Professor of Applied Mathematics
Personal Website:
+44 1865 615174
Address
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG
Highlighted Publications:
ERROR ANALYSIS OF TRUNCATED EXPANSION SOLUTIONS TO HIGH-DIMENSIONAL PARABOLIC PDES
ESAIM-MATHEMATICAL MODELLING AND NUMERICAL ANALYSIS-MODELISATION MATHEMATIQUE ET ANALYSE NUMERIQUE
issue 6
volume 51
page 2435-2463
(18 December 2017)
Full text available
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
(July 2017)
Full text available
A forward equation for barrier options under the Brunick & Shreve Markovian projection
QUANTITATIVE FINANCE
issue 6
volume 16
page 827-838
(June 2016)
Full text available
Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations
APPLIED NUMERICAL MATHEMATICS
volume 103
page 27-47
(May 2016)
Full text available
On the Use of Policy Iteration as an Easy Way of Pricing American Options
SIAM Journal on Financial Mathematics
(2012)
Full text available
Recent Publications:
Efficient exposure computation by risk factor decomposition
Quantitative Finance
page 1-22
(24 April 2018)
Numerical analysis of an extended structural default model with mutual liabilities and jump risk
JOURNAL OF COMPUTATIONAL SCIENCE
volume 24
page 218-231
(January 2018)
Full text available
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)
A PARTIAL FOURIER TRANSFORM METHOD FOR A CLASS OF HYPOELLIPTIC KOLMOGOROV EQUATIONS
SIAM JOURNAL ON NUMERICAL ANALYSIS
issue 4
volume 55
page 1867-1891
(2017)
Full text available
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)
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)
- McKean-Vlasov equations
Mathematical and computational finance:
- derivative valuation and counterparty credit risk (in particular, large pool contagion models)
- quantification of hedging errors
- model calibration (FX, equity, credit)
- investment and incomplete markets
Preferred Address:
Further Details:
I am a Professor of Applied Mathematics 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.