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
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
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
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
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)
29
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
24
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)
31
Downloads
(Pure)
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
File
Model-independent Arbitrage Bounds on American Put Options
Author: Höggerl, C., 13 Jan 2015Supervisor: Cox, A. (Supervisor)
Student thesis: Doctoral Thesis › PhD
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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
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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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