I am a final year Ph.D. student at the Department of Statistics, University of Warwick, working under the joint supervision of Prof. David Hobson and Prof. Saul Jacka.

RESEARCH INTERESTS

I am interested in probability theory and stochastic processes with applications to mathematical finance.

In particular: optimal martingale transport, Skorokhod embedding, optimal stopping and stochastic control.

PUBLICATIONS AND PREPRINTS

1. On the compensator in the Doob-Meyer decomposition of the Snell envelope. Co-author: Saul Jacka. SIAM Journal on Control and Optimization, 57(3), pp. 1869-1889, 2019.
2. Robust bounds for the American Put. Co-author: David Hobson. Finance and Stochastics, 23(2), pp. 359-395, 2019.
3. The left-curtain martingale coupling in the presence of atoms. Co-author: David Hobson. Annals of Applied Probability, 29(3), pp. 1904-1928, 2019.

TALKS

• 10th World Congress of the Bachelier Finance Society, Trinity College, Dublin, June 2018.
• 11th European Summer School in Financial Mathematics, ENSAE and École Polytechnique, Paris, August 2018.
• Robust Techniques in Quantitative Finance Conference, University of Oxford, September 2018.
• Vienna Seminar in Mathematical Finance and Probability, University of Vienna, October 2018.

Teaching

MA901: Fundamental Tools (Probability Theory)
ST111/112: Probability A & B
ST202: Stochastic Processes

Contact details

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

Email: D dot Norgilas at warwick dot ac dot uk