Lecturer – Former Doctoral Assistant
Adrian Blumenthal is a lecturer in the Mathematics Section at EPFL.
In 2015 Adrian Blumenthal obtained his PhD with a thesis entitled “Stabilized Numerical Methods for Stochastic Differential Equations driven by Diffusion and Jump-Diffusion Processes“. He was a PhD student at EPFL in the chair of Computational Mathematics and Numerical Analysis (ANMC). In 2011 he obtained his MSc in Mathematical Sciences with focus on Financial Mathematics and Statistics from EPFL. During his undergraduate studies he spent one year at the Heriot-Watt University in Edinburgh, at which university he also wrote his Master’s thesis.
Doctoral Assistant at EPFL.
- Numerical analysis and computational methods for stochastic differential equations driven by diffusion and jump-diffusion processes with applications in finance.
- Monte Carlo and Multilevel Monte Carlo methods.
- Stabilized numerical methods for stochastic differential equations.