Mathematics MSc Programmes

Programme Team

Information about the members of the Computational Mathematical Finance MSc programme team.

Dr Sotirios Sabanis

Dr Sotirios Sabanis, Programme Director

S.Sabanis@ed.ac.uk

Teaches:  Discrete-Time Finance, Financial Risk Theory

Research: Sotirios is interested in applications of probability theory (mainly) to Mathematical Finance. Particular applications include stochastic volatility models, equivalent martingale measures and incomplete markets.

Prof Istvan Gyongy

Prof Istvan Gyongy, Convenor of Board of Examiners

I.Gyongy@ed.ac.uk

Teaches:  Stochastic Analysis in Finance

Research: Istvan works on Stochastic differential equations, stochastic partial differential equations and their applications in nonlinear filtering and stochastic control.

Dr Lukasz Szpruch

Dr Lukasz Szpruch, Project Coordination

L.Szpruch@ed.ac.uk

Teaches:  Monte-Carlo Methods, Numerical Methods for Stochastic Differential Equations

Research: Lukasz is working on Multilevel Monte Carlo Methods, Forward and Backward Stochastic Differential Equations and Numerical methods for non-linear systems.

Dr David Siska

Dr David Siska, Admissions

D.Siska@ed.ac.uk

Teaches: Risk-Neutral Asset Pricing, Object-Oriented Programming with Applications

Research: David is working on numerical methods for stochastic partial differential equations.

Dr Goncalo dos Reis

Dr Goncalo dos Reis, Personal Tutor

G.dosReis@ed.ac.uk

Teaches: Stochastic Control and Dynamic Asset Allocation

Research: Goncalo works on credit risk problems and how banks can better compute quantities require by the regulators. He works on optimal asset allocation through utility optimization, numerical methods for stochastic differential equatiosn and applications in physics.