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.
SUBMITTED PAPERS AND PREPRINTS
- On the compensator in the Doob-Meyer decomposition of the Snell envelope. Co-author Saul Jacka. Submitted: arXiv:1703.08413
- Robust bounds for the American Put. Co-author David Hobson. To appear in Finance and Stochastics: arXiv:1711.06466
- The left-curtain martingale coupling in the presence of atoms. Co-author David Hobson. To appear in the Annals of Applied Probability: arXiv:1802.08337
- 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