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Nazem Khan

I am a third 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
Mean-ρ portfolio selection and ρ-arbitrage for coherent risk measures
Mathematical Finance, to appear. [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

2020-2021 (Term 2) ST111/112 Probability A/B & ST202 Stochastic Processes [Feedback]

2020-2021 (Term 1) ST116 Mathematical Techniques [Feedback] & ST222 Games, Decisions and Behaviour

2019-2020 (Term 2) ST115 Introduction to Probability

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

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