Dr Lukas Szpruch
 Dr Lukas Szpruch
eMail:
Lukas [dot] Szpruch [-at-] maths [dot] ox [dot] ac [dot] uk
Reception/Secretary: +44 1865 273525 Office: DH3 Departmental Address:
Mathematical Institute |
Research Interests:
I am a Nomura Research Fellow at the Mathematical and Computational Finance Group within the Mathematical Institute and a member of Oxford-Man Institute of Quantitative Finance. I hold a Ph.D. in Mathematics from University of Strathclyde in Glasgow. My research interests are in theoretical and applied probability theory, stochastic analysis and numerical methods for stochastic processes. I have a particular interest in non-linear stochastic differential equations arising in financial mathematics and applications of the multi-level Monte Carlo methods. Major/Recent Publications:
S. Dereich, A. Neuenkirch and L. Szpruch, An Euler-Type Method For The Strong Approximation Of The Cox-Ingersoll-Ross Process', submitted. L. Szpruch and X. Mao, Strong Convergence and Stability of Numerical Methods for Non-linear Stochastic Differential Equations under Monotone Condition, submitted. L. Szpruch and X. Mao, Strong Convergence Rates for Backward Euler-Maruyama method for Dissipative-type Stochastic Differential Equations with Super-Linear Diffusion Coefficients, to appear in Stochastics. D. J. Higham, S. Intep, X. Mao and L. Szpruch, Hybrid Simulation of Auto-regulation within Transcription and Translation, BIT Numer Math., Vol. 51, No. 1, pp. 177-196, 2011. L. Szpruch, X. Mao, D. J. Higham and J. Pan, Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model, BIT Numer Math, Vol. 51, No. 2, pp. 405-425, 2011. F. Wu, X. Mao and L. Szpruch, Almost sure exponential stability of numerical solutions for stochastic delay differential equations, Numerische Mathematik, Vol. 115, No. 4, pp. 681-697, 2010. L. Szpruch and D. J. Higham, Comparing Hitting Time Behavior of Markov Jump Processes and Their Diffusion Approximations, Multiscale Model. Simul., No. 8, pp. 605-621, 2010. Further Details:
In August 2010, I co-organised the first OMI and OCCAM Joint Workshop on Stochastic Differential Equations: Numerical Algorithms and Applications. |
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