Professor of Statistical Science
Research Interests: Financial mathematics, probability theory, stochastic analysis, statistics, mathematical economics
Publications
A simple proof of Müntz's theorem
– Mathematical Proceedings of the Cambridge Philosophical Society
(2008)
90,
1
(doi: 10.1017/S0305004100058461)
The harmonic functions of (At, Bt,)1
– Mathematical Proceedings of the Cambridge Philosophical Society
(2008)
114,
369
(doi: 10.1017/S0305004100071632)
Recurrence and transience of reflecting Brownian motion in the quadrant
– Mathematical Proceedings of the Cambridge Philosophical Society
(2008)
113,
387
(doi: 10.1017/S0305004100076040)
Estimating correlation from high, low, opening and closing prices
– The Annals of Applied Probability
(2008)
18,
813
(doi: 10.1214/07-aap460)
Optimal and robust contracts for a risk-constrained principal
– Mathematics and Financial Economics
(2008)
2,
1071
VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
– Mathematical Finance
(2007)
18,
1
Pathwise stochastic optimal control
– SIAM Journal on Control and Optimization
(2007)
46,
1116
(doi: 10.1137/050642885)
Optimal exercise of executive stock options
– Finance and Stochastics
(2007)
11,
357
(doi: 10.1007/s00780-007-0041-9)
Equivalent martingale measures and no-arbitrage
– Stochastics and Stochastics Reports
(2007)
51,
41
(doi: 10.1080/17442509408833943)
The exact $4/3$-variation of a process arising from Brownian motion
– Stochastics and Stochastics Reports
(2007)
51,
267
(doi: 10.1080/17442509408833955)
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