Numerical Analysis
computational biology
quantitative finance
Welcome to my website
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I am a DPhil Research Student in the Numerical Analysis Group (led by Pr. Nick Trefethen) of the Oxford University Computing Laboratory and in the Computational Biology Group. I am funded through the Integrative Biology project led by Pr. David Gavaghan. I reside at New College. My research supervisors are Dr. Jon Whiteley and Pr. David Gavaghan and Pr. Endre Süli. My college academic adviser is Dr. Andy Wathen.
My undergradute studies started in 1999 and were focused on pure mathematics and theoretical physics at Lycée Henri IV (Paris) (click on link to wikipedia summary, there is a link to the official site in about me). I then studied scientific engineering, computer science and further pure mathematics at Ecole Centrale Paris (click on link to wikipedia summary, there is a link to the official site in about me, it is a grand établissment), from which I graduated in November 2004 with an MSc in Scientific Engineering / Applied Mathematics with an aggregate result among the top 5%. At the same time, I also graduated with distinction (equivalent to summa cum laude) at Oxford University (click on link to wikipedia summary, there is a link to the official site in about me) with an MSc in Mathematical and Scientific Computing in November 2004 (more details in research).
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Below are a few of my many interests.
numerical analysis
In the numerical analysis world I am particularly interested in adaptive high-order, unstructured, finite element methods (continuous and discontinuous). I am also interested in high order adaptive time integration schemes for stiff problems. Time and space adaptivity are at the centre of most of the current research in finite element methods and it is a very powerful technique that is general enough to work for many different kinds of problems with complicated geometries. The way the adaptivity is implemented is very much problem dependent and a great amount of analysis has to be employed for the methods to be as efficient as possible. These high order methods are really well suited to problems with smooth solutions which allow for exponential convergence.
computational biology
Computational biology is fast becoming a major area of applied mathematics. More and more funding is going in this fascinating area of research. I focus mainly on models of the electrical activity of the heart and use the above numerical methods to solve these models. Most of the methods used to date have been relatively simple and applying high order methods with adaptivity is challenging and very interesting. Being capable of solving the models with a high degree of accuracy is very important in contributing to the understanding of cardiac arrhythmias.
quantitative finance
Quantitative finance has been a major area for the development of numerical methods and applied mathematics in general since Black and Scholes. My interests lie both in the equity and fixed income world. I am particularly interested in Quasi-Monte Carlo methods (low discrepency sequences), variance reduction techniques, asian and american options, stochatic volatility (Heston in particular) and simulation of forward rates (market models) in general. Of course PDE methods are also of interest to me, but this is covered in the numerical analysis paragraph.
contact information
Nicolas Jeannequin
MSc Scientific Engineering (Ecole Centrale Paris), MSc Mathematical Modelling and Scientific Computing (Oxford University), DPhil Numerical Analysis (Oxford University)
Work address :
Nicolas Jeannequin
Oxford University Computing Laboratory
Wolfson Building
Parks Road
Oxford OX1 3QD
England
Home address :
Nicolas Jeannequin
New College
Holywell St
Oxford OX1 3BN
England
Mobile : +44 7747 811 698
Email : nicolas.jeannequin@new.ox.ac.uk
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