Research InterestsMy research focus recently has been on explicit numerical algorithms for nonlinear random systems of (typically) high dimension and their interplay with data science techniques. Examples of these algorithms are explicit numerical schemes for Stochastic (Partial) Differential Equations, stochastic approximation methods in the context of recursive identification of system parameters and MCMC algorithms. Any application of these methodologies to financial data is of keen interest to me.
Recent Conference and Workshop Involvement
Invited Speaker or Conference/Workshop Organiser (selected list)
- CAMP Seminar, Ecole Polytechnique, 22nd September 2016, Paris.
- Conference on Stochastic Analysis in Honour of István Gyöngy’s 65th Birthday, 10-12 September 2016, University of Edinburgh. [Organiser]
- Workshop of Statistics for Differential Equations Driven by Rough Paths, 6-10 September 2016, Warwick University.
- 12th International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing, 14-19 August 2016, Stanford, USA.
- 7th European congress of Mathematics, 18-22 July 2016, Berlin.
- Alan Turing Institute workshop on 'MCMC and diffusion techniques', 8-10 June 2016, London. [Organiser]
- Mathematics Seminar, Renyi Institute of the Hungarian Academy of Sciences, 12th May 2016, Budapest.
- 1st Joint Austrian-Hungarian Mathematical Conference, August 25-27, 2015. Gyor, Hungary.
- 10th IMACS Seminar on Monte Carlo Methods (MCM 2015), July 6-10, 2015. Linz, Austria.
- 1st Joint meeting Edinburgh Mathematical Society & Societat Catalana de Matemàtiques, May 28-30, 2015. Barcelona, Spain.
- Stochastic seminar, Uppsala University, 21st April 2015. Uppsala, Sweden.
- The 4th Joint British Mathematical Colloquium & British Applied Mathematics Colloquium, 30th March - 2nd April 2015. Cambridge.
- Probability seminar at the University of Campinas, 16th December 2014. Campinas, Brazil.
- 8th Foundations of Computational Mathematics (FoCM) conference, December 11 - 20, 2014. Montevideo, Uruguay.
- MSc in Computational Mathematical Finance
- MSc in Financial Modelling and Optimization