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Alex Tse

About me

I am a third year PhD student at the University of Warwick, Department of Statistics, under the joint supervision of Prof. David Hobson and Dr Vicky Henderson.

I obtained my BSc in Quantitative Finance from The Hong Kong University of Science and Technology and MSc in Financial Mathematics from Warwick. Prior to the commencement of my doctoral study, I have spent four years at the Equity Derivatives Trading team of an Australian bank focusing on structured products flow trading on HK/SG/US single stocks and various global indices. I also had some experience with statistical trading and financial risk management research.

I will be joining Judge Business School, University of Cambridge as a Research Associate from September 2016. See my new homepage there.

Research interests

I am interested in mathematical finance especially the areas which make use of techniques from optimal stopping and stochastic control. In particular, my current research focuses on theoretical modelling of behavioural finance and its implications to various economic activities like asset liquidation, gambling behaviours and optimal contract design.

In addition, I am also keen on learning about the following topics in a more casual manner:

Dynamics of volatility surface
Credit valuation adjustment (CVA) for counterparty risk
Market microstructure models


(With V. Henderson and D. Hobson) "Can Probability Weighting Help Prospect Theory Explain the Disposition Effect?" (2016). Available at SSRN:

(With V. Henderson and D. Hobson) "Randomized Strategies and Prospect Theory in a Dynamic Context" (2015). Available at SSRN:

(With M.K.P. So) "Dynamic modeling of tail risk: Applications to China, Hong Kong and other Asian markets." Asia-Pacific Financial Markets 16.3 (2009): 183-210.

Tutorial teaching

MA901: Fundamental Tools (Probability Theory)
ST111/112: Probability A & B
ST202: Stochastic Processes
ST318: Probability Theory
ST908: Probability & Stochastic Processes


S.L.Tse 'at'

Mailing address
C1.03, Department of Statistics
Zeeman Building
University of Warwick
Coventry CV4 7AL