Professor of Statistical Science
Research Interests: Financial mathematics, probability theory, stochastic analysis, statistics, mathematical economics
Publications
Sense, nonsense and the S&P500
– Decisions in Economics and Finance
(2018)
41,
447
(DOI: 10.1007/s10203-018-0230-3)
Investing and Stopping
– Journal of Applied Probability
(2018)
51,
898
(DOI: 10.1239/jap/1421763316)
Combining different models
– Mathematics and Financial Economics
(2018)
12,
97
(DOI: 10.1007/s11579-017-0198-8)
Characterising One-Dimensional Diffusions using Stochastic Calculus
– Bulletin of the London Mathematical Society
(2016)
19,
183
(DOI: 10.1112/blms/19.2.183)
Wiener–Hopf Factorization of Diffusions and Lévy Processes
– Proceedings of the London Mathematical Society
(2016)
47,
177
(DOI: 10.1112/plms/s3-47.1.177)
A Guided Tour through Excursions
– Bulletin of the London Mathematical Society
(2016)
21,
305
(DOI: 10.1112/blms/21.4.305)
Smooth Transition Densities for One-Dimensional Diffusions
– Bulletin of the London Mathematical Society
(2016)
17,
157
(DOI: 10.1112/blms/17.2.157)
Fastest Coupling of Random Walks
– Journal of the London Mathematical Society
(2016)
60,
630
(DOI: 10.1112/S0024610799008017)
On coupling of random walks and renewal processes
– Journal of Applied Probability
(2016)
33,
122
(DOI: 10.2307/3215269)
Optimal Time to Exchange Two Baskets
– Journal of Applied Probability
(2016)
48,
21
(DOI: 10.1239/jap/1300198133)
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