Welcome! I
am Einstein 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.
Most recent papers are on the arXiv;
Here is a list of former PhD students and here a recent photograph, courtesy of MFO.
Links for students:
Student infos about ongoing seminars, courses etc. (incl. office hours).
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: There are regular calls from the Berlin Mathematical School. (Please let me know if you apply there and wish to work with me.)
Links for research admin and interested colleagues:
A list of my
recent publications and preprints (2010-); for publications previous to 2010
click here.
A list of my conference activities and related topics (2010-); for selected activity previous to 2010 click here.
(If the above links do not work, please try to clear cache or open in private browser window.)
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
full contact details including mailing address. For invited visitors only: travel expense form, please mail to Frau Downes.
RESEARCH
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 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.
My present research in this area is supported by DFG, the European Research Council and the Einstein foundation; past supporters include EPSRC and the Leverhulme Trust.
Quantitative finance:
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
My past research in this area was supported by MATHEON and
Books: with N. Victoir (Errata Feb 2011 here) and M. Hairer (Errata Apr 2015 here)
