1995 …2023

Research activity per year

Personal profile

Research interests

Research Interests

My research interests are in a broad range of areas related to the analysis of stochastic systems and their applications. It is characteristic for my research that it often bridges different mathematical fields. My current work focuses on the development of novel methods for solving stochastic differential equations around the following related themes:

  • Development and analysis of integration methods that preserve qualitative characteristics of the stochastic differential equation to be solved, with and without jumps,
  • Algebraic structure of stochastic differential equations,
  • Mathematical computational finance.

PhD Supervision

I am always interested in hearing from possible PhD applicants. Please feel free to email me as a first step in your application if you are interested in pursuing PhD studies with me.

Biography

Before I joined Heriot-Watt University, I worked in front-office risk management 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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