People A-Z

Research Interests

I am a Professor of Stochastic Analysis and Algorithms at the University of Edinburgh. I also hold the personal chair of Statistics and Stochastic Analysis at the National Technical University of Athens. My research focus is on explicit numerical algorithms for nonlinear random systems of (typically) high dimension and their interplay with core data science and AI 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, MCMC algorithms and stochastic optimizers for the training of artificial neural networks. Any application of these methodologies to financial data is of keen interest to me.

Research Project at the Alan Turing Institute

Industrial Project - Edinburgh Innovations

Research Publications

Google Scholar

Research Groups

• Probability & Stochastic Analysis

Current and Recent PhD Students

Current:

- Iosif Lytras ;

- Tim Johnston ;

Recent:

- Ying Zhang;

- Chaman Kumar ;

- Raj Kumari Bahl;

Recent Conference and Workshop Involvement

Invited Speaker or Conference/Workshop Organiser (selected list):

12th International Conference on Monte Carlo Methods and Applications, 8–12 July 2019, Sydney, Australia. [Session Chair]

- Workshop ’SDEs/SPDEs: Theory, Numerics and their interplay with Data Science’, University of Crete, 26-30 June, Crete, Greece. [Organiser]

- SIAM Conference on Financial Mathematics & Engineering, 3–7 June 2019, Toronto, Canada.[Session Chair]

- Workshop 'New trends in stochastic analysis', Academy of Mathematics and Systems Science, Chinese Academy of Sciences, 11-23 September 2018, Beijing, China.

- 13th International Conference in Monte Carlo \& Quasi-Monte Carlo Methods in Scientific Computing, 1-6 July 2018, Rennes, France.

- Alan Turing Institute workshop on 'Analysis of adaptive stochastic gradient and MCMC algorithms', 14-15 June 2018, London. [Organiser]

- Foundations of Computational Mathematics conference, 10-19 July 2017, Barcelona, Spain.

- 11th International Conference on Monte Carlo Methods and Applications, 3-7 July 2017, Montr\'{e}al, Canada.

- CAMP Seminar, Ecole Polytechnique, 22nd September 2016, Paris.

- Conference on Stochastic Analysis in Honour of Istvan Gyongy'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 Matematiques, 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.

Biographical Statement

Professor Sotirios Sabanis is the Director of Knowledge Exchange at the School of Mathematics of the University of Edinburgh. He also holds the personal chair of Statistics and Stochastic Analysis at the National Technical University of Athens. He received his undergraduate training in Mathematics at the Aristotle University of Thessaloniki and was awarded a PhD from Strathclyde University (Department of Statistics and Modelling Science), Glasgow. As founding Programme Director, he led the development of a suite of postgraduate programmes in Computational Mathematical Finance at the University of Edinburgh and collaborates with industry (mainly financial services) through a number of joint projects. His research has appeared in the Annals of Applied Probability, SIAM Journal on Numerical Analysis, Bernoulli, SIAM Journal on Mathematics of Data Science, Stochastic Partial Differential Equations and other leading journals.

Professional Activities

Turing Fellow, The Alan Turing Institute, London.

Director of Impact/Knowledge Exchange.

Programme Director:

- (2015-18) MSc in Computational Mathematical Finance

- (2010-18) MSc in Financial Modelling and Optimization

Publications

• Personal webpage with publications