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Dominykas Norgilas

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.

SUBMITTED PAPERS AND PREPRINTS

  1. On the compensator in the Doob-Meyer decomposition of the Snell envelope. Co-author Saul Jacka. Submitted: arXiv:1703.08413
  2. Robust bounds for the American Put. Co-author David Hobson. To appear in Finance and Stochastics: arXiv:1711.06466
  3. 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


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




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Contact details

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

Email: D dot Norgilas at warwick dot ac dot uk