University of Sydney

                                                      School of Mathematics and Statistics

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PhD students under my supervision mainly work in the areas of Financial Mathematics and Mathematical Economics with emphasize on applications in Environmental Economics, Dynamic Macro Economics, Game Theory and Finance. Currently I supervise 3 PhD students as main supervisor.


Marten Ting: Asymptotic pricing and risk minimizing hedging of (exotic) derivatives contracts.


Ian Gregory: Analytic pairs trading.


Roy Nawar: Risk minimizing hedging of commodities and resources.


Students that have recently graduated, which I supervised as main supervisor:


Yajun Xiao: Value of information in continuous time finance models as well as stochastic volatility, Malliavin calculus. Jointly supervised with Christian Schlag ( PhD Frankfurt/Finance Aug. 2009)


Wen-Kai Wang: Stochastic differential games in Economics and Finance, real options and public goods. (PhD St. Andrews/Economics Dec. 2009)


Walailuck Chavansporn: Continuous time evolutionary models for financial markets as well as numerical evaluation of real options. Jointly supervised with Alan Cairns ( St. Andrews/Mathematics) (PhD St. Andrews/Mathematics Sept. 2010)


Johannes Geissler: Stochastic optimal control and applications to dynamic Macro Economics. Jointly supervised with Charles Nolan ( St. Andrews/Economics ) (PhD St. Andrews/Economics Sept. 2010)