Curriculum vitae
Professor of Probability at the University of Warwick. My research spans probability and its applications, simulation, foundations of machine learning and data science, numerical stochastics, multilevel Monte Carlo, mathematical finance and MCMC. Publications and preprints →
Appointments
- 2018–present
- Professor, University of WarwickDepartment of Statistics; Deputy Head of Department (Research), since October 2023.
- 2016–2018
- Chair in Probability, King’s College LondonFinancial Mathematics Group, Department of Mathematics.
- 2012–2015
- Reader in Probability, Imperial College LondonPure Mathematics Section.
- 2010–2012
- Associate Professor, University of WarwickDepartment of Statistics.
- 2007–2010
- Lecturer, Imperial College LondonMathematical Finance Section.
- 2005–2007
- Research Fellow, Imperial College LondonInstitute for Mathematical Sciences.
- 2004–2005
- Quantitative Research Analyst, Royal Bank of ScotlandForeign Exchange Options Desk, London.
- 2003–2004
- Burroughs Wellcome Postdoctoral Fellow, Florida State UniversityProgram in Mathematics and Molecular Biology.
- 2002–2003
- Researcher, Trinity College CambridgeLow-dimensional topology.
Education
- 1999–2002
- PhD, University of CambridgeTrinity College. Low-dimensional topology; thesis: Triangulations of 3-manifolds.
- 1998–1999
- Part III Mathematics, University of CambridgeMagdalene College. Certificate of Advanced Study in Mathematics, Distinction.
- 1993–1997
- Diploma in Pure Mathematics, University of LjubljanaSumma cum laude.
Service
- Research Grants Council, Hong Kong — Physical Sciences Panel, 2021–2027.
- REF 2021 — Mathematical Sciences Sub-Panel.
- Isaac Newton Institute — Scientific Steering Committee, 2019–2022; co-organiser of Stochastic systems for anomalous diffusion and Heavy tails in machine learning, 2024.
- The Alan Turing Institute — Strategic Leader, Mathematical Foundations challenge, Data-Centric Engineering programme, 2017–2020.
- Editorial work, past and present — Stochastic Systems, IMA Journal of Applied Mathematics, International Journal of Theoretical and Applied Finance.
- Organiser of StatsMLlib: non-asymptotic statistics in Lean 4.
Supervision & teaching
Supervised 13 PhD students to completion and eight postdoctoral researchers. Course Director of Warwick’s MSc in Mathematical Finance, 2018–2022, jointly run with Warwick Business School. Current students and alumni →