+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 large financial markets and networks of interconnected banks, where there are conspicuous elements of systemic risk — e.g. in the sense of common exposures and default contagion.
Moreover, I am interested in mean field limits for noisy integrate-and-fire type models coming from mathematical neuroscience.
This year, I'm tutoring Intro to Probability, Intro to PDEs, Stochastic Calculus and Fixed Income on the MSc in Mathematical and Computational Finance.
Previously, I tutored Complex Analysis and Metric Spaces at Magdalen College.
Prizes, Awards, and Scholarships:
I am generously supported by various Danish foundations. Most prominently, I was awarded the Reinholdt W. Jorck stipend in 2015 along with a Laurits Andersen scholarship.
Major / Recent Publications:
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.