Alet Roux
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Profile
Biography
I studied at the University of Pretoria (South Africa) as an undergraduate, obtaining degrees in Insurance Science, Applied Mathematics and Mathematical Statistics. After completing an MPhil in Statistical Science at the University of Cambridge, I moved to Hull and then York for my PhD studies. Before joining York in 2007, I was a lecturer at the University of Stellenbosch.
Departmental roles
- Deputy Chair of Board of Studies
- Director of MSc Financial Engineering
Research
Overview
I am interested in 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.
Research group(s)
Mathematical Finance and Stochastic Analysis Research Group
Available PhD research projects
There are many interesting problems that can be studied in this framework:
- Developing efficient algorithms for computing option prices, hedging strategies and optimal stopping times.
- Developing theoretical results on the representation of option prices in terms of dual variables.
- Developing the option pricing theory in terms of the modern pricing paradigms offered by utility maximization, indifference, expected shortfall, etc.
