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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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  • 2 Similar Profiles
Skorokhod Problem Mathematics
Embedding Problem Mathematics
Hedging Mathematics
Pricing Mathematics
Martingale Mathematics
Stopping Time Mathematics
Brownian motion Mathematics
Arbitrage Mathematics

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

Projects 2016 2020

Bath – Chile - Mexico (BCM) Network

Cherednichenko, K., Kyprianou, A., Majumdar, A., Cox, A., Del Pino, M. & Musso, M.

1/07/181/07/19

Project: Research-related fundingInternational Relations Office Funding

safety
neutrons
nuclear fission
reactor cores
industries

Robust Optimal Hedging with Model-Independent constraints

Cox, A.

2/07/162/07/18

Project: Research council

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

Cox, A.

1/06/161/06/18

Project: Research-related fundingInternational Relations Office Funding

Research Output 2004 2018

1 Citation (Scopus)
Skorokhod Problem
Embedding Problem
Duality
Discretization
Caves

Martingale optimal transport with stopping

Bayraktar, E., Cox, A. M. G. & Stoev, Y., 2018, In : SIAM Journal on Control and Optimization. 56, 1, p. 417-433 17 p.

Research output: Contribution to journalArticle

Open Access
File
Optimal Transport
Martingale
Cost functions
Cost Function
HJB Equation
2 Citations (Scopus)

The Root solution to the multi-marginal embedding problem: an optimal stopping and time-reversal approach

Cox, A. M. G., Obłój, J. & Touzi, N., 10 Feb 2018, In : Probability Theory and Related Fields. p. 1 - 49 49 p.

Research output: Contribution to journalArticle

Open Access
File
Skorohod Problem
Optimal Stopping
Embedding Problem
Time Reversal
Roots

Measure-valued martingales and optimality of Bass-type solutions to the Skorokhod Embedding Problem

Beiglböck, M., Cox, A. M. G., Huesmann, M. & Källblad, S., 23 Aug 2017, (In preparation) In : Preprint on arXiv.

Research output: Contribution to journalArticle

File
Skorokhod Problem
Embedding Problem
Martingale
Optimality
Roots
3 Citations (Scopus)

Model-independent bounds for Asian options: A dynamic programming approach

Cox, A. & Källblad, S., 2 Nov 2017, In : SIAM Journal on Control and Optimization. 55, 6, p. 3409–3436

Research output: Contribution to journalArticle

Open Access
File
Asian Options
Dynamic programming
Dynamic Programming
Date
Model

Thesis

Duality Methods for Barrier-type Solutions to the Skorokhod Embedding Problem

Author: Kinsley, S., 3 Oct 2018

Supervisor: Cox, A. (Supervisor)

Student thesis: Doctoral ThesisPhD

File

Model-independent Arbitrage Bounds on American Put Options

Author: Höggerl, C., 13 Jan 2015

Supervisor: Cox, A. (Supervisor)

Student thesis: Doctoral ThesisPhD

File

Root’s and Rost’s Embeddings: Construction, Optimality and Applications to Variance Options

Author: Wang, J., 31 Dec 2011

Supervisor: Cox, A. (Supervisor)

Student thesis: Doctoral ThesisPhD

File

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