Department of Mathematical Sciences


(Probability Laboratory at Bath)

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Permanent members

Research Fellows

Associated members

Long term visitors

Ph.D. Students

  • Chris Daniels
  • Samuel Gamlin
  • Horacio Gonzalez
  • Maren Eckhoff
  • Francis Lane
  • Marion Hesse
  • Christoph Höggerl
  • Steven Pagett
  • Istvan Redl
  • Benjamin Willey

Previous members

  • David Williams
  • Chris Rogers
  • David Hobson
  • Omar Zane
  • Andrew Wade
  • Akira Sakai
  • Nadia Sidorova
  • Steffen Dereich
  • Victor Rivero
  • Élie Aidekon
  • Juan Carlos Pardo
  • Vadim Shcherbakov
  • Antonio Murillo
  • Kees van Schaik
  • Valentina Cammarota
  • Jose Luis Garmendia Perez
  • Piotr Milos

Recent undergraduate and M.Sc. projects


  • Tobias Lehmann (Stochastic Differential Games)
  • Nidhi Mehan (Derivative pricing in fixed income markets)
  • Dane Rogers (Brownian motion)
  • Kate Jacka (Perpetual American Put Options)
  • Thomas Smillie ( Brownian motion, Lévy processes and applications in insurance)
  • Thomas Smillie (Finding an extra head)


  • Leva Busmiate (M.Sc. thesis: Option pricing in Fixed Income markets)
  • Henry Cox (How long does it take to shuffle a deck of cards?)
  • Gemma Down (Brownian Motion)
  • Manasi Phadnis (M.Sc theis: MAC Layer Markov Chains)
  • Peter Poobalasingam (Lévy processes and mathematical finance)
  • Samuel Gamlin (Spanning trees and determinantal processes)


  • Christopher Hodge (Percolation theory)
  • Charlotte Stevens (Sandpile groups: algebraic structure and random walk)
  • Ruga Miyairi (M.Sc. thesis: American Options, Pricing and Arbitrage bounds)
  • Geoffrey Boutard (M.Sc. thesis: Wiener-Hopf numerical methods for Lévy processes)
  • Gowri Suryanarayana (M.Sc. thesis: Multi-level numerical methods with Lévy processes)
  • Han-Fen Hu (M.Sc. thesis: Ruin theory and insurance risk)
  • Horacio González Duhart Muñoz de Cote (M.Sc. thesis: Entropic Repulsion)
  • Calvin Lau (Some aspects of Brownian motion)
  • Ray Au Yeung (Mathematical modelling of attitudes to risk)
  • Thomas Bailey (Construction of the Stochastic Integral and applications to finance)
  • Peter Knott (Modelling the world-wide-web)


  • Elvijs Sarkans (Percolation theory)
  • Alex Watson (Stochastic Calculus)
  • Marion Hesse (Stochastic Calculus)
  • Alex Watson (Lévy processes and continuous state branching processes)
  • Marion Hesse (Lévy processes and continuous state branching processes)
  • Marion Hesse (M.Sc. thesis: fragmentation and coalescence)
  • Lin Li (M.Sc. thesis: Local martingales and mathematical models of financial bubbles)


  • Hayley Morton (Option pricing on binomial trees)
  • Leon Payne (Martingales and Option Pricing)
  • Bati Sengul (Introduction to Lévy processes)
  • Alex Moore (Coalescent processes)
  • Nicolas Werning (Height probabilities in the Abelian sandpile model)


  • Jonny Bryan (Option Pricing)
  • Graham Burton (M.Sc. thesis: Numerical pricing of financial options in high dimensions)
  • Christian Moench (Large deviations for tree-indexed Markov chains)
  • Christos Savva (Numerical Solution of the Black-Scholes equation)
  • Bati Sengul (EPSRC UG Vacation Bursary, Lamperti-stable processes for modelling of financial data)
  • Kiet Tran (Applications of Lévy processes)


  • Pokpong Chirayukool (M.Sc. thesis: American Put Options and Peter Carr's Randomisation Algorithm)
  • Katrin Hoffmann-Credner (Diploma thesis, Bochum: Random Matrices)
  • Ben Jennings (Numerical Solution of the Black-Scholes equation)
  • Hubert Lacoin (DEA thesis Paris 11: A two cities theorem for the parabolic Anderson model)
  • Janna Lierl (Brownian motion and PDEs)
  • Arjun Malhotra (Nondifferentiability of Brownian motion)
  • Colm Nee (Branching Markov Processes)
  • Mark Pearson (Lévy processes)
  • James Pritchard (M.Sc. thesis: WiMAX Frequency Optimisation)
  • Tim Rogers (Random walks and electric networks)

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