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Andrew Aylwin

Email : a.aylwin <at> warwick.ac.uk

Office: B3.04

Office hours: Available on request

Master of Mathematics Graduate (2006-10)

MSc Mathematics and Statistics (2010-11)

PhD (2011- )

Current Work

My research interests lie in the applications of mathematics and probability to finance. Currently, I am working with Dr. Larbi Alili to both provide a tractable version of the scale function for self-similar processes and to fully characterise all Markov processes that satisfy the time inversion property. The latter focuses largely upon the jump measures of these processes and excursion theory.

MSc Dissertation (2011)

In my MSc dissertation, supervised by Dr. Larbi Alili, I studied the Smooth Fitting of Levy-Driven American Options with a view to extending this framework as part of a PhD thesis.

Research Study Group (2010/11)

The Research Study Group is an innovative group project forming about one sixth of the MASDOC MSc year. Students work together in groups in two phases:

  • In phase 1 (November-February), the groups formulate a research proposal in an area of interest in applications to physics, chemistry, biology, engineering, and so on.
  • In phase 2 (February-May), the groups implement the solution to one of the other groups' research proposals.

More information is available here (Warwick login required).

Phase 1: Data Assimilation

During phase 1, I worked with Maria Verrenitokova, Adam Hall and Christopher Pettitt to propose a problem in the area of data assimilation.

Phase 2: Biomembranes

During phase 2, I worked with Don Praveen Amarasinghe, Andrew Aylwin, Pravin Madhavan and Christopher Pettitt on a mathematical problem derived from cell movement, in particular the movement of a neutrophil in its pursuit of an alien bacterium.

Recent Conferences

Young Researchers in Mathematics Bristol, University of Bristol, 2nd - 4th April 2012

Statistical Problem Solving Week with Industry in association with STOR-i. University of Lancaster, 26th - 28th March 2012

1st Joint CCA-MASDOC Student Conference, University of Cambridge, 19th - 21st March 2012.

DUNE Finite Element School, University of Warwick, June 2011.