+44 1865 280613
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Multilevel Monte Carlo method for ergodic SDEs without contractivity
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS issue 1 volume 476 page 149-176 (1 August 2019) Full text available
Adaptive euler–Maruyama method for SDEs with non-globally lipschitz drift
volume 241 page 217-234 (1 January 2018)
I am a fourth-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 part-time Postdoctoral Research Assistant in the Mathematical Institute in Oxford, working on the ICONIC project funded by EPSRC to develop algorithms to propagate uncertainty in mathematical models relating to crime, security and resilience in urban environments. For more detail, see https://iconicmath.org/.
I was a Senior Research Associate in Value of Information Estimation at the school of social and community medicine at the University of Bristol. Explore the application of efficient Monte Carlo methods (MLMC, QMC) and parallel computing in the computation of the value of information quantities such as Expected Value of Partial Perfect Information (EVPPI). Successfully apply all the methodology to the latest medical treatment for the Atrial Fibrillation.
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).
2016-2018: Tutor for Financial Computing with C++ (MScMCF course).
2016-2018: Tutor for Stochastic Volatility (MScMCF course).
2016-2018: 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.
W. Fang, M.B. Giles "Multilevel Monte Carlo Method for Ergodic SDEs without Contractivity", 2018. Submitted. Pre-print: http://arxiv.org/abs/1803.05932