Department of Mathematics
University of Michigan
3863 East Hall
530 Church Street
Ann Arbor, MI 48109
I am currently a postdoctoral assistant professor in the Financial/Actuarial Mathematics group at the University of Michigan. I hold a PhD in Mathematics from the London School of Economics.
My interests are in the area of financial mathematics and the application of statistical/mathematical methods to finance. Specific areas that I am working in are portfolio optimization, equilibrium, optimal control/stopping and statistical sequential analysis.
Preprints and working papers
- Martingale optimal transport with stopping (with E. Bayraktar and A. Cox), arXiv:1701.06231
- When is a good time to buy an option? (with S. Nadtochiy).
- Equilibrium with imbalance of the derivative market (with A. Danilova), Chapter 1 of my thesis.
- Quickest change-point detection problems for multidimensional Wiener processes (with P. V. Gapeev), Chapter 3 of my thesis.
- On the generalised Laplace transforms of the first exit
times in jump-diffusion models of stochastic volatility (with P. V. Gapeev), Chapter 5 of my thesis.
- On the construction of non-affine
jump-diffusion models (with P. V. Gapeev).