I am a third-year PhD student working in the field of stochastic finance under the joint supervision of Professor David Hobson and Dr Martin Herdegen. Before starting my PhD at Warwick I studied at the University of Bath, spending a year at the Complutense University in Madrid.
My research interests lie in the field of stochastic processes and mathematical finance, particularly in stochastic optimal control and its financial applications. I am currently working on a Merton portfolio optimisation problem with stochastic differential utility.
Publications and Preprints
Martin Herdegen, David Hobson and Joseph Jerome
An elementary approach to the Merton problem
Preprint, 2020. [arXiv]
- Stochastic Processes ST202 (2017)
- Probability and Stochastic Processes ST908 (2018,2019)
- Introduction to Probability ST115 (2018,2019)
Mathematical Sciences Building 4.14
Department of Statistics
University of Warwick
Coventry CV4 7AL