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Nazem Khan

I am a second year PhD student at the Department of Statistics, University of Warwick, working under the joint supervision of Prof. Vicky Henderson and Dr. Martin Herdegen.

RESEARCH INTERESTS

I am interested in risk measures and their application to portfolio selection. I am also interested in behavioural aspects of Mathematical Finance, and this currently involves me working on an optimal stopping problem under ambiguity.

PUBLICATIONS AND PREPRINTS

Martin Herdegen and Nazem Khan
A Dual Characterisation of Regulatory Arbitrage for Coherent Risk Measures
Preprint, 2020 [arXiv | SSRN]

Martin Herdegen and Nazem Khan
A Dual Characterisation of Regulatory Arbitrage for Expected Shortfall
Preprint, 2019 [SSRN]

TALKS

13th European Summer School in Financial Mathematics, University of Vienna, Vienna, September 2020

9th General AMaMeF Conference, Sorbonne University, Paris, June 2019

TEACHING

2019-2020 (Term 2) ST115 Introduction to Probability

2019-2020 (Term 1) ST339 Introduction to Mathematical Finance

2018-2019 (Term 2) ST115 Introduction to Probability

Contact details

MSB 4.14
Department of Statistics
University of Warwick
Coventry CV4 7AL

Email: Nazem dot Khan at warwick dot ac dot uk