Abdul-Lateef Haji-Ali

Seemingly random

I am an associate professor in the Maxwell Institute for Mathematical Sciences and the School of Mathematical and Computer Sciences, Heriot-Watt University. Before that, I was a Hooke Fellow in Mathematical Institute at the University of Oxford and a Fullford Junior Research Fellow in Somerville College. I obtained my PhD in Applied Mathematics in 2016 from King Abdullah University of Science and Technology, Saudi Arabia.

My research interests include: Uncertainty Quantification, ​Stochastic Differential Equation, Numerical methods for SDEs and PDEs, Multilevel Monte Carlo, Particle systems, Crowd modelling, Mean-field theory, Sparse Grids, Combination techniques, Multi-index techniques, Inverse problems, risk measures and adaptive sampling.

News

4 September 2024 I presented a talk on “Efficient Risk Estimation for the Credit Valuation Adjustment” in the “Modern Applied and Computational Mathematics (MACM) Seminar in KIT”.
21 May 2024 I presented a talk on “Antithetic Milstein scheme for SPDEs” in the “Stochastic Numerics and Statistical Learning: Theory and Applications Workshop”.
29 February 2024 I presented a talk on “MLMC Techniques for Computing Probabilities” in the “SIAM Conference on Uncertainty Quantification” as part of the minisymposium “Theory and Simulation of Failure Probabilities and Rare Events”.
13-15 December 2023 I presented a talk on “An Antithetic Multilevel Monte Carlo-Milstein Scheme for Stochastic Partial Differential Equation” in the “Workshop on Monte Carlo methods”.
6-7 December 2023 I presented a talk on “An Antithetic Multilevel Monte Carlo-Milstein Scheme for Stochastic Partial Differential Equation” in the “The Linnaeus University Workshop on S(P)DEs, their numerics and applications”.
26 July 2023 New preprint “An Antithetic Multilevel Monte Carlo-Milstein Scheme for Stochastic Partial Differential Equations”.
04 February 2023 Paper published “State-dependent importance sampling for estimating expectations of functionals of sums of independent random variables”.
14 January 2023 New preprint “Efficient Risk Estimation for the Credit Valuation Adjustment”.
13 December 2022 I presented a talk on “Adaptive Sampling for Computing Probabilities and Risk Measures” in the ERA Seminar in TUM.
07 September 2022 New preprint “Multilevel Path Branching for Digital Options”.