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Personal profile

Research interests

Alexander Cox is interested in questions arising in Probability and their applications in Mathematical Finance. Of particular interest are questions which relate to robustness and model-independence when considering the pricing and hedging of financial derivative contracts. These questions often rely naturally on the classical tools of applied probability, including optimal control, optimal stopping and optimal Skorokhod embedding, and the novel field of optimal martingale transport, and he is also interested in the theory underlying these topics. A key tool is often the close study of Brownian motion, and related Markov processes. As well as applications to robust hedging in finance, he has worked on understanding a mathematical theory of financial bubbles, with reference to option pricing, and he has made important contributions in this field.

More information can be found on his personal webpage.

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Skorokhod Problem Mathematics
Embedding Problem Mathematics
Hedging Mathematics
Pricing Mathematics
Martingale Mathematics
Stopping Time Mathematics
Brownian motion Mathematics
Arbitrage Mathematics

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Projects 2016 2020

Research Output 2004 2019

Multi-species neutron transport equation

Cox, A. M. G., Harris, S. C., Horton, E. & Kyprianou, A., 1 Jul 2019, In : Journal of Statistical Physics. 176, 2, p. 425-455 31 p.

Research output: Contribution to journalArticle

Open Access
6 Downloads (Pure)

Robust Hedging of Options on a Leveraged Exchange Traded Fund

Cox, A. M. G. & Kinsley, S. M., 1 Feb 2019, In : Annals of Applied Probability. 29, 1, p. 531-576 46 p.

Research output: Contribution to journalArticle

Open Access
File
Hedging
Skorokhod Problem
Embedding Problem
Financial Derivatives
Dual Solutions
1 Citation (Scopus)
21 Downloads (Pure)

The geometry of multi-marginal Skorokhod Embedding

Beiglboeck, M., Cox, A. & Huesmann, M., 1 Aug 2019, In : Probability Theory and Related Fields. p. 1-52 52 p.

Research output: Contribution to journalArticle

Open Access
File
Geometry
Skorokhod Problem
Random processes
Optimal Transport
Embedding Problem
11 Downloads (Pure)

Discretisation and Duality of Optimal Skorokhod Embedding Problems

Cox, A. M. G. & Kinsley, S. M., 31 Jul 2018, In : Stochastic Processes and their Applications. 129, 7, p. 2376-2405

Research output: Contribution to journalArticle

Open Access
File
Skorokhod Problem
Embedding Problem
Duality
Discretization
Caves
55 Downloads (Pure)

Martingale optimal transport with stopping

Bayraktar, E., Cox, A. M. G. & Stoev, Y., 2018, In : SIAM Journal on Control and Optimization. 56, 1, p. 417-433 17 p.

Research output: Contribution to journalArticle

Open Access
File
Optimal Transport
Martingale
Cost functions
Cost Function
HJB Equation

Thesis

Duality Methods for Barrier-type Solutions to the Skorokhod Embedding Problem

Author: Kinsley, S., 3 Oct 2018

Supervisor: Cox, A. (Supervisor)

Student thesis: Doctoral ThesisPhD

File

Model-independent Arbitrage Bounds on American Put Options

Author: Höggerl, C., 13 Jan 2015

Supervisor: Cox, A. (Supervisor)

Student thesis: Doctoral ThesisPhD

File

Root’s and Rost’s Embeddings: Construction, Optimality and Applications to Variance Options

Author: Wang, J., 31 Dec 2011

Supervisor: Cox, A. (Supervisor)

Student thesis: Doctoral ThesisPhD

File

Skorokhod Embeddings: Non-Centred Target Distributions, Diffusions and Minimality

Author: Cox, A., 1 Jan 2004

Supervisor: Hobson, D. (External person) (Supervisor)

Student thesis: Doctoral ThesisPhD

File