If you made any changes in Pure these will be visible here soon.

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.

Fingerprint Dive into the research topics where Alex Cox is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

  • 1 Similar Profiles

Network Recent external collaboration on country level. Dive into details by clicking on the dots.

Projects

  • Strand 1a Larger Scale 2017-18.

    Kyprianou, A., Cherednichenko, K., Cox, A., Musso, M., Del Pino, M., Maas, A., Jara, A., Rivero, V. & Benítez, H.

    1/07/1831/08/19

    Project: Research-related funding

    Research Output

    Model-independent pricing with insider information: A Skorokhod embedding approach

    Cox, A. M. G., Acciaio, B. & Huesmann, M., 26 Jun 2020, (Acceptance date) In : Advances in Applied Probability. 53, 1

    Research output: Contribution to journalArticle

  • The geometry of multi-marginal Skorokhod Embedding

    Beiglboeck, M., Cox, A. & Huesmann, M., 30 Apr 2020, In : Probability Theory and Related Fields. 176, 2, p. 1045-1096 52 p.

    Research output: Contribution to journalArticle

    Open Access
    File
  • 1 Citation (Scopus)
    30 Downloads (Pure)

    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
  • 28 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)
    33 Downloads (Pure)

    Thesis

    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