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 systematic risk in financial networks. I am also interested in the modelling of energy markets, optimal investment problems and stochastic volatility models.
I am the co-winner of the 2019 Adams Prize for achievements in the field of Mathematics of Networks.
From 01/2022 - 12/2023, I am serving as the Vice Chair of the SIAM Activity Group on Financial Mathematics and Engineering.
I am an Associate Editor of Applied Mathematical Finance, SIAM Journal on Financial Mathematics and Operations Research.
Prior to joining LSE in 2010, I have been an Assistant Professor of Financial Mathematics at the Karlsruhe Institute of Technology and Postdoctoral Research Associate at the Bendheim Centre for Finance, Princeton University. I have a PhD in Mathematics from the University of Cambridge.
I am currently the Doctoral Programme Director in the Department of Mathematics at LSE.