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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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Research Output

Open Access
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  • 33 Downloads (Pure)

    Stochastic analysis & discrete quantum systems

    Doikou, A., Malham, S. J. A. & Wiese, A., Aug 2019, In : Nuclear Physics B. 945, 114658.

    Research output: Contribution to journalArticle

    Open Access
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  • 9 Downloads (Pure)

    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
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  • 68 Downloads (Pure)

    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
  • 35 Downloads (Pure)

    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