Alexander Cox

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:

• "An Optimal Embedding for Diffusions", Stochastic Processes and Applications 111 (2004) 17 - 39. (With D.Hobson)
  
• "Skorokhod Embeddings, Minimality and Non-centred Target Distributions", Probability Theory and Related Fields 135 3 (2006) 395-414 . arXiv.(with D.Hobson)
  
• "Local Martingales, Bubbles and Option Prices", Finance and Stochastics 9 4 (2005) 477-492. (With D.Hobson)
  
• "Extending Chacon-Walsh: minimality and generalised starting distributions", Séminaire de Probabilités XLI, Springer, 2008. arXiv.
  
• "A unifying class of Skorokhod embeddings: connecting the Azema-Yor and Vallois embeddings", Bernoulli 13 1 (2007) 114-130 pdf. (With D.Hobson)
  
• "Classes of Skorokhod Embeddings for the Simple Symmetric Random Walk", Electronic Journal of Probability (2008) 1203-1228. (With J.Obloj)
  
• "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
  
• "Robust hedging of double touch barrier options". (With J. Obloj), SIAM Journal of Financial Mathematics (2011) 2, 141-182
  
• "Robust pricing and hedging of double no-touch options", pdf , arXiv. (With J. Obloj), Finance and Stochastics 2011 15 3 (2011) 573-605
  
• "Time-Homogeneous Diffusions with a Given Marginal at a Random Time", pdf . (With D. Hobson and J. Obloj), ESAIM: Probability and Stochastics, (2011) 15: S11-S24. The original publication is available at www.edpsciences.org/ps
  
• "Utility theory front to back — inferring utility from agents' choices", pdf , arXiv. (With D. Hobson and J. Obloj)
  
• "Root's Barrier: Construction, Optimality and Applications to Variance Options", pdf , arXiv. (With J. Wang, to appear, Annals of Applied Probability)
  
• "Embedding Laws in Diffusions by Functions of Time", pdf , arXiv. (With G. Peskir)
  

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.

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:

• MA20097: Statistics 2
• MA30087/50087: Optimisation Methods of Operational Research
• MA30089/50089: Applied Probability and Finance
• MA6000K: Optimal Stopping and Applications

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