Alexander Cox

Senior Lecturer in Probability

Address:
Department of Mathematical Sciences,
University of Bath,
Claverton Down,
Bath BA2 7AY.

Phone Number: 01225 386187

Office: 4 West 2.14

E-Mail:
A.M.G.Cox@bath.ac.uk

Research Areas:
Probability Theory and applications to Mathematical Finance.

Papers and Preprints:

• "Model-independent no-arbitrage conditions on American put options",
  (With C. Hoeggerl). pdf , arXiv.
  
  
• "Embedding Laws in Diffusions by Functions of Time",
  (With G. Peskir). pdf , arXiv .
  
  
• "Root's Barrier: Construction, Optimality and Applications to Variance Options",
  (With J. Wang), Annals of Applied Probability (2013) 23 (3), 859-894. pdf .
  
  
• "Utility theory front to back — inferring utility from agents' choices",
  (With D. Hobson and J. Obloj). pdf , arXiv .
  
  
• "Time-Homogeneous Diffusions with a Given Marginal at a Random Time",
  (With D. Hobson and J. Obloj), ESAIM: Probability and Stochastics , (2011) 15: S11-S24. The original publication is available at www.edpsciences.org/ps . pdf .
  
  
• "Robust pricing and hedging of double no-touch options",
  (With J. Obloj). Finance and Stochastics (2011) 15 3 573-605. pdf , arXiv .
  
  
• "Robust hedging of double touch barrier options".
  (With J. Obloj). SIAM Journal of Financial Mathematics (2011) 2, 141-182.
  
  
• "Arbitrage bounds".
  In Encyclopedia of Quantitative Finance (2010), John Wiley & Sons, Ed. R. Cont
  
  
• "Pathwise inequalities for local time: applications to Skorokhod embeddings and optimal stopping",
  pdf . (With D. Hobson and J. Obloj). Annals of Applied Probability (2008) 18 (5), 1870-1896.
  
  
• "Classes of measures which can be embedded in the Simple Symmetric Random Walk",
  (With J.Obloj) Electronic Journal of Probability (2008) 1203-1228.
  
  
• "A unifying class of Skorokhod embeddings: connecting the Azema-Yor and Vallois embeddings",
  (With D.Hobson). Bernoulli 13 1 (2007) 114-130 . pdf .
  
  
• "Extending Chacon-Walsh: minimality and generalised starting distributions",
  Séminaire de Probabilités XLI , Springer, 2008. arXiv .
  
  
• "Local Martingales, Bubbles and Option Prices",
  (With D.Hobson) Finance and Stochastics 9 4 (2005) 477-492.
  
  
• "Skorokhod Embeddings, Minimality and Non-centred Target Distributions",
  (with D.Hobson). Probability Theory and Related Fields 135 3 (2006) 395-414. arXiv .
  
  
• "An Optimal Skorokhod Embedding for Diffusions",
  (With D.Hobson). Stochastic Processes and Applications 111 (2004) 17 - 39.
  
  

Copies available on request

You might also be interested in my PhD thesis , most of which has also appeared in some of the papers above, or the thesis of my former student Jiajie Wang (2011).

I am always interested in taking on PhD students in Probability or Mathematical Finance. You can find some possible projects here ; alternatively, please e-mail me for more information.

Teaching:

• MA6000D: Stochastic Optimal Control and Applications in Finance
• MA20224: Probability 2A
• MA30087/50087: Optimisation Methods of Operational Research
• MA30089/50089: Applied Probability and Finance
• MA6000K: Optimal Stopping and Applications
• MA20097: Statistics 2

Other Links:

• EPSRC Symposium Workshop - Optimal stopping, optimal control and finance, Warwick 16-20 July, 2012
• Prob-L@b Seminars
• Prob-L@B
• Probability and Statistics Seminars
• Workshop: Crossing Barriers - Hitting and stopping time problems in finance and insurance