Dale Roberts

I am an Australian Ph.D. student in the Department of Statistics at the University of New South Wales under the guidance of A/Prof. Ben Goldys.

Born in Sydney, I grew up abroad in countries like Mexico, France and Sweden. I speak French and Spanish fluently and before starting my Ph.D., I worked a few years as a consultant, a banker and also as a programmer. You can find more details on my CV.

On this page you will find: Research papers, Teaching material, Some classwork, and Contact details.

Research

My research interests lie broadly in the area of probability theory. I am currently working on some results in the area of stochastic partial differential equations on manifolds with boundary. I will hopefully post some publications shortly.

Teaching

• MATH3041 - Stochastic Modelling Lab
• MATH5816 - Continuous Time Financial Modelling
• MATH5985 - Term Structure Modelling

Some classwork

Here is some material created during my undergraduate degree in mathematics at UTS. I hope it is useful to someone.

· My undergraduate thesis on "Lévy Processes And The Pricing Of Discrete-Monitored Options" (2005).

· An article on pricing Bermudan and discrete barrier options where the underlying asset follows a geometric Lévy process using a recursive quadrature method.

· I did a reading course on the analysis of numerical PDE methods following the book by Morton and Mayers. I implemented a few of the methods in different languages for fun: 1D Heat Thomas (F95), 1D Heat Crank-Nicholson (F95), 1D Heat Implicit (Mathematica), 1 Heat Thomas (Mathematica), 1D Heat Implicit (C), 2D Heat Implicit (Mathematica), 2D Heat LOD (F95), 2D Heat Peaceman-Rachford (f95), 2D Heat LOD (C), 2D Heat PR (C).

Contact details

Email:	dale.roberts@unsw.edu.au
Web:	http://www.maths.unsw.edu.au/~droberts
Location:	Room 4081, Red Centre, UNSW
Mobile:	0410 085765
Mailing address:	School of Mathematics and Statistics University Of New South Wales Sydney, NSW, 2052 Australia