
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
On this page you will find: Research
papers, Teaching material, Some classwork, and Contact details.
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.
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).
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Email: |
dale.roberts@unsw.edu.au |
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Web: |
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Location: |
Room 4081, Red Centre, UNSW |
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0410 085765 |
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Mailing address: |
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