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.
Prizes, awards, and scholarships:
Currently, I hold an LMS Early Career Fellowship at Columbia University.
My DPhil studies have been generously supported by the EPSRC and various Danish foundations. In 2015, I was awarded a Reinholdt W. Jorck stipend.
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:
Uniqueness for Contagious McKean-Vlasov Systems in the Weak Feedback Regime (w. Sean Ledger). arXiv:1811.12356.
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). To appear in Finance Stoch. arXiv:1801.10088.
A McKean-Vlasov Equation with Positive Feedback and Blow-ups (w. Ben Hambly and Sean Ledger). To appear in Ann. Appl. Probab. arXiv:1801.07703.
A note on James' Weak Compactness Theorem.