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.
Most recent papers are on the arXiv;
you can also have a look at MathScinet (subscribers only ...) or try Google Scholar.
Here is a list of former PhD students, a list of present PhDs & Postdocs and a recent photograph, courtesy of MFO.
Links for research admin and interested colleagues:
A list of my
recent publications and preprints (2010-); for publications previous to 2010
A list of my recent seminar and conference activity (2010-); for selected activity previous to 2010 click here.
Here is a list of my recent teaching activity.
Links for students:
Student infos about ongoing seminars, courses etc. (incl. office hours).
Courses offered in this / next semester.
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
full contact details including mailing address. For invited visitors only: travel expense form, please mail to Frau Downes.
Stochastic analysis and
rough path theory:
Rough path analysis allows
for a fresh, if not revolutionary, view on Ito's important theory of stochastic
differential equations. I taught rough path theory in
Cambridge, Columbia and TU-Wien
(click here for a set of
notes). I have also been acting as organizer for rough path meetings, e.g. as
part of 5ECM or SPA09
or most recently SPDE10 at the Newton Institute.
My present research in this area is supported by an ERC Starting Grant
(some info); past supporters include the Leverhulme Trust and EPSRC.
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. In recent work, we have used large deviations and
Tauberian techniques to derive such formulae. I was invited
speaker at meetings
such as the Quant
Congress Europe or the Bachelier
My present research in this area is supported by and MATHEON; past supporters include the
Endowment of Research in Finance.
Multidimensional stochastic processes as
rough paths. Theory and
Cambridge Studies in Advanced Mathematics, Cambridge University Press
on Amazon or have a
look at Google books.
Other links of interest:
The Annals of Applied Probability (login here)
where I currently act as an Associate Editor.
Veranstaltungen am Bereich