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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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Vector Field Mathematics
Shuffle Mathematics
Semimartingale Mathematics
Lévy Process Mathematics
Stochastic Equations Mathematics
Differential equation Mathematics
Series Mathematics
Linear Stochastic Systems Mathematics

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Research Output 1995 2019

Open Access
File
Lévy Process
Algebraic Structure
Stochastic Equations
Differential equation
Vector Field

Flows and stochastic Taylor series in Ito calculus

Wiese, A., Malham, S. J., Ebrahimi-Fard, K. & Patras, F., 18 Nov 2015, In : Journal of Physics A: Mathematical and Theoretical. 48, 49, 17 p., 495202

Research output: Contribution to journalArticle

Open Access
File
Taylor series
Semimartingale
Calculus
Logarithm
Shuffle

The exponential Lie series for continuous semimartingales

Ebrahimi-Fard, K., Malham, S. J., Patras, F. & Wiese, A., Dec 2015, In : Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences. 471, 2184, 20 p.

Research output: Contribution to journalArticle

File
Semimartingale
Vector Field
Series
Logarithm
Homogeneous Manifold

Efficient almost-exact Lévy area sampling

Malham, S. J. A. & Wiese, A., 2014, In : Statistics and Probability Letters. 88, 1, p. 50-55 6 p.

Research output: Contribution to journalArticle

Wiener Process
Logistics
Random variable
Infinite sum
Quasi-Monte Carlo

Lévy processes and quasi-shuffle algebras

Curry, C., Ebrahimi-Fard, K., Malham, S. J. A. & Wiese, A., 2014, In : Stochastics: An International Journal of Probability and Stochastic Processes. 86, 4, p. 632-642 11 p.

Research output: Contribution to journalArticle

Shuffle
Lévy Process
Algebra
Semimartingale
Strong Approximation