Alex Cox

Staff

Department of Mathematical Sciences

Professor Alex Cox

Research interests:

Probability and applications in Mathematical Finance
Stochastic optimal control
Martingale optimal transport

Alex is interested in questions arising in Probability and their applications in Mathematical Finance, particularly questions which relate to robustness and model-independence when considering the pricing and hedging of financial derivative contracts. His research uses tools such as optimal control, optimal stopping, optimal Skorokhod embedding, optimal martingale transport, Brownian motion, and related Markov processes.

LINKS:

Alex Cox on the University of Bath Research Portal

Lead Supervisors

Federico Cornalba

Department of Mathematical Sciences

Modelling of large-scale interacting particle systems
Analysis and numerics of stochastic PDEs of Fluctuating Hydrodynamics
Reinforcement Learning methods

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Avi Mayorcas

Department of Mathematical Sciences

Regularisation by noise in stochastic partial and ordinary differential equations
Stochastic quantisation of physical field theories
Game theory and mean field dynamics in macroeconomics and finance

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Christoforos Panagiotis

Department of Mathematical Sciences

Percolation and lattice spin models
Probability on groups
Self-avoiding walk

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Matthew Schrecker

Department of Mathematical Sciences

Analysis of Partial Differential Equations
Fluid dynamics (especially free boundary problems and nonlinear singularity formation)
Shock waves (their formation, structure and dynamics)

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Haiyan Zheng

Department of Mathematical Sciences

Adaptive designs in clinical trials
Bayesian data augmentation
Finite mixture distributions

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Andreas Kyprianou

Andreas was instrumental in the development of SAMBa and was Co-Director from its inception until the end of 2022. He has left the University of Bath to take up the role of Chair of Probability at the University of Warwick.

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