Bio

Sotirios Sabanis is a Reader (Associate Professor) at the School of Mathematics of the University of Edinburgh. He received his undergraduate training in Mathematics at the Aristotle University of Thessaloniki and was awarded a PhD from Strathclyde University (Department of Statistics and Modelling Science), Glasgow. As Programme Director, he has led the development of the suite of postgraduate programmes in Computational Mathematical Finance at the University of Edinburgh and collaborates with industry (mainly financial services) through a number of joint projects. His research has appeared in the Annals of Applied Probability, SIAM Journal of Numerical Analysis, Stochastic Partial Differential Equations and other leading journals.

 

Research interests

My research focus recently has been on explicit numerical algorithms for nonlinear random systems of (typically) high dimension and their interplay with data science techniques. Examples of these algorithms are explicit numerical schemes for Stochastic (Partial) Differential Equations, stochastic approximation methods in the context of recursive identification of system parameters and MCMC algorithms. Any application of these methodologies to financial data is of keen interest to me.