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.
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Projects
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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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Bath-Chile-Mexico Network
Kyprianou, A., Cherednichenko, K., Cox, A., Musso, M., Del Pino, M., Maas, A., Jara, A., Rivero, V., Benítez, H. & Majumdar, A.
1/07/18 → 31/08/20
Project: Research-related funding
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International Research Initiator Scheme - Practical robust hedging with model-independent worst-case scenarios
1/06/16 → 1/06/18
Project: Research-related funding
Research output
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Stochastic Methods for Neutron Transport Equation III: Generational many-to-one and k_eff
Kyprianou, A., Cox, A., Horton, E. & Villemonais, D., 12 Jan 2021, (Acceptance date) In: SIAM Journal on Applied Mathematics.Research output: Contribution to journal › Article › peer-review
Open AccessFile -
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, 1Research output: Contribution to journal › Article › peer-review
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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 AccessFile2 Citations (Scopus)37 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 › peer-review
Open Access4 Citations (Scopus) -
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 › peer-review
Open AccessFile42 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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