Gaukhar Shaimerdenova is a Ph.D. candidate at Stochastic Numerics Research Group (STOCHNUM) under the supervision of Professor Raul F. Tempone at King Abdullah University of Science and Technology (KAUST).
Research Interests
Gaukhar's research interests include Stochastic Differential Equations, Numerical Analysis, Data Assimilation, Multilevel/Multi-index Monte Carlo methods, Ensemble Kalman Filtering and Computational Finance.
Selected Publications
- Hoel, H., Shaimerdenova, G. and Tempone, R., 2022. Multi-index ensemble Kalman filtering. Journal of Computational Physics.
- Hoel, H., Shaimerdenova, G. and Tempone, R., 2020. Multilevel ensemble Kalman filtering based on a sample average of independent EnKF estimators. Foundations of Data Science, 2(4):351.
- Capriotti, L., Jiang, Y. and Shaimerdenova, G., 2019. Approximation methods for inhomogeneous geometric Brownian motion. International Journal of Theoretical and Applied Finance, 22(02), p.1850055.
- A study on Expected Shortfall in a multi-currency environment, with Alex Backwell, Christopher Roberts, and Fergus Wegner at FMTC, Cape Town, 2015.
Education Profile
- B.Sc. Mathematics, Eurasian National University, 2013.
- M.Sc. Financial Mathematics, University College London, 2015.
Awards and Distinctions
- Fully-funded Bolashak Scholarship for Master studies, 2013.
- KAUST Fellowship for Ph.D. studies, 2017.
