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.
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.