+44 1865 280600
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Mathematical Finance and Stochastic Analysis: Systemic risk, credit derivatives, particle systems, McKean–Vlasov problems, nonlinear SPDEs.
The main motivation for my work is the modelling of crises and collapses in large financial markets or networks of interconnected banks, where there are conspicuous elements of systemic risk — e.g. in the sense of common exposures, flocking behaviour, and default contagion.
Moreover, I am interested in mean field limits for noisy integrate-and-fire type models coming from mathematical neuroscience.
I tutor a variety of courses on the MSc in Mathematical and Computational Finance: Intro to Probability, Intro to PDEs, Stochastic Calculus, Fixed Income Markets.
Previously, I tutored Complex Analysis and Metric Spaces at Magdalen College.
Prizes, Awards, and Scholarships:
I am generously supported by the EPSRC and various Danish foundations. In particular, I was awarded a Reinholdt W. Jorck stipend in 2015.
In 2018 I was arwarded the biennial Bar-Ilan Young Researcher Prize in Financial Mathematics (in conjunction with the 3rd Bar-Ilan Conference on Financial Mathematics).
Major / Recent Publications:
At the Mercy of the Common Noise: Blow-ups in a Conditional McKean-Vlasov Problem (w. Sean Ledger). arXiv:1807.05126.
An SPDE Model for Systemic Risk with Endogenous Contagion (w. Ben Hambly). arXiv:1801.10088.
A McKean-Vlasov Equation with Positive Feedback and Blow-ups (w. Ben Hambly and Sean Ledger). arXiv:1801.07703.
A note on James' Weak Compactness Theorem.