I am interested in probability and stochastic processes with applications to mathematical finance.
In particular: optimal martingale transport, Skorokhod embedding, optimal stopping and stochastic control.
Submitted papers and preprints
- On the compensator in the Doob-Meyer decomposition of the Snell envelope. Co-author Saul Jacka. arXiv:1703.08413
- Robust bounds for the American Put. Co-author David Hobson. arXiv:1711.06466
- The left-curtain martingale coupling in the presence of atoms. Co-author David Hobson. arXiv:1802.08337
MA901: Fundamental Tools (Probability Theory)
ST111/112: Probability A & B
ST202: Stochastic Processes