Łukasz Szpruch

The University of Edinburgh

Lukasz Szpruch a Professor at the School of Mathematics, the University of Edinburgh, and the Programme Director for Finance and Economics at the The Alan Turing Institute, the National Institute for Data Science and AI. Before joining Edinburgh, I was a Nomura Junior Research Fellow at the Institute of Mathematics, University of Oxford. His broad research interests span probability theory, stochastic analysis and theoretical machine learning. He is currently researching on the mathematical foundation of deep learning, mean-field models, (inverse) reinforcement learning, game theory and multiagent systems, sampling and optimisation algorithms, computational optimal transport, and the theory of gradient flows. He is also interested in applications of these areas in finance and economics.

Articles by Łukasz Szpruch

Original research

Robust pricing and hedging via neural stochastic differential equations

The authors propose a model called neural SDE and demonstrate how this model can make it possible to find robust bounds for the prices of derivatives and the corresponding hedging strategies.

17 Feb 2023

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