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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.


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
Lévy Process
Algebraic Structure
Stochastic Equations
Differential equations

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
Taylor series

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

Vector Field
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
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

Lévy Process
Strong Approximation