Assistant Professor in Mathematical Finance

My CV

Teaching current term (Winter 2021):

• PSTAT 160A: Applied Stochastic Processes

Teaching previous terms (UCSB only):

• MATH CS 120: Special Topic (Random Graphs and Random Matrices) (Spring 2020)
• MATH CCS 121: Probability and Combinatorics (Spring 2019, Fall 2020)
• PSTAT 160A: Applied Stochastic Processes (Fall 2018, Winter 2019)
• PSTAT 223C: Advanced Topics in Financial Modeling (Systemic Risk) (Spring 2018)
• PSTAT 170: Introduction to Mathematical Finance (Winter 2017, Fall 2017, Spring 2018)
• PSTAT 221B: Advanced Probability Theory (Random Graphs and Systemic Risk) (Winter 2017)
• PSTAT 210: Measure Theory for Probability (Fall 2016, Fall 2017, Fall 2019, Fall 2020)

Research Interests:

• Financial Mathematics: Systemic risk, energy markets and model risk
• Probability theory: Stochastic Analysis and Random graphs, especially percolation on random graphs

Publications:

• Abstract polynomial processes, with F.E. Benth and P. Krühner
  submitted, 2020
• Stochastic Volterra integral equations and a class of first order stochastic partial differential equations, with F.E. Benth and P. Krühner
  submitted, 2020
• Suffocating Fire Sales, with T. Meyer-Brandis, K. Panagiotou and D. Ritter
  submitted, 2018
• Accuracy of Deep Learning in Calibrating HJM Forward Curves, with F.E. Benth and S. Lavagnini
  accepted Digital Finance
• Financial Contagion in a Stochastic Block Model, with T. Meyer-Brandis, K. Panagiotou and D. Ritter
  accepted International Journal of Theoretical and Applied Finance
• Independent increment processes: A multilinearity preserving property, with F.E. Benth and P. Krühner
  Stochastics: An International Journal of Probability and Stochastic Processes, 2020, Pages 1-30
• An Integrated Model for Fire Sales and Default Contagion, with T. Meyer-Brandis, K. Panagiotou and D. Ritter
  Mathematics and Financial Economics Volume 15, Page 59Ð101 2021
• Serotonergic axons as Fractional Brownian Motion paths: Insights into the self-organization of regional densities, with S. Janusonis, R. Metzler and T. Vojta
  Frontiers In Computational Neuroscience, Volume 14, June 2020
• Directed Chain Stochastic Differential Equations with J.-P. Fouque and T. Ichiba
  Stochastic Processes and their Applications, 130(4) April 2020, Page 2519-2551
• Bootstrap percolation in directed and inhomogeneous random graphs, with T. Meyer-Brandis and K. Panagiotou
  Electronic Journal of Combinatorics, 26(2), 2019, Page 1-43
• Managing Default Contagion in Financial Networks, with T. Meyer-Brandis, K. Panagiotou and D. Ritter
  SIAM Journal on Financial Mathematics, 10(2), 2019, Page 430-465
• Quadratic hedging with multiple assets under illiquidity with applications in energy markets, with C. Christodoulou and T. Meyer-Brandis
  International Journal of Theoretical and Applied Finance, Vol. 21, No. 04, 2018
• Systemic Risk in Networks , with T. Meyer-Brandis, K. Panagiotou and D. Ritter
  Network Science - An Aerial View from Different Perspectives, 2019, Editors: F. Biagini, G. Kauermann, T. Meyer-Brandis
• A stochastic approach to serotonergic fibers in mental disorders, with S. Janusonis
  Biochemie, 2018
• The Model Risk of Contingent Claims, with N. Packham
  Quantitative Finance, 16:9 , Page 1357-1374, 2016
• Pricing and hedging asian-style options in energy, with F.E. Benth
  Finance & Stochastics, Vol. 19(4), Page 849-889, 2015
• Model risk in incomplete markets with jumps, with N. Packham
  Springer Proceedings in Mathematics & Statistics, Vol. 99, K. Glau et al: Innovations in Quantitative Risk Management, 2014
• Return distributions of equity-linked retirement plans under jump and interest rate risk, with A. Weber and U. Wystup
  European Actuarial Journal Vol. 3(1), Page 203-228., 2013
• Return distributions of equity-linked retirement plans, with A. Weber and U. Wystup
  Statistical Tools for Finance and Insurance, 2.Ed., Berlin: Springer, S. 393-413., 2011