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I was an undergraduate at Edinburgh and a DPhil student at Oxford University. Prior to joining York as a lecturer I held postdoctoral positions at Oxford, Imperial College and Ă‰cole Polytechnique.

- Staff Student Liaison Officer
- Admissions Tutor - MSc in Financial Engineering and MSc in Mathematical Finance

My research is at an interface of pure and applied mathematics and ranges from classical topics in stochastic analysis such as Malliavin calculus to more recent developments in the theory of rough paths and their probabilistic applications. I am particularly interested in applying insights gained from studying random phenomena in the context of pure mathematics to concrete problems. This can involve for example contributions to the development of numerical methods for the non-linear filtering problem or algorithms for pricing derivatives in mathematical finance.

Mathematical Finance and Stochastic Analysis Research Group

Geometry and Analysis Research Group

My work is principally concerned with rough paths and their applications in stochastic and numerical analysis. This includes for example the study of stochastic differential equations driven by non-semimartingale noises and rough paths in geometric settings. Furthermore, I am interested in developing high order numerical methods (cubature on Wiener space) for the non-linear filtering problem. Most projects are suitable for MSc level students with a background in (stochastic) analysis and probability.

- Stochastic Calculus and Black Scholes
- Modelling of Bonds, Term Structure and Interest Rate Derivatives

- Maths Finance MSc Group Project
- Stochastic Calculus and Black Scholes
- Modelling of Bonds, Term Structure & Interest Rate Derivatives