Meet the PhD students

 ESR1 Luis Souto Arias

image Luis Souto.jpg

European project at the Delft University of Technology, in the Netherlands, in May 2019. The title of the PhD thesis is “On the subject of Wrong-Way Risk modeling in the context of Credit Valuation Adjustment”.

Between 2016 and 2018 he coursed the Master of Industrial Mathematics at the University of A Coruña, Spain, where he graduated with a thesis titled “Calibration of a Heston Stochastic-Local Volatility Model”.

Between 2018 and 2019 he worked at the University of A Coruña as a research support technician in several GPU-related projects. After 1 year working in the academia he decided to apply for a PhD position in the ABC-EU-XVA European project.

As a fundamental part of the project, there will be an 18 months stay at ABANCA bank and University of A Coruña in the city of A Coruña, Spain. Once this industrial collaboration is completed, he will return to the Netherlands, in order to conclude and defend his thesis.


ESR2 Kristoffer Andersson

In May 2019, Kristoffer started his 4-year PhD project: “Manage portfolio XVA: MVA Sensitivities, KVA under P and Q”.  Particularly, we aim to research and use artificial neueral networks (ANNs) extensively within the XVA context. We wish to understand the benefits of using ANNs within an advance financial risk management context.

Kristoffer is located in Amsterdam, at Centrum Wiskunde & Informatica (CWI) and is also enrolled in in the Graduate School in TU Delft. In addition, a foreign stay of 18 months with the industrial partner Belfius Bank with headquarters in Brussels, Belgium is scheduled.


ESR 3 Graziana Colonna

ESR3 until 31/7/2021.

Graziana Colonna started her 3 years PhD project in the context of XVAs at Universidade da Coruña, Spain, in May 2019. The title of the PhD thesis is “Partial differential equations and hybrid modelling for XVA”.

She took her Master’s degree at Alma Mater Studiorum - Università di Bologna, Italy, where she graduated in 2017 with a thesis titled "Parallel computing for stochastic models with default". It can be found here (

Between 2017 and 2019, she worked at CRIF SPA, Bologna, as business analyst. After two years in the business world of banks, she decided to get back into studying, starting the European project ABC-EU-XVA.


ESR 3B Davide Trevesani

ESR3B started February 2022 a collaboration on Capital Valuation Adjustments (KVA), which is a numerically challenging topic within the XVA setting. When a bank executes a financial derivatives trade there is an incremental impact on its regulatory capital requirement. The cost is typically reflected in the spread charged for the trade, known as a capital valuation adjustment, or KVA, which gives rise to an involved nontrivial calculation, and traditional approaches make specific assumptions regarding the adjustment to a bank’s return on equity. Currently, first highly promising results regarding appropriate modelling of KVA and the numerical solution of the involved BSDEs and PDEs have been established. Feedback from the industry helps a lot in understanding the real situations that need to be appropriately modelled.


ESR4 Roberta Simonella

Roberta Simonella started her 3 years PhD work in the context of the ABC-EU-XVA project at Universidade da Coruña(UDC), Spain, in May 2019.

She took her Master’s degree in Mathematics at Alma Mater Studiorum –Università di Bologna(UNIBO), Italy,where she graduated in October 2018 with a Thesis in Mathematical Analysis titled Tecniche probabilistiche per equazioni differenziali (Probabilistic techniques for differential equations).

She started a Postgraduate course in Mathematical Finance at Dept. of Mathematics, Alma Mater Studiorum –Università di Bologna, Italy, in October 2018 and she obtained her Postgraduate Diploma in Mathematical Finance in April 2019.The title of the PhD work is Mathematical models and numerical methods for XVA in multi-currency setting. Within the PhD period, there will be an 18 months stay at Unipol Gruppo S.p.A. and UNIBO in Italy.


ESR5 Felix Wolf


Felix Wolf is a PhD student at the Université libre de Bruxelles (ULB) in Belgium, where he conducts research on collateralisation in financial markets and its implications on valuation adjustments. In particular, he studies incremental CVA and collateralised VA (CollVA) as part of the ABC-EU-XVA project. His work is carried out in cooperation with Rabobank Netherlands, where he will spend 18 months working with the financial engineering team to better include industry needs into his research.

Before starting his PhD, Felix attained a Masters degree in mathematics from the University of Bonn and a Bachelors degree in mathematics from the University of Heidelberg.


ESR6 Kevin Kamm

Kevin Kamm graduated in March 2018 from the Technische Universität Berlin in Germany after finishing his Master’s thesis on Quadratic Hedging in Markets with Friction.

Followed by a work and travel experience in Australia he started afterwards his 3 year Ph.D project in the context of XVAs with the title Unified model for XVA, including WWR, FTD and Rating at the Università di Bologna, Italy, in May 2019, where he will stay till May 2020.

In the second phase of the Ph.D project he will stay 18 months at Banco Santander in Madrid, which will be followed in the remainder of the Ph.D period by finishing and defending his thesis in Bologna.