Dr Anke Wiese

• Room No. : CMT13
• Address :    Department of Actuarial Mathematics and Statistics  
                     School of Mathematical and Computer Sciences
                     Heriot-Watt University 
                     Edinburgh EH14 4AS 
                     United Kingdom
• Telephone No. : +44 131 451 3717
• Fax No. : +44 131 451 3249
• E-Mail Address :  A.Wiese(At)ma.hw.ac.uk

Research Interests

• Stochastic analysis with applications to mathematical finance
  
• Hedging of derivative securities in incomplete markets
  
• Optimal investment for insurance companies
• 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. Halley and S.J.A. Malham) (arxiv link). Submitted.
• 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 Modellen). Verlag Versicherungswirtschaft.
• Hedging Stochastic Liabilities. (German; Hedging Stochastischer Verpflichtungen). Proceedings of the Workshop on Discrete Stochastic Models. Bielefeld.

Current Projects

• 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. 

Recent Talks

• Seminar at the University of Oxford, 24 November 2008.
  
• Bachelier Finance Society, 5th World Congress, London, 15-19 July 2008.
  
• 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 Mathematics)
• Financial Economics I/Modern Portfolio Theory (MSc in Actuarial Science and MSc in Financial Mathematics)