Alexander Cox


Reader in Probability

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

Phone Number: 01225 386187

Office: 6 West 1.13

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

Photo of Alexander Cox

Research Areas:
My research group is broadly interested in Optimisation under Uncertainty. Our work ranges from theoretical results to applications. On the theoretical side, we have worked extensively on the Skorokhod Embedding problem, and connections to Optimal Transport. On the applied side, expertise includes Robust pricing in Mathematical Finance, and Monte Carlo methods for applications to the Neutron Transport Equation.

Research Group:
Current Group Members:
PhD Students: Kevin Olding, Tom Davis, Marco Murtinu, Marcel Stozir, Na Eun Kim.

Former Group Members:
PostDocs: Minmin Wang, Benjamin Dadoun.
PhD Students: Jiajie Wang (2011) [thesis], Christoph Hoeggerl (2015) [thesis], Sam Kinsley (2018) [thesis], Emma Horton (2019) [thesis] and Ben Robinson (2021) [thesis].

Papers and Preprints:

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, Stochastic Control, Monte Carlo or Mathematical Finance. You can find some possible projects here; alternatively, please e-mail me for more information.

Teaching:

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