Anthony Coache

Dr. Anthony Coache is a Research Fellow in Mathematical Finance at Imperial College London's Department of Mathematics. He holds a PhD in Statistics from the University of Toronto and specializes in reinforcement learning, stochastic modeling, and risk-sensitive decision-making in financial contexts.

Research Focus: Coache develops algorithms for risk-sensitive control problems using dynamic risk measures, with applications in quantitative finance, algorithmic trading, and optimization under uncertainty.

Recent Publications: Work includes robust RL with distortion risk measures, dynamic convex risk frameworks, and inverse RL for risk aversion modeling. Publications appear in SIAM Journal on Financial Mathematics and Mathematical Finance.

Awards:

• Mathematical Finance Top Cited Article (2023)
• G-Research Grant (2025)
• NSERC Postdoctoral Fellowship (2024–26)
• SIAG/FME Conference Paper Prize (2023)

Supervision: Mentored M.Sc. students from Morgan Stanley, Deutsche Bank, and Qube RT on projects spanning financial factor analysis, default correlation models, and liquidity prediction.