
Prof. Samuel Cohen
Associate Professor
Address
Mathematical Institute
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG
application to dynamic pricing
I am an Associate Professor in the Mathematical and Computational Finance Group. My main research interests are in the areas of stochastic analysis and mathematical finance. In particular, I work with Backward Stochastic Differential Equations (BSDEs), which arise in various areas in stochastic control and mathematical finance. I am interested in problems associated with decision making in the presence of risk and uncertainty.
A key problem in risk-averse decision making is time-consistency - "How can I be sure that tomorrow's decisions will satisfy today's objectives?" To guarantee time-consistency, we must ensure that the objective pursued satisfies certain properties. These properties, in general, are satisfied by solutions to BSDEs.
For more details, see my Personal Site.