Welcome! I am Professor in Mathematics at TU-Berlin, part of the Research Group: Probability Theory and Mathematical Finance.
I am also affiliated to the Weierstrass Institute for Applied Analysis and Stochastics; here is a Brief CV with research interests.
Links for research admin and interested colleagues:
And here for my recent teaching activity.
Links for students:
Links for visitors:
I am located in room 704, 7th floor, in the Institute of Mathematics. You may want to look at a local Berlin map or see my
Rough path analysis allows for a fresh, if not revolutionary, view on Ito's important theory of stochastic differential equations. I frequently give invited courses on rough paths,
most recently in Cambridge, Paris (IHP) and Bonn (HIM). I have also been acting as organizer for rough path meetings, e.g. as part of 5ECM, SPA,
SPDE10 at the Newton Institute, IPAM L.A. and Oberwolfach.
The world of finance has become a major consumer of mathematics. In turn, it continues to provide us with good problems. Having spent more than a year on
Wall Street, I prefer financial mathematics with direct industry relevance. For instance, there is an ever-growing need for closed form approximate solutions
derived from various parts of asymptotic analysis. I was invited speaker at meetings such as Quant Congress Europe, the Bachelier conference and Global Derivates.