Research Interests

I am interested in applications of probability theory (mainly) to Mathematical Finance. Particular applications include stochastic volatility models, equivalent martingale measures and incomplete markets.

Research Groups

• Probability & Stochastic Analysis
• Statistics

Professional Activities

Programme Director:

• MSc in Financial Mathematics
  

• MSc in Financial Modelling and Optimization
  

Recent research work :

1) (with McWilliams, N.): "Arithmetic Asian Options under Stochastic Delay Models", Applied Mathematical Finance, Volume 18, Number 5, 1 November 2011 , pp. 423-446;

2) "A class of stochastic volatility models and the q-optimal martingale measure," to appear in Quantitative Finance, iFirst;

3) "Necessary and sufficient conditions for the existence of the q-optimal measure," submitted;

4) (with Mao, X.): "Delay Geometric Brownian Motion in Financial Option Valuation", to appear in Stochastics;

5) (with Gyongy, I.): ''A note on Euler Approximations for SDEs with random coefficients and their applications to SDDEs".