|| Department of Statistics & Applied Probability
University of California, Santa Barbara
Santa Barbara, CA 93106, USA
Office: South Hall 5503
- Mathematical Finance, Stochastic Optimization, Stochastic Analysis.
Current Teaching at UCSB:
Preprints and Publications:
- Optimal investment with transient price impact, with
Preprint, 2018. [arXiv]
- Linear quadratic stochastic control problems with stochastic
terminal constraint, with Peter Bank.
SIAM Journal on Control and Optimization,
Vol. 56 (2018), No. 2, pp. 672-699.
- Hedging with temporary price impact, with
Peter Bank and H. Mete
Mathematics and Financial Economics, Vol. 11 (2017), No. 2, pp. 215-239.
- Pricing options on variance in affine stochastic volatility models, with
Kallsen and Johannes Muhle-Karbe.
Finance, Vol. 21 (2011), No. 3, pp. 627-641.
Dynamic Hedging in Illiquid Financial Markets,
Ph.D. Thesis, TU Berlin, 2017. Supervised by
Last update: September 10, 2018; photo Ⓒ Annette Koroll