Professional and academic position:
Jun 09 - present Professor in Mathematics (W3) at TU Berlin; also affiliated to WIAS Berlin
Oct 08 - May 09 Research Group Leader, Radon Institute (Linz, Austria)
Oct 07 - May 09 Reader in Mathematics (tenured) at Cambridge University
Sep 07 - Dec 07 Visiting member, Mittag-Leffler Institute (Sweden)
Oct 04 - Sep 07 Lecturer (then: tenured Lecturer) in Mathematics at Cambridge University
Jan 04 - Sep 04 Associate at Merrill Lynch, New York, in Jim Gatheral’s quant group (Equity)
Summer 03 Summer Associate at Merrill Lynch (New York), research project on volatility derivatives
Summer 01 BNP-Paribas, New York, research project on Bermudan Swaptions (Fixed−Income)
Summer 00 Research project at the Ecole Normale Supérieure (Paris, France), results published
Summer 98 Research project at Oxford University (Dept. of Mathematics), results published
Summer 91-96 Several IT internships including IBM (Vienna) and Boehler (Milan).
Education:
Sep 00 - Dec 03 New York University, PhD at the Courant Institute of Mathematical Sciences;
Topics: Stochastic and Rough Path Analysis, Finance; Advisor: S.R.S. Varadhan
Oct 99 - Jun 00 Cambridge University, Certificate of Advanced Studies in Mathematics, scholarship
and member of Trinity College, elected Fellow of Cambridge European Trust
Sep 97 - Jun 99 Ecole Centrale Paris, Physics and Engineering, double degree program with
Oct 93 - Oct 99 Vienna University of Technology (Austria), Mathematical Computer Sciences
Teaching experience:
04 - present Cambridge: Probability, Stochastic Financial models, Rough Path Analysis
00 - 03 NYU: Calculus, PDE, Case Studies in Financial Modeling
96 - 99 Several teaching assistant positions in Vienna & Paris
Languages:
German Mother tongue
English Lived and worked in UK/USA since 1999
French "Diplôme de Langue Française" (Alliance Française)
Italian 4 years at school, summer lectures (95), internship in Italy
Publications (see http://www.statslab.cam.ac.uk/~peter/ for details and latest updates):
~30 published/accepted articles (plus several preprints) in the broad area of PDE, Finance and Stoch. Analysis;
published in Physica D, JFA, JDE, Quant. Finance, RISK, Math. Finance, Annales de l'IHP, Annals of Probability,
PTRF, Proceedings - and Transactions of AMS, Annals of Mathematics ...
Book: Stoch. Processes as Rough Paths (Cambridge University Press)
Awards, Grants and Fellowships:
EPSRC Principle Investigator (EP/E048609/1, 205K), Jun 07 - Sep 09
Leverhulme Personal Research Fellowship, Jun 06 - 08
CERF grant for research in Finance, Nov 06 - Sep 09
Fellowship at King's College, Cambridge, Oct 04 - May 09
Kurt Friedrich prize of the Courant Institute, Apr 04
Fellow of Austrian Academy of Science, Oct 02
MacCracken Fellowship, NYU, Sep 00
Elected Fellow of the Cambridge European Trust, Apr 00
Trinity College Scholarship in Mathematics, Oct 98
Selected Recent and Forthcoming Talks:
Sep 2005 (Princeton University): Pricing Volatility Derivatives as Inverse Problem
Sep 2006 (Ecole Polytechnique, Paris): Rough Paths and Carnot-Caratheodory Geometry
Sep 2006 (DMV 06, Bonn): Rough Paths and Carnot-Caratheodory Geometry
Sep 2006 (Columbia University): Rough Paths and Stochastic Analysis
Oct 2006 (Quant Congress Europe, London): Implied Volatility at Extreme Strikes
Jan 2007 (Oxford University): Differential Equations driven by Gaussian Signals
Mar 2007 (Imperial College): The Black-Scholes Volatility and Related Topics
Apr 2007 (BMC 07, Swansea): Malliavin Calculus and Rough Paths
May 2007 (Newton Institute, Cambridge): Rough Paths and Oscillations
Jul 2007 (ICMS, Edinburgh): On the Black-Scholes implied volatility at extreme strikes
Sep 2007 (Mittag-Leffler Institute, Sweden): Malliavin Calculus and Rough Paths
Feb 2008 (Cambridge): Partial Differential Equations Driven by Rough Paths
Mar 2008 (Courant Institute): Hoermander Theory and Rough Paths
Apr 2008 (University of Vienna): Volatility Asymptotics
May 2008 (TU Berlin): Properties of differential Equations driven by Gaussian processes
Jul 2008 (5ECM): Partial differential equations driven by rough paths
Oct 2008 (Princeton conference on implied volatility): Implied volatility at large strikes
Feb 2009 (Trinity College Math. Society): From Lie groups to option pricing
Mar 2009 (Imperial College): A rough pathwise approach to fully non-linear SPDEs
Sep 2009 (OEMG-DMV Congress 2009): From numerical aspects of stochastic financial models to the foundations of stochastic differential equations (and back)
Aug 2010 (ICM 2010, satellite meeting on Probability and Stochastic Processes): Two invited talks, titles TBA
Conference Organization:
Co-organizer of workshop on Stochastic Analysis and Computational Finance (Imperial College, Nov 2005)
Organizer of symposium on Rough Path Theory, 5th European Congress of Mathematics (Amsterdam, 2008)
Organizer of special session on Rough Path Theory, SPA (Berlin, 2009)
Recent teaching:
Stochastic Financial Models (Cambridge, Lent Term 05, 06, 07, 08)
Introduction to Probability (Cambridge, Michaelmas Term 04)
Rough Paths Analysis (Camridge, Michaelmas Term 05, 06)
Topics in Stochastic Analysis (Cambridge, Easter Term 07)
Minicourse on Rough Paths (Columbia, March 08 + Vienna, Feb 09)
Former PhD-students:
Thomas Cass (04-07), now post-doctoral researcher at Oxford University
Shalom Benaim (04-07), now Associate at Royal Bank of Scotland
Harald Oberhauser (06-09)
PostDoc supervision:
Dr. Michael Caruana (07-09)
Cambridge MPhil project supervisions: various Finance related projects (since 04)