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University of Oxford
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Heat kernel estimates for FIN processes associated with resistance forms
Stochastic Processes and their Applications issue 9 volume 129 page 2991-3017 (1 September 2019)
A McKean-Vlasov equation with positive feedback and blowups
Annals of Applied Probability (23 July 2019)
An SPDE model for systemic risk with endogenous contagion
Finance and Stochastics (10 June 2019)
A reflected moving boundary problem driven by space-time white noise
Stochastics and Partial Differential Equations: Analysis and Computations (27 March 2019)
A stochastic partial differential equation model for the pricing of mortgage-backed securities
STOCHASTIC PROCESSES AND THEIR APPLICATIONS issue 11 volume 128 page 3778-3806 (November 2018) Full text available
I am a University Lecturer in the Mathematical Institute. I obtained my PhD from the University of Cambridge and held post-doctoral positions at the University of Cambridge and the University of California, San Diego. I previously held academic positions at the Universities of Edinburgh and Bristol before moving to Oxford in 2000.
My research interests are in the area of probability, stochastic processes, mathematical finance and fractals. For further information see my webpage.