I am an associate professor in the Maxwell Institute for Mathematical Sciences and the School of Mathematical and Computer Sciences, Heriot-Watt University. Before that, I was a Hooke Fellow in Mathematical Institute at the University of Oxford and a Fullford Junior Research Fellow in Somerville College. I obtained my PhD in Applied Mathematics in 2016 from King Abdullah University of Science and Technology, Saudi Arabia.
My research interests include: Uncertainty Quantification, Stochastic Differential Equation, Numerical methods for SDEs and PDEs, Multilevel Monte Carlo, Particle systems, Crowd modelling, Mean-field theory, Sparse Grids, Combination techniques, Multi-index techniques, Inverse problems, risk measures and adaptive sampling.
News
| 13-15 December 2023 | I presented a talk on “An Antithetic Multilevel Monte Carlo-Milstein Scheme for Stochastic Partial Differential Equation” in the “Workshop on Monte Carlo methods”. |
| 6-7 December 2023 | I presented a talk on “An Antithetic Multilevel Monte Carlo-Milstein Scheme for Stochastic Partial Differential Equation” in the “The Linnaeus University Workshop on S(P)DEs, their numerics and applications”. |
| 26 July 2023 | New preprint “An Antithetic Multilevel Monte Carlo-Milstein Scheme for Stochastic Partial Differential Equations”. |
| 04 February 2023 | Paper published “State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables”. |
| 14 January 2023 | New preprint “Efficient Risk Estimation for the Credit Valuation Adjustment”. |
| 13 December 2022 | I presented a talk on “Adaptive Sampling for Computing Probabilities and Risk Measures” in the ERA Seminar in TUM. |
| 07 September 2022 | New preprint “Multilevel Path Branching for Digital Options”. |
| 05 August 2022 | New preprint “Multilevel Importance Sampling for McKean-Vlasov Stochastic Differential Equation”. |
| 01 August 2022 | I was promoted to Associate Professor. |
| 21 July 2022 | My talk on “Path Branching for Digital Options” was presented in MCQMC 2022 by my co-author Prof. Mike Giles due to illness. |