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Department of Pure Mathematics and Mathematical Statistics

 

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)
Optimisation-based representations for branching processes
DP Driver, MR Tehranchi
– Electronic Journal of Probability
(2020)
25,
1
A Black--Scholes inequality: applications and generalisation
MR Tehranchi
– Finance and Stochastics
(2019)
24,
1
MRI turbulence and thermal instability in accretion discs
J Ross, HN Latter, M Tehranchi
– Monthly Notices of the Royal Astronomical Society
(2017)
468,
2401
Optimal investment for all time horizons and Martin boundary of space-time diffusions
S Nadtochiy, M Tehranchi
– Mathematical Finance
(2017)
27,
438
If $B$ and $f(B)$ are Brownian motions, then $f$ is affine
MR Tehranchi
– Rocky Mountain Journal of Mathematics
(2017)
47,
947
Inequalities for the Gaussian measure of convex sets
MR Tehranchi
– Electronic Communications in Probability
(2017)
22,
1
Calls, zonoids, peacocks and log-concavity
MR Tehranchi
(2016)
Characterizing Attainable Claims: A New Proof
MR Tehranchi
– Journal of Applied Probability
(2016)
47,
1013
Spectral term structure models
S Cheng, MR Tehranchi
(2016)
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Room

D1.04

Telephone

01223 764090