Department of Statistics & Applied Probability
University of California, Santa Barbara
Santa Barbara, CA 93106, USA
Office: South Hall 5503
Teaching at UCSB:
Preprints and Publications: [Google Scholar]
Linear quadratic stochastic control problems with stochastic terminal constraint, with Peter Bank,
SIAM Journal on Control and Optimization, to appear. [arXiv]
Hedging with temporary price impact, with Peter Bank and H. Mete
Soner, Mathematics and Financial Economics, Vol. 11 (2017), No. 2, pp. 215-239.
[article | arXiv]
Pricing options on variance in affine stochastic volatility models, with Jan
Kallsen and Johannes Muhle-Karbe, Mathematical
Finance, Vol. 21 (2011), No. 3, pp. 627-641. [article]
8th General AMaMeF Conference, Amsterdam, June 2017.
Byrne Young Researcher Workshop on Mathematical Finance, University of Michigan, Ann Arbor, March 2017.
Workshop on Stochastic Models and Control, University of Trier, Trier, March 2017.
9th European Summer School in Financial Mathematics, Steklov Mathematical Institute
Moscow, Pushkin/St. Petersburg, August 2016.
9th World Congress of the Bachelier Finance Society, New York, July 2016.
Berlin-Princeton-Singapore Workshop on Quantitative Finance, Princeton University,
Princeton, July 2016.
5th Berlin Workshop on Mathematical Finance for Young Researchers, HU and TU Berlin, Berlin, June 2016.
12th German Probability and Statistics Days, Ruhr-Universität Bochum, Bochum, March 2016.
10th Bachelier Colloquium on Mathematical Finance and Stochastic Calculus,
Université de Franche-Comté, Métabief, January 2016.
8th European Summer School in Financial Mathematics, Université du Maine,
Le Mans, September 2015.
Berlin-Princeton-Singapore Workshop on Quantitative Finance,
National University of Singapore, Singapore, June 2015.
1st Berlin-Singapore Workshop on Quantitative Finance and Financial Risk,
HU Berlin and Weierstraß-Institut, Berlin, May 2014.
Summer School of RTG 1845 and ETH Zürich, ETH Zürich,
Zurich, September 2013.
Dynamic Hedging in Illiquid Financial Markets
, Ph.D. Thesis, TU Berlin, 2017. Supervised by Peter Bank
Last update: January 15, 2018; photo Ⓒ Annette Koroll