+44 1865 615305
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
I am a second-year DPhil student in Mathematical and Computational Finance Group. My research interests include Multi-Level Monte Carlo method and its applications and algorithm developments. My project is supervised by Prof. Mike Giles.
I am also a Senior Research Associate in Value of Information Estimation at the school of social and community medicine at the University of Bristol. (http://www.bristol.ac.uk/social-community-medicine/people/wei-fang/overv...)
2015-2016: Teaching Assistant for Stochastic Differential Equation (Part C course).
2015-2016: Teaching Assistant for Continuous Optimisation (Part C course).
2015-2016: Teaching Assistant for Mathematical Model for Financial derivatives (Part B course).
2016-2017: Tutor for Financial Computing with C++ (MScMCF course).
2016-2017: Tutor for Stochastic Volatility (MScMCF course).
2016-2017: Tutor for Machine Learning (MScMCF course).
Major / Recent Publications:
W. Fang, M.B. Giles “Adaptive Euler-Maruyama Method for SDEs with Non-globally Lipschitz Drift: Part I, Finite Time Interval ”, 2016. Submitted.
W. Fang, M.B. Giles “Adaptive Euler-Maruyama Method for SDEs with Non-globally Lipschitz Drift: Part II, Infinite Time Interval ”, 2017. Submitted.