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
- 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.
- Robust bounds for the American Put. Co-author: David Hobson. Finance and Stochastics, 23(2), pp. 359-395, 2019.
- The left-curtain martingale coupling in the presence of atoms. Co-author: David Hobson. Annals of Applied Probability, 29(3), pp. 1904-1928, 2019.
- 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.
MA901: Fundamental Tools (Probability Theory)
ST111/112: Probability A & B
ST202: Stochastic Processes
Department of Statistics
University of Warwick
Coventry CV4 7AL
Email: D dot Norgilas at warwick dot ac dot uk