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Faculty of Mathematics

 

 

Associate Professor (Grade 10)

Research Interests: Stochastic analysis and financial maths

 

Publications

Uniform Bounds for Black--Scholes Implied Volatility
MR Tehranchi
– SIAM Journal on Financial Mathematics
(2016)
7,
893
An Equilibrium Model of Market Efficiency with Bayesian Learning: Explicit Modes of Convergence to Rational Expectations Equilibrium in the Presence of Noise Traders
MR Tehranchi, O Ross, SE Satchell
– SSRN
(2015)
Arbitrage theory without a numéraire
MR Tehranchi
(2014)
On the Uniqueness of Martingales with Certain Prescribed Marginals
MR Tehranchi
– Journal of Applied Probability
(2013)
50,
557
Optimal basket liquidation for CARA investors is deterministic
MR Tehranchi, A Schied, T Schoeneborn
– Applied Mathematical Finance
(2010)
17,
471
Can the implied volatility surface move by parallel shifts?
LCG Rogers, MR Tehranchi
– Finance and Stochastics
(2010)
14,
235
Symmetric martingales and symmetric smiles
MR Tehranchi
– Stochastic Processes and their Applications
(2009)
119,
3785
Asymptotics of implied volatility far from maturity
MR Tehranchi
– Journal of Applied Probability
(2009)
46,
629
Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective
MR Tehranchi, RA Carmona
(2006)
Optimal portfolio choice in the bond market
MR Tehranchi
– Finance and Stochastics
(2006)
10,
553
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Research Groups

Cantab Capital Institute for the Mathematics of Information
Probability
Applied Probability
Mathematical Finance and Operational Research
Statistical Laboratory

Room

D1.04

Telephone

01223 764090