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Research team

PhD students

Blake Ashworth (PhD student, 2016–)

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Research topic: Structure-preserving numerical methods for nonlinear partial differential equations with a Wasserstein gradient flow structure

Blake develops and investigates numerical methods for partial differential equations with a gradient flow structure with respect to the Wasserstein metric.


James Miles (PhD student, 2014–)

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Research topic: Splitting methods and optimal control of PDE arising in computational finance

Option pricing problems in financial mathematics often lead to parabolic partial (integro-) differential equations. James considers dimensional splitting methods for parabolic partial differential equations with mixed second order derivative term.

Further, he considers optimal control problems for option pricing P(I)DEs to solve the so-called calibration problem of calibrating option pricing models to observed market prices.


Alexander Pitkin (PhD student, 2015–)

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Research topic: Numerical methods for option pricing in stochastic volatility jump models.

Alex aims to derive, analyse and numerically solve partial-integro differential equations arising in computational finance, e.g. Bates model using efficient high-order compact finite difference methods.


Former team members

Dr David McCormick (Research fellow, 2015-2018)

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Research expertise: Nonlinear partial differential equations

David is interested in developing novel numerical methods which exploit the gradient flow structure in certain nonlinear higher-order partial differential equations as well as in the analysis of the Navier-Stokes equations and the equations of magnetohydrodynamics (MHD).


Dr Michael Taylor (Teaching fellow, 2015-2018)

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Mick is teaching different modules in our undergraduate courses and was funded by my Leverhulme Trust Research Project Grant Novel discretisations for higher-order nonlinear PDE.

Mick's research interests are in mathematical biology, more specifically in epidemic models on graphs and networks.


Dr Marco Torregrossa (visiting PhD student from University of Pavia, 2017)

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Torregrossa

Research topic: Kinetic models of socio-economic phenomena

Marco's research is concerned with the modelling and analysis of socio-economic systems of many interacting agents, using methods from kinetic theory, mathematical physics and analysis.

Marco was a PhD student in the group of Prof Giuseppe Toscani at the University of Pavia, Italy, and visited Sussex for three months in autumn 2017.


Dr Lara Trussardi (visiting PhD student from Vienna University of Technology, 2014, 2015)

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Research topic: Kinetic modelling of herding in financial markets

Lara was a Marie Curie Actions early stage researcher (PhD student) in Prof Jüngel's group at Technische Universität Wien, Austria, financed by the Multi-ITN Novel Methods in Computational Finance (STRIKE).

Lara stayed at Sussex for two months in 2014 and 2015. She is now a postdoctoral research fellow at University of Vienna.


Dr Christof Heuer (PhD student, 2011–2014)

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Thesis: High-order compact finite difference schemes for parabolic partial differential equations with mixed derivative terms and applications in computational finance

Christof's thesis covers the derivation, numerical analysis and implementation of high-order compact finite difference schemes for parabolic partial differential equations with mixed derivative terms in multiple spatial dimensions. The resulting schemes are applied to equations arising in computational finance.

Christof is now working in the financial consultancy industry.


Dr Philipp Fuchs (visiting PhD student from Vienna University of Technology, 2012)

Thesis: Underlying metric structures of some evolution equations with focus on the Wasserstein distance

Philipp's thesis investigates various evolution equations from different “metric” points of view. In particular, he studies numerical methods for partial differential equations with a gradient flow structure with respect to the Wasserstein metric.

Philipp was a member of Prof Jüngel's group at Technische Universität Wien, Austria and graduated in 2015.