My research interests are in financial mathematics and statistics in finance. I am particularly interested in problems related to risk management in financial markets. One special focus of my research is on systemic risk in financial networks for which I have been awarded at George Fellowship by the Bank of England in 2016. I am also interested in the modelling of energy markets, optimal investment problems and stochastic volatility models. I am an Associate Editor of Applied Mathematical Finance.
Prior to joining LSE in 2010, I have been an Assistant Professor of Financial Mathematics at the Karlsruhe Institute of Technology and a Postdoctoral Research Associate at the Bendheim Center for Finance, Princeton University. I have a PhD in Mathematics from the University of Cambridge.
For the academic year 2018-19, I am the Equality Officer for the department during Lent and Summer Term.