My main research area is quasi-Monte Carlo methods, which can
be seen as a deterministic version of the Monte Carlo method
for multidimensional integration. Some of my recent work was focused on
improving some well-known constructions for
low-discrepancy sequences, such as the Faure sequence and the Halton
sequence. More recently, I have been working on connections between randomized quasi-Monte Carlo methods and dependence concepts and also started to work on some topics in risk theory.
A few years ago, along with two students from the University of Calgary, I wrote a library in C that implements several (randomized) quasi-Monte Carlo methods. It works but needs to be updated. Here is the link.