- Programme manager: Financial Mathematics BSc, Economics and Mathematics BSc
- Job title: Associate Professor
As Associate Professor in Financial Mathematics, my research interests include optimal stopping and stochastic control of Markov processes and related numerical methods as well as applications in finance, economics and operations research. I am also interested in machine learning, particularly as applied to biochemical, social and financial data.
In the past, I have provided consulting services relating to the investment of foreign reserves for the Polish Central Bank, as well as propensity modelling for Callcredit Group.
I find financial mathematics fascinating because it reaches far beyond finance. The same paradigms and mathematical techniques are invaluable in understanding economic and social phenomena. I have recently been involved in researching how to overcome challenges of switching to wind and solar generation to reduce carbon emissions: on the mathematical level, the variability of wind speed and solar radiation is no different than that of stock prices on financial markets. Connections between mathematical abstractions of problems which seem completely unrelated at first sight is what really draws me to mathematics.