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 2016 2020

### Bath – Chile - Mexico (BCM) Network

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

1/07/18 → 1/07/19

Project: Research-related funding › International Relations Office Funding

### Stochastic Analysis of the Neutron Transport Equation and Applications to Nuclear Safety

Kyprianou, A., Cox, A. & Harris, S.

16/05/17 → 31/12/20

Project: Research council

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

1/06/16 → 1/06/18

Project: Research-related funding › International Relations Office Funding

## Research Output 2004 2018

### Discretisation and Duality of Optimal Skorokhod Embedding Problems

Cox, A. M. G. & Kinsley, S. M., 18 Jul 2018, In : Stochastic Processes and their Applications.Research output: Contribution to journal › Article

### 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 journal › Article

### 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 journal › Article

### 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 journal › Article

### 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. 3409–3436Research output: Contribution to journal › Article

## Thesis

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

Author: Kinsley, S., 3 Oct 2018Supervisor: Cox, A. (Supervisor)

Student thesis: Doctoral Thesis › PhD

## Model-independent Arbitrage Bounds on American Put Options

Author: Höggerl, C., 13 Jan 2015Supervisor: Cox, A. (Supervisor)

Student thesis: Doctoral Thesis › PhD

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

Author: Wang, J., 31 Dec 2011Supervisor: Cox, A. (Supervisor)

Student thesis: Doctoral Thesis › PhD

## 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