Dr Martin Klimmek
 Dr Martin Klimmek
eMail:
Martin [dot] Klimmek [-at-] maths [dot] ox [dot] ac [dot] uk
Reception/Secretary: +44 1865 273525 Office: DH3 Preferred Address:klimmek@maths.ox.ac.uk Departmental Address:
Mathematical Institute |
Research Interests:
Inverse problems and robust methods in finance, Skorokhod embeddings with interesting optimality properties, optimal stopping and diffusion theory with applications in economics, finance, biology. Major/Recent Publications:
Articles: - Constructing time-homogeneous generalized diffusions consistent with optimal stopping values, D Hobson, M Klimmek, Stochastics, 2011. - Maximising functionals of the joint law of the maximum and terminal value in the Skorokhod embedding problem, D Hobson, M Klimmek, forthcoming in Annals of Applied Probability (submitted in 2011). - Model independent hedging strategies for variance swaps, D Hobson, M Klimmek, Finance and Stochastics 16 (4), 611-649, 2012. - The Wronskian parametrises the class of diffusions with a given distribution at a random time, M Klimmek, Electronic Communications in Probability 17, 2012. Preprints: - Parameter dependent thresholds, indifference levels and inverse optimal stopping problems, ArXiv preprint - Robust price bounds for the forward starting straddle, D. Hobson, M Klimmek, ArXiv preprint Further Details:
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