Dr Markus Riedle
Telephone: +44 020 7848 1456
Email: markus.riedle@kcl.ac.uk
Office: S5.39
Title: Reader in Financial Mathematics
Personal Website
Biography
Dr Markus Riedle received his Ph.D. from Humboldt University Berlin in 2003 where he continued to hold a postdoctoral position. In the academic year 2006-07 he substituted a professor position in applied mathematics at the University of Mannheim, before he was appointed as a lecturer at the University of Manchester in 2007. He joined King's College London as a Reader in 2011.
Research Interests
His research is focused on stochastic processes, stochastic analysis and stochastic differential equations. Besides the theoretical aspects he is interested in the application of the achieved results to problems in financial mathematics and other applied areas.
-
stochastic functional differential equations
-
Lévy processes
-
stochastic analysis in infinite dimensional spaces
-
stochastic processes in Banach spaces
Selection of Publications
-
Bubbles and crashes in a Black-Scholes model with delay, (with J. A. D. Appleby, C. Swords), to appear in Finance and Stochastics.
-
Cylindrical Lévy Processes in Banach Spaces, (with D. Applebaum), Proceedings of the London Mathematical Society, 101, 3, (2010), 697 –- 726.
-
Stochastic Integration for Lévy Processes with Values in Banach Spaces, (with O. van Gaans), Stochastic processes and their applications, 119, 6, (2009), 1952-1974.
-
Geometric Brownian Motion with delay: mean square characterisation, (with J. A. D. Appleby, X. Mao), Proceedings of the American Mathematical Society, 137, (2009), 339-348.