Mathematical Finance Group

AREAS OF RESEARCH ACTIVITY

  • Arbitrage and option pricing in markets with friction and incomplete markets
  • Entropy and financial value of information
  • Optimal investment strategies in markets with prices depending on the volume of trading
  • Discrete time models and their continuous time limits in the presence of market imperfections
  • Non-standard analysis methods in mathematical finance
  • Probability theory and applications to mathematical finance
  • Robust arbitrage and model-independent pricing
  • Stochastic differential equations

 
BOOKS AUTHORED



M.Capinski&T.Zastawniak
Mathematics for Finance. An Introduction to Financial Engineering
R.J.Elliott&P.E.Kopp
Mathematics of Financial Markets
Z.Brzezniak & T.Zastawniak
Basic Stochastic Processes





M.Capinski &T.Zastawniak
Probability Through Problems
M.Capinski & P.E.Kopp
Measure, Integral and Probability

 

 

 

Members

(in alphabetical order)
roux-alet
 Dr Alet Roux
BSc BCom (Pret), MPhil (Cantab), PhD (York)
Mathematical Finance
+44 1904 32 4596
alet.roux@york.ac.uk
TZ2.jpg
 Professor Tomasz Zastawniak
MSc Maths, MSc Phys, PhD (Krakow)
mathematical finance, stochastic analysis, mathematical physics
+44 1904 32 4138
tz506@york.ac.uk

Publications

2012

Cutland N, Roux A.  2012.  Derivative Securities in Discrete Time. Springer Undergraduate Mathematics Series. :325.
Roux A, Zastawniak T, Zhang N.  2012.  Parallel Binomial American Option Pricing under Proportional Transaction Costs. Applied Mathematics. 3(11)

2011

Roux A, Zastawniak T.  2011.  American and Bermudan options in currency markets under proportional transaction costs. Finance and Stochastics. Abstract
Roux A, Tien C-Y, Zastawniak T.  2011.  Derivative Securities in Markets with Bid-Ask Spreads. Global and Stochastic Analysis. 1(2):35. Abstract
Capinski M, Zastawniak T.  2011.  Mathematics for Finance. An Introduction to Financial Engineering, 2nd edition.
Roux A, Zastawniak T, Zhang N.  2011.  Parallel binomial valuation of American options with proportional transaction costs. Advanced Parallel Processing Technology Symposium, Shanghai, China, September 2011. 6965:88--97.

2009

Roux A, Zastawniak T.  2009.  American options under proportional transaction costs: Pricing, hedging and stopping algorithms for long and short positions. Acta Applicandae Mathematicae. 106:199-228. Abstract
Capinski M, Zastawniak T.  2009.  Mathematics for Finance. An Introduction to Financial Engineering (translation into Mandarin Chinese).

2008

Roux A, Tokarz K, Zastawniak T.  2008.  Options under proportional transaction costs: An algorithmic approach to pricing and hedging. Acta Applicandae Mathematicae. 103:201-209. Abstract
Roux A.  2008.  Options under transaction costs. Abstract

2007

Roux A.  2007.  The fundamental theorem of asset pricing under proportional transaction costs. Abstract

2006

Roux A, Zastawniak T.  2006.  A counter-example to an option pricing formula under transaction costs. Finance and Stochastics. 10:575-578. Abstract
Roux A, Zastawniak T.  2006.  American options under proportional transaction costs: seller's price algorithm, hedging strategy and optimal stopping.
Roux A.  2006.  European and American options under proportional transaction costs. Abstract

2003

Lubuma JM-S, Roux A.  2003.  An Improved Theta-method for Systems of Ordinary Differential Equations. Journal of Difference Equations and Applications. 9:1023-1035. Abstract