Dr Anke Wiese

• Teaching financial and actuarial mathematics to postgraduate and undergraduate students and supervising PhD students
• Member of the Postgraduate Studies Committee of Heriot-Watt University

My research includes the application of stochastic analysis to mathematical finance. I am interested in pricing methods and risk management of financial derivatives, and in computational finance. I am also interested in the design of methods for solving stochastic differential equations, in particular methods that preserve the qualitative characteristics of the solution.

• Malham SJA & Wiese A. Stochastic Expansions and Hopf Algebras. Proceedings of the Royal Society 465, 3729 -- 3749, 2009.
• Korn R & Wiese A. Optimal Investment and Bounded Ruin Probability: Constant Portfolio Strategies and Mean-Variance Analysis. ASTIN Bulletin 38 (2), 423-440, 2008.
• Lord G & Malham SJA & Wiese A. Efficient Strong Integrators for Linear Stochastic Systems. SIAM Journal on Numerical Analysis 46 (6), 2892-2919, 2008.
• Malham SJA & Wiese A. Stochastic Lie Group Integrators. SIAM Journal on Scientific Computing 30 (2), 597-617, 2008.
• Wiese A. Hedging Stochastic Liabilities in Continuous-Time Models (German). Verlag Versicherungswirtschaft, Karlsruhe, 113 pages + x, 1998.

I joined Heriot-Watt University in 2000. Prior to my current position, I worked as a risk manager in the financial services industry, and I have held academic positions at the University of Hamburg and the University of Karlsruhe. I obtained my PhD at the University of Karlsruhe, Germany.