Dr Mike Tehranchi | Department of Pure Mathematics and Mathematical Statistics

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Associate Professor (Grade 10)

Research Interests: Stochastic analysis and financial maths

Publications

Polynomial term structure models

S Cheng, MR Tehranchi

– International Journal of Theoretical and Applied Finance

(2021)

(doi: 10.1142/S0219024921500096)

Optimisation-based representations for branching processes

DP Driver, MR Tehranchi

– Electronic Journal of Probability

(2020)

25,

1

(doi: 10.1214/20-EJP548)

A Black-Scholes inequality: applications and generalisations

MR Tehranchi

– Finance and Stochastics

(2019)

24,

1

(doi: 10.1007/s00780-019-00410-6)

MRI turbulence and thermal instability in accretion discs

J Ross, HN Latter, M Tehranchi

– Monthly Notices of the Royal Astronomical Society

(2017)

468,

2401

(doi: 10.1093/mnras/stx564)

Optimal investment for all time horizons and Martin boundary of space-time diffusions

S Nadtochiy, M Tehranchi

– Mathematical Finance

(2017)

27,

438

(doi: 10.1111/mafi.12092)

If $B$ and $f(B)$ are Brownian motions, then $f$ is affine

MR Tehranchi

– Rocky Mountain Journal of Mathematics

(2017)

47,

947

(doi: 10.1216/RMJ-2017-47-3-947)

Inequalities for the Gaussian measure of convex sets

MR Tehranchi

– Electronic Communications in Probability

(2017)

22,

1

(doi: 10.1214/17-ecp89)

Calls, zonoids, peacocks and log-concavity

MR Tehranchi

(2016)

(link to publication)

Characterizing attainable claims: A new proof

MR Tehranchi

– Journal of Applied Probability

(2016)

47,

1013

(doi: 10.1239/jap/1294170515)

Spectral term structure models

S Cheng, MR Tehranchi

(2016)

(link to publication)