Research
"No artificial distinction has to be drawn between pure and applied mathematics. ... We maximize the chances of success by moving as freely as possible between the science of the model and any branch of mathematics appropriate for its analysis. ... The unity of the modelling/analysis process was second nature to many of the greatest mathematicians of previous generations, such as Newton, Euler, Riemann, and Cauchy. For example, Cauchy made fundamental advances both in developing continuum models of solids and fluids and in inventing numerous techniques for their analysis, including complex integration theory and many basic tools of real analysis.." John M. Ball
Research interests
Stochastic (partial) differential equations of degenerate parabolic type. Kolmogorov equations. Applications to mathematical finance. American options. Asian/path-dependent options and volatility modelling. Free boundary and optimal stopping problems. Analytic approximation of financial derivatives.
My research profile can be accessed via the following links
Some recent talks:
"Kolmogorov (S)PDEs", seminar at Wrocław University of Science and Technology, 30 April 2021, Wrocław
"Kolmogorov SPDEs and applications to stochastic filtering", Workshop "Nonlocal Operators and Markov Processes", 25 March 2021, Dresden-Wrocław