United Kingdom
Imperial College London - Mathematical Finance
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Portfolio choice, asset pricing, computational techniques, duration analysis
approximate duration, asset liability management, linear programming
Portfolio selection, S-shaped utility, periodic evaluation, agency, incentive
Growth Portfolio Optimisation; Contingent Convertible Bond; Statistical Comparisons; Sensitivity Analysis
Optimal Dividends Strategy, Diffusion Model, Collaborating Businesses, Stochastic Control.
Basket options pricing, local volatility jump-diffusion model, forward PIDE, asymptotic expansion
Basket option pricing, Jump-diffusion model, Analytic approximation, Conditional moment matching
Heterogeneous consumption; Non-concave utility; Dynamic programming; Optimal stopping; Variational inequality; Dual transformation; Free boundary
Optimal strategy; Order arrival models; Synchrony; High-dimensional Hamilton–Jacobi–Bellman; Deep neural network
utility deviation-risk optimization; stochastic risk aversion; incomplete market; control constraint; time-consistent dynamic programming equation
basket options valuation, local volatility jump-diffusion model, lower bound approximation, second order asymptotic expansion
Contingent Convertible Bond, Capital-ratio Trigger, Conversion Time, Equity-conversion CoCo, Post-conversion Risk Premium
S-shaped utility, optimal stopping, transaction costs, entry-and-exit strategies
Defaults, Brownian Motions, Incomplete Information, Intensity Models
Optimal Portfolio, Expected Loss Constraint, Physical Measure P, Risk- Neutral Measure Q, Q-Strategy Fulfi lling P-Risk Constraint
