Peter Spoida
 Peter SpoidaDPhil Student, MSc in Mathematics and Finance
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Reception/Secretary: +44 1865 273525 Office: DH39 Departmental Address:
Mathematical Institute |
Research Interests:
I am a second year DPhil student in Mathematical and Computational Finance group. My research interests lie in probability theory and its interplay with Mathematical Finance. Together with Jan Obłoj I try to develop the robust pricing and hedging framework further to allow for more flexible incorporation of both, market and statistical information. In particular, we try to incorporate statistical confidence intervals on total realised volatility and understand the consequences for pricing, pathwise hedging and forms of arbitrage. Key mathematical tool for doing this include optimality properties of solutions to the Skorokhod embedding problem and pathwise stochastic calculus. Prizes, Awards and Scholarships:
Student Membership at the Oxford-Man Institute of Quantitative Finance. Major/Recent Publications:
with Pierre Henry-Labordere, Jan Obloj and Nizar Touzi, Maximum Maximum of Martingales given Marginals, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2031461 with Jan Obloj, An Interated Azema-Yor Type Embedding for Finitely Many Marginals, http://arxiv.org/abs/1304.0368 Teaching:
TA: MScMCF, Financial Derivatives 2, HT 2012 TA: MScMCF, Practical Stochastic Calculus and Asset Allocation, MT 2012 Tutor: MScMCF, Fixed Income Markets, HT 2013 Further Details:
I am a member of Lady Margaret Hall. |
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