New Face: Alex Lobbe
Start date: 27.08.2018
Section: 3 - Stochastic analysis, finance, insurance and risk
At UiO I will be a PhD student with Prof. Salvador Ortiz-Latorre.
After the MSc in Mathematics at ETH Zürich I continued studying Statistics and Machine Learning. In my thesis I worked on the simulation of BSDEs using different probabilistic methods. This topic has connections to PDEs via a nonlinear Feynman-Kac formula and applications in, e.g., finance. Machine Learning approaches have recently gained relevance in this area as well.
In general I like to combine mathematical theory and computer simulation with a view towards applications.