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Alex Cox

Dr

 https://orcid.org/0000-0001-5151-9126

  • 6 WEST 1.13

Accepting Doctoral Students

20042020

Research output per year

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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

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 → 31/12/20

Project: Research council

    • 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.

    1/07/18 → 31/08/19

    Project: Research-related funding

    Robust Optimal Hedging with Model-Independent constraints

    Cox, A.

    The Royal Society

    2/07/16 → 2/07/18

    Project: Research council

    International Research Initiator Scheme - Practical robust hedging with model-independent worst-case scenarios

    Cox, A.

    1/06/16 → 1/06/18

    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 journal › Article

    • 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

    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 journal › Article

    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 journal › Article

    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 journal › Article

    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 Thesis › PhD

    File