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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Projects
- 3 Finished
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Mathematical Theory of Radiation Transport: Nuclear Technology Frontiers (MATHRAD):
Kyprianou, A., Cox, A., Pryer, T. & Hattam, L.
Engineering and Physical Sciences Research Council
1/09/22 → 31/12/22
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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Optimal control of martingales in a radially symmetric environment
Cox, A. M. G. & Robinson, B. A., 31 May 2023, In: Stochastic Processes and their Applications. 159, p. 149-198 50 p.Research output: Contribution to journal › Article › peer-review
Open Access -
Monte-Carlo Methods for the Neutron Transport Equation
Cox, A. M. G., Harris, S. C., Kyprianou, A. E. & Wang, M., 31 Dec 2022, In: SIAM/ASA Journal on Uncertainty Quantification. 10, 2, p. 775-825 51 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile28 Downloads (Pure) -
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
File6 Downloads (Pure) -
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. 30-56 27 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile6 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 AccessFile16 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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