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Department of Pure Mathematics and Mathematical Statistics

 

Associate Professor (Grade 10)

Research Interests: Stochastic analysis and financial maths

 

Publications

A note on invariant measures for HJM models
MR Tehranchi
– Finance and Stochastics
(2005)
9,
389
A characterization of hedging portfolios for interest rate contingent claims
MR Tehranchi, RA Carmona
– The Annals of Applied Probability
(2004)
14,
1267
Explicit solutions of some utility maximization problems in incomplete markets
MR Tehranchi
– STOCH PROC APPL
(2004)
114,
109
Implied volatility: long maturity behavior
MR Tehranchi
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Room

D1.04

Telephone

01223 764090