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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
Stochastic Equations Mathematics
Differential equation Mathematics
Series Mathematics
Linear Stochastic Systems Mathematics
Logarithm Mathematics

Co Author Network Recent external collaboration on country level. Dive into details by clicking on the dots.

Research Output 1995 2019

Open Access
File
integrators
Algebraic Structure
Stochastic Equations
Differential equations
differential equations

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
File
differential equations
hierarchies
diffusion coefficient
Ornstein-Uhlenbeck process
matrices

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