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Department of Pure Mathematics and Mathematical Statistics

Senior University Lecturer

Research Interests: Stochastic analysis and financial maths

Publications

Characterizing attainable claims: A new proof
MR Tehranchi
– Journal of Applied Probability
(2010)
47,
1013
Can the implied volatility surface move by parallel shifts?
LCG Rogers, MR Tehranchi
– Finance and Stochastics
(2010)
14,
235
Optimal basket liquidation for CARA investors is deterministic
MR Tehranchi, A Schied, T Schoeneborn
– Applied Mathematical Finance
(2010)
17,
471
Symmetric martingales and symmetric smiles
MR Tehranchi
– Stochastic Processes and their Applications
(2009)
119,
3785
Asymptotics of Implied Volatility far from Maturity
MR Tehranchi
– Journal of Applied Probability
(2009)
46,
629
Optimal portfolio choice in the bond market
MR Tehranchi
– Finance and Stochastics
(2006)
10,
553
Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective
MR Tehranchi, RA Carmona
(2006)
A note on invariant measures for HJM models
MR Tehranchi
– Finance and Stochastics
(2005)
9,
389
Explicit solutions of some utility maximization problems in incomplete markets
MR Tehranchi
– STOCH PROC APPL
(2004)
114,
109
A characterization of hedging portfolios for interest rate contingent claims
MR Tehranchi, RA Carmona
– The Annals of Applied Probability
(2004)
14,
1267
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