Projects per year
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.
Expertise related to UN Sustainable Development Goals
In 2015, UN member states agreed to 17 global Sustainable Development Goals (SDGs) to end poverty, protect the planet and ensure prosperity for all. This person’s work contributes towards the following SDG(s):
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Mathematical Theory of Radiation Transport: Nuclear Technology Frontiers (MATHRAD): Full bid
Kyprianou, A., Cox, A., Pryer, T. & Hattam, L.
Engineering and Physical Sciences Research Council
1/09/22 → 31/08/27
Project: Research council
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Stochastic Analysis of the Neutron Transport Equation and Applications to Nuclear Safety
Kyprianou, A., Cox, A. & Harris, S.
Engineering and Physical Sciences Research Council
16/05/17 → 31/12/21
Project: Research council
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Monte-Carlo Methods for the Neutron Transport Equation
Cox, A. M. G., Harris, S. C., Kyprianou, A. E. & Wang, M., 4 Jan 2022, (Acceptance date) In: SIAM/ASA Journal on Uncertainty Quantification.Research output: Contribution to journal › Article › peer-review
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SDEs with no strong solution arising from a problem of stochastic control
Cox, A. M. G. & Robinson, B. A., 5 May 2022, (Submitted).Research output: Working paper / Preprint › Preprint
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Model-independent pricing with insider information: A Skorokhod embedding approach
Acciaio, B., Cox, A. M. G. & Huesmann, M., 31 Mar 2021, In: Advances in Applied Probability. 53, 1, p. 30-56Research output: Contribution to journal › Article › peer-review
Open AccessFile2 Downloads (Pure) -
Stochastic Methods for Neutron Transport Equation III: Generational many-to-one and k_eff
Cox, A., Horton, E., Kyprianou, A. & Villemonais, D., 31 Dec 2021, In: SIAM Journal on Applied Mathematics. 81, 3, p. 982-1001 20 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile9 Downloads (Pure) -
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 journal › Article › peer-review
Open AccessFile3 Citations (SciVal)42 Downloads (Pure)
Thesis
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Skorokhod Embeddings: Non-Centred Target Distributions, Diffusions and Minimality
Author: Cox, A., 1 Jan 2004Supervisor: Hobson, D. (External person) (Supervisor)
Student thesis: Doctoral Thesis › PhD
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