Research output per year
Research output per year
Personal profile
Research interests
My research includes the application of stochastic analysis to mathematical finance. I am interested in pricing methods and risk management of financial derivatives, and in computational finance. I am also interested in the design of methods for solving stochastic differential equations, in particular methods that preserve the qualitative characteristics of the solution.
Biography
I joined Heriot-Watt University in 2000. Prior to my current position, I worked as a risk manager in the financial services industry, and I have held academic positions at the University of Hamburg and the University of Karlsruhe. I obtained my PhD at the University of Karlsruhe, Germany.
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Collaborations and top research areas from the last five years
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Applications of Grassmannian flows to coagulation equations
Doikou, A., Malham, S. J. A., Stylianidis, I. & Wiese, A., Sept 2023, In: Physica D: Nonlinear Phenomena. 451, 133771.Research output: Contribution to journal › Article › peer-review
Open AccessFile13 Downloads (Pure) -
Pöppe triple systems and integrable equations
Doikou, A., Malham, S. J. A., Stylianidis, I. & Wiese, A., 27 Sept 2023, (E-pub ahead of print) In: Partial Differential Equations in Applied Mathematics. 100565.Research output: Contribution to journal › Article › peer-review
Open AccessFile -
Series Expansions and Direct Inversion for the Heston Model
Malham, S. J. A., Shen, J. & Wiese, A., 30 Mar 2021, In: SIAM Journal on Financial Mathematics. 12, 1, p. 487–549 63 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile1 Citation (Scopus)52 Downloads (Pure) -
Time Evolution in Quantum Systems and Stochastics
Doikou, A., Malham, S. J. A. & Wiese, A., 27 Mar 2021, Quantum Theory and Symmetries. Springer, p. 523-532 10 p. (CRM Series in Mathematical Physics).Research output: Chapter in Book/Report/Conference proceeding › Chapter
Open AccessFile10 Downloads (Pure) -
Algebraic structures and stochastic differential equations driven by Lévy processes
Curry, C., Ebrahimi-Fard, K., Malham, S. J. A. & Wiese, A., 23 Jan 2019, In: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences. 475, 2221, 20180567.Research output: Contribution to journal › Article › peer-review
Open AccessFile4 Citations (Scopus)220 Downloads (Pure)