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About
I am the Programme Director for the MSc Financial Mathematics programme. My research focuses on financial mathematics and its connections with stochastic analysis and stochastic optimal control. In particular, I have been working on optimal investment, markets with transaction costs, time consistency in optimal control problems, duality theory and questions in stochastic analysis related to this.
After completing my PhD in Mathematics at ETH Zurich, I did a postdoc at University of Vienna that was supported by a fellowship for prospective researchers from the Swiss National Science Foundation before joining LSE in 2013.
Photo taken by Alexander Stertzik.
Expertise
Financial Mathematics, Stochastic Analysis, Transaction costs, Market frictions
Publications
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