Dr Anke Wiese
- Room No. : CMT13
- Address : Department of Actuarial
Mathematics and Statistics
School of Mathematical and Computer Sciences
Edinburgh EH14 4AS
- Telephone No. : +44 131 451 3717
- Fax No. : +44 131 451 3249
- E-Mail Address : A.Wiese(At)ma.hw.ac.uk
Director for the
MSc course in Financial
- Stochastic analysis with applications to mathematical finance
- Hedging of derivative securities in incomplete markets
- Optimal investment for
- Numerical approximations of stochastic differential equations
Recent Working Papers and Publications
- Stochastic Expansions and Hopf Algebras (with S.J.A. Malham) (arxiv link). To appear in
Proceedings of the Royal Society A.
- Positive and Implicit Stochastic Volatility Simulation (with W.
S.J.A. Malham) (arxiv link).
- The Variance-Optimal Martingale Measure in Levy Models with
Stochastic Volatility (with T. Chan and J. Kollar). Submitted.
- Optimal Investment and Bounded Ruin Probability: Constant
Portfolio Strategies and Mean-Variance Analysis (with R. Korn). ASTIN Bulletin 38(2), 423-440.
- Efficient Strong Integrators for Linear Stochastic Systems (with
G. Lord and
S.J.A. Malham). SIAM J.
Numer. Anal. 46 (6), 2892-2919.
- Stochastic Lie Group Integrators (with S.J.A. Malham). SIAM J. Sci. Comput. 30 (2), 597-617.
- The Impact of a Drift on VaR. Proceedings of the 8th
Symposium on Finance Banking and Insurance. Karlsruhe.
- Hedging Stochastic Liabilities in Continuous-Time Models.
(German; Hedging stochastischer Verpflichtungen in zeitstetigen
- Hedging Stochastic Liabilities. (German; Hedging Stochastischer
Verpflichtungen). Proceedings of the
Workshop on Discrete Stochastic Models. Bielefeld.
- The q-Optimal Martingale Measure in Levy Models with Stochastic
Volatility (with T. Chan and J. Kollar).
- Galtchouk-Kunita-Watanabe Decomposition and Mean-Variance Hedging
for Continuous Processes.
- Seminar at the University of Oxford, 24 November 2008.
- Bachelier Finance Society, 5th World Congress, London, 15-19 July
- Advanced Mathematical Methods for Finance, Workshop and Mid-Term
Conference, Vienna, 17-22 September 2007.
- Further Developments in Quantitative Finance, ICMS Edinburgh,
9-13 July 2007.
- Bachelier Finance
Society, 4th World Congress, Tokyo, 17-20 August 2006.
- First Conference of Advanced Mathematical Methods for Finance,
Antalya, 26-29 April 2006.
- German Open Conference on Probability and Statistics,
Frankfurt, 14-17 March 2006.
- Seminar at the University of Essex, 19 January 2006.
- Seminar at Heriot-Watt University, 9 December 2005.
- Workshop on Stochastic Analysis and Computational Finance,
Imperial College, London, 10-12 November 2005.
- IME Conference 2005, Quebec, 6-8 July 2005.
- Developments in Quantitative Finance programme. Isaac Newton
Institute for Mathematical Sciences, Cambridge, April 2005.
Teaching in 2008/09
- Derivative Pricing and Financial Modelling (MSc in
- Financial Economics I/Modern Portfolio Theory (MSc in Actuarial
Science and MSc in Financial Mathematics)
Last updated: 19/9/2008.
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