Associate Professor in Mathematical Finance
Personal Website:
+44 1865 615174
Address
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG
Highlighted Publications:
Boundary Treatment and Multigrid Preconditioning for Semi-Lagrangian Schemes Applied to Hamilton–Jacobi–Bellman Equations
Journal of Scientific Computing
issue 1
volume 72
page 198-230
(1 July 2017)
A forward equation for barrier options under the Brunick & Shreve Markovian projection
Quantitative Finance
issue 6
volume 16
page 827-838
(2 June 2016)
Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations
APPLIED NUMERICAL MATHEMATICS
volume 103
page 27-47
(May 2016)
Full text available
The Impact of a Natural Time Change on the Convergence of the Crank-Nicolson Scheme
(19 October 2012)
Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance
SIAM JOURNAL ON FINANCIAL MATHEMATICS
issue 1
volume 3
page 572-592
(2012)
Full text available
Recent Publications:
A Partial Fourier Transform Method for a Class of Hypoelliptic Kolmogorov Equations
SIAM Journal on Numerical Analysis
issue 4
volume 55
page 1867-1891
(9 August 2017)
A mixed monte carlo and partial differential equation variance reduction method for foreign exchange options under the heston-cox-ingersoll-ross model
Journal of Computational Finance
issue 3
volume 20
page 109-149
(1 February 2017)
Exponential integrability properties of euler discretization schemes for the Cox-Ingersoll-Ross process
Discrete and Continuous Dynamical Systems - Series B
issue 10
volume 21
page 3359-3377
(1 December 2016)
Multilevel Simulation of Functionals of Bernoulli Random Variables with Application to Basket Credit Derivatives
Methodology and Computing in Applied Probability
issue 3
volume 17
page 579-604
(10 September 2015)
Numerical valuation of derivatives in high-dimensional settings via partial differential equation expansions
JOURNAL OF COMPUTATIONAL FINANCE
issue 4
volume 18
page 95-127
(2015)
Full text available
Research Group:
Research Interests:
Numerical analysis:
- high-dimensional PDEs
- non-linear PDEs (in particular, of HJB-type)
- variational inequalities
- multilevel and multi-index Monte Carlo
- SPDEs (in particular, of Zakai-type)
- SDEs (especially non-Lipschitz)
Mathematical and computational finance:
- derivative valuation
- model calibration (FX, equity, credit)
- investment and incomplete markets
Preferred Address:
Further Details:
I am an Associate Professor in Mathematical Finance and Tutorial Fellow in Mathematics at St Catherine's College. I am Co-Editor-in-Chief of Applied Mathematical Finance, and serve on the editorial board of The Journal of Computational Finance and the International Journal of Computer Mathematics. I have a doctorate from the University of Heidelberg in scientific computing and a degree from Linz in applied mathematics.
Teaching:
I teach various Masters level courses in the areas of computational finance, numerical analysis and partial differential equations. I have examined on several Masters programmes and numerous PhD committees at and outside Oxford, and was Course Director of the professional MSc in Mathematical Finance at Oxford for over six years. I am a tutor for Applied Mathematics at St Catherine's College, Oxford, and have occasionally served as Director of Studies.
Major / Recent Publications:
For an up-to-date list of publications and preprints see here.