Alet Roux

Research

Overview

I have two main areas of interest:

• The pricing and hedging of options in models with imperfections such as transaction costs and trading constraints, and optimal stopping problems arising from the pricing of American and game options.
• Novel financial models, for example, models for cryptocurrencies which behave differently from traditional financial assets such as stock prices.

Research group(s)

Mathematical Finance and Stochastic Analysis Research Group

Available PhD research projects

• Developing efficient algorithms for computing option prices, hedging strategies and optimal stopping times.
• Developing the option pricing theory in terms of the modern pricing paradigms offered by utility maximization, indifference, expected shortfall, etc.
• New developments in models for cryptocurrencies, eg incorporation of market attention, delay, calibration to market data.