Address:Faculty of Mathematics
University of Vienna
Nordbergstr. 15
A-1090 Wien, Austria
Telephone: +43 (0)1 58801 101 82
Fax: +43 (0)1 58801 115 98
Email: alexander.soreff@tuwien.ac.at
Advisor: Christian Schmeiser
Co-advisor: Josef Teichmann
Research: Pathwise recombining cubature formulae on Wiener space with application in Finance.
In September 2003 I started PhD thesis at the Vienna university of technology in 2005 I followed Christian Schmeiser to the University of Vienna
where I'm currently working on:
- Formulation of numerical algorithms based on cubature on Wiener space.
- Convergence analysis of these algorithms.
- Comparison of different computational approaches for solving SDEs.
Scientific Interests:
- SDEs and PDEs
- Mathematical modeling
- Numerical treatment of differential equations
- Financial markets and the mathematics applied to them
- Parallel computing and code optimization
- History of mathematics
Master's Thesis: A stochastic leukocyte chemotaxis model
Publications:
- D. Olz, C. Schmeiser and A. Soreff: Multistep navigation of leukocytes: a stochastic model with memory effects
Mathematical medicine and biology, (2005),
- F. Chalub, Y. Dolak-Struss, P. Markowich, D Oelz, C. Schmeiser and A. Soreff: Model hierarchies for cell aggregation by chemotaxis
M3AS Vol. 16, Supplement (July 2006).
Activities:
- August 21-23 2006, The International Conference on Mathematical Finance and its Applications, Kanazawa
- August 17-20 2006, Bachelier Finance Society Fourth World Congress, Tokyo
- February 1-3 2006, AMaMeF workshop on numerical methods in finance, INRIA Rocuencourt
- November 10-12 2005, AMaMeF workshop on stochastic analysis and computational finance. Imperial College London
- September 18 - 23 2005, 16. Internationaler Kongress der OeMG & Jahrestagung der DMV
- May 3 2005, seminar talk at Université Paul Sabatier - Toulouse 3
- Wissenschaftskolleg 2004 summer camp
- April 14-17 2004, A-HYKE2, Paris
- Wissenschaftskolleg 2003 summer camp