Senior University Lecturer
Research Interests: Stochastic analysis and financial maths
Publications
Optimisation-based representations for branching processes
– Electronic Journal of Probability
(2020)
25,
1
(DOI: 10.1214/20-EJP548)
A Black--Scholes inequality: applications and generalisation
– Finance and Stochastics
(2019)
24,
1
(DOI: 10.1007/s00780-019-00410-6)
MRI turbulence and thermal instability in accretion discs
– 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
– Mathematical Finance
(2017)
27,
438
(DOI: 10.1111/mafi.12092)
If $B$ and $f(B)$ are Brownian motions, then $f$ is affine
– Rocky Mountain Journal of Mathematics
(2017)
47,
947
(DOI: 10.1216/rmj-2017-47-3-947)
Inequalities for the Gaussian measure of convex sets
– Electronic Communications in Probability
(2017)
22,
1
(DOI: 10.1214/17-ecp89)
Characterizing attainable claims: A new proof
– Journal of Applied Probability
(2016)
47,
1013
(DOI: 10.1239/jap/1294170515)
Uniform Bounds for Black--Scholes Implied Volatility
– SIAM Journal on Financial Mathematics
(2016)
7,
893
(DOI: 10.1137/14095248x)
An Equilibrium Model of Market Efficiency with Bayesian Learning: Explicit Modes of Convergence to Rational Expectations Equilibrium in the Presence of Noise Traders
– SSRN
(2015)
On the Uniqueness of Martingales with Certain Prescribed Marginals
– Journal of Applied Probability
(2013)
50,
557
(DOI: 10.1239/jap/1371648961)
- 1 of 3