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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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Projects

Research Output

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

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
  • 18 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
  • 1 Citation (Scopus)
    27 Downloads (Pure)

    The Root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach

    Cox, A. M. G., Obłój, J. & Touzi, N., 28 Feb 2019, In : Probability Theory and Related Fields. 173, 1-2, p. 211-259 49 p.

    Research output: Contribution to journalArticle

    Open Access
    File
  • 4 Citations (Scopus)
    29 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
  • 15 Downloads (Pure)

    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