., & Wheeldon, J., "European Options in Market Models with Multiple Defaults: the BSDE Approach", arXiv preprint, 2026, https://arxiv.org/abs/2601.01250