Welcome! I am full 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 students:
Prospective postdocs: Together with Wilhelm Stannat, I coordinate DFG research unit Rough paths, stochastic partial differential equations and related topics (2016-2019).
I am also principal investigator for ERC Starting Grant Rough path theory, differential equations and stochastic analysis (2010-2016) and
ERC Consolidator Grant Geometric aspects in pathwise stochastic analysis and related topics (2016-2021). Expressions of interest always welcome.
Prospective PhD-students: I am part of DFG graduate school 1845 with regular calls for applications. Mind that our school is very competitive.
Links for research admin and interested colleagues:
And here for my recent teaching activity.
Links for visitors:
I am located in room MA 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 needs mathematics, even moreso in times of crisis. 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. In recent years I was especially interested in analysis and modelling of volatility.
I was repeatedly invited speaker at meetings such as Quant Congress Europe, the Bachelier conference and Global Derivates.