Dr Sergey Nadtochiy

I'm a Senior Research Fellow at the Oxford-Man Institute of Quantitative Finance. My research interests are in the field of Financial Mathematics. More precisely, I work on the problems of Stochastic Analysis, Partial Differential Equaitons, Functional Analysis, Inverse Problems and their applications to Finance.

One of the projects I have been involved in is the "Market-Based Approach to Modeling Derivatives Prices", which is concerned with developing a mathematical framework for modeling the joint evolution of the prices of derivatives within a given family. Our results are a natural extension of the well-known HJM approach to the market of equity derivatives, and, in particular, they provide a flexible framework for modeling the dynamics of the implied volatility surface.

My other subject of interest is the problem of Static Hedging. In particular, I have been working on constricting explicit static hedging startegies (which involve, at most, two trades) for the standard barrier options via the European-type derivatives, in the autonomous diffusion models. Such results lead to the static hedging strategies which are robust with respect to investor's beliefs on the range of changes of the implied volatility surface.

I have also been working on the theory of Forward Investment Performance Processes in the context of the problem of Optimal Investment in Finance. This includes constructing a large family of Forward Performance Processes by analyzing the "time-reversed" Hamilton-Jacobi-Bellman equation.

My main website:  http://users.ox.ac.uk/~oxma0016/