Associate Professor (Grade 10)
Research Interests: Stochastic analysis and financial maths
Publications
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)
Optimal basket liquidation for CARA investors is deterministic
– Applied Mathematical Finance
(2010)
17,
471
Can the implied volatility surface move by parallel shifts?
– Finance and Stochastics
(2010)
12,
235
(doi: 10.1007/s00780-008-0081-9)
Symmetric martingales and symmetric smiles
– Stochastic Processes and their Applications
(2009)
119,
3785
(doi: 10.1016/j.spa.2009.07.007)
Asymptotics of Implied Volatility far from Maturity
– Journal of Applied Probability
(2009)
46,
629
(doi: 10.1239/jap/1253279843)
Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective
(2006)
Optimal portfolio choice in the bond market
– Finance and Stochastics
(2006)
10,
553
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