I am a final 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.

PUBLICATIONS AND PREPRINTS

Martin Herdegen and Nazem Khan
Sensitivity to large losses and ρ-arbitrage for convex risk measures
Preprint, 2021 [arXivLink opens in a new window | SSRNLink opens in a new window]

Martin Herdegen and Nazem Khan
Mean-ρ portfolio selection and ρ-arbitrage for coherent risk measures
Mathematical Finance, 31, 226–272, 2022 [DOILink opens in a new window | arXivLink opens in a new window | SSRNLink opens in a new window]

Martin Herdegen and Nazem Khan
A dual characterisation of regulatory arbitrage for Expected Shortfall
Preprint, 2019 [SSRNLink opens in a new window]

TALKS

London/Oxford/Warwick Financial Mathematics Workshop, King's College London, January 2022

Weekly Seminars on Risk Management and Actuarial Science, University of Waterloo, October 2021 (virtual)

Stochastic Finance at Warwick, University of Warwick, October 2021

14th European Summer School in Financial Mathematics, University of Edinburgh, September 2021 (virtual)

10th General AMaMeF Conference, University of Padova, June 2021 (virtual)

SIAM Conference on Financial Mathematics and Engineering, Philadelphia, June 2021 (virtual)

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

Brown Bag Seminar, Warwick Business School, November 2019

9th General AMaMeF Conference, Sorbonne University, June 2019

TEACHING

2021-2022 (Term 1) ST116 Mathematical Techniques [FeedbackLink opens in a new window]

2020-2021 (Term 2) ST111/112 Probability A/B & ST202 Stochastic Processes [FeedbackLink opens in a new window]

2020-2021 (Term 1) ST116 Mathematical Techniques [FeedbackLink opens in a new window] & ST222 Games, Decisions and Behaviour

2019-2020 (Term 2) ST115 Introduction to Probability

2019-2020 (Term 1) ST339 Introduction to Mathematical Finance [FeedbackLink opens in a new window]

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