Baurdoux, Erik
Dr Erik Baurdoux
|
|
|
|
|
Experience keywords:
financial mathematics; stochastic calculus; stochastic processes.; optimal stopping; option pricing; stochastic games; insurance mathematics
|
|
Optimal stopping problems appear in various forms in mathematical finance. For example, for pricing an American option on a stock one aims to determine the region of the stock price in which exercising is optimal. Traditionally, stock prices were modelled based on a Brownian motion. Recently, Lévy processes have received a lot of attention as they have the important feature that they allow the stock process to have jumps. One of my main research interests consists of (two-player) optimal stopping problems for Lévy processes.
Further research interests include mathematical insurance and other applications of Lévy processes.
|
|
|
|
|
Languages: French [Spoken: Intermediate, Written: Intermediate]; Dutch [Spoken: Fluent, Written: Fluent]; German [Spoken: Basic, Written: Basic]
|
|
|
|
|
|
|
|
The following references are sourced from LSE Research Online|. References that are linked lead to the full text.
Baurdoux, Erik J. and Kyprianou, Andreas E. (2008) The Shepp-Shiryaev stochastic game driven by a spectrally negative Lévy process. Teoriya Veroyatnostei i ee Primeneniya, 53 (3). pp. 588-609. ISSN 0040-361X
LSE Research Online is the primary resource for references to publications. For queries or updates please email the LSE Research Online team at lseresearchonline@lse.ac.uk|.
|
|
|
|
Browse the Experts Directory:
|
Collection of LSE research outputs
Service providing unique access
to LSE's expertise
[access restricted to staff]
Short articles about LSE research
|