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Lecturer
School of Mathematics and Statistics
The University of Sydney
E-mail: anna.aksamit(at)sydney.edu.au
Research Interests:
Mathematical finance and stochastic processes
I am focused on problems linked to information modelling in finance. In particular I have been working on additional information in robust framework, arbitrages and enlargement of filtration theory.
Australian Research Council funding:
Australian Research Council funding:
ARC DP (2022-2026), 390,000 AUD, Can green investors drive the transition to a low emissions economy? with Ivan Guo, Zhou Zhou, Kihun Nam and Marek Rutkowski
ARC DECRA (2020-2024), 427,000 AUD, How to beat model uncertainty with more information
Book:
Book:
Enlargement of Filtrations with Finance in View (2017), with M. Jeanblanc, SpringerBriefs in Quantitative Finance, Springer International Publishing.
Publications and preprints:
Publications and preprints:
Entropy and additional information of a discrete information disclosed progressively in time (2026), preprint (available on arXiv).
Sensitivity analysis of Stochastic Fluid Models: stationary and transient quantities with applications (2026), with M. O'Reilly and Z. Palmowski, preprint.
Switching to a Green and sustainable finance setting: a mean field game approach (2025), with K. Das, I. Guo, K. Nam and Z. Zhou, preprint (available on arXiv).
Random walk on a quadrant: mapping to a one-dimensional level-dependent Quasi-Birth-and-Death process (2025), with M. O'Reilly, and Z. Palmowski, Stochastic Models, 1-34, published online: 14 Feb 2025, DOI:10.1080/15326349.2025.2456961.
Sensitivity analysis of Quasi-Birth-and-Death processes (2024), with M. O'Reilly and Z. Palmowski, Stochastic Models, 1-28. Published online: 02 Apr 2024, DOI:10.1080/15326349.2024.2325448.
Generalized BSDEs with random time horizon in a progressively enlarged filtration (2023), with L. Li, and M. Rutkowski, Electronic Journal of Probability, 28, pp 1-41.
Robust pricing-hedging duality for multi-action options (2021), with I. Guo, S. Liu and Z. Zhou, preprint (available on arXiv).
Thin times and random times' decomposition (2021), with M. Jeanblanc and T. Choulli, Electronic Journal of Probability, 26, pp 1-22.
Robust framework for quantifying the value of information in pricing and hedging (2020), with Z. Hou and J. Obłój, SIAM Journal on Financial Mathematics, 11(1), pp 27-59.
Martingale spaces and representations under absolutely continuous changes of probability (2019), with C. Fontana, Electronic Communications in Probability, 24(62), pp 1-13.
The robust pricing-hedging duality for American options in discrete time financial markets (2019), with S. Deng, J. Obłój and X. Tan, Mathematical Finance, 29(3), pp 861-897.
Integral representations of martingales for progressive enlargements of filtrations (2019), with M. Jeanblanc and M. Rutkowski, Stochastic Processes and their Applications, 129(4), pp 1229-1258.
No-arbitrage under additional information for thin semimartingale models (2019), with T. Choulli, J. Deng and M. Jeanblanc, Stochastic Processes and their Applications, 129(9), pp 3080-3115.
No-arbitrage under a class of honest times (2018), with T. Choulli, J. Deng and M. Jeanblanc, Finance and Stochastics, 22(1), 127-159.
No-arbitrage up to random horizon for quasi-left-continuous models (2017), with T. Choulli, J. Deng, and M. Jeanblanc, Finance and Stochastics, 21(4), 1103-1139.
Projections, pseudo-stopping times and the Immersion property (2016), with L. Li, In Donati-Martin C., Lejay A., Rouault A. (Eds.), Seminaire de Probabilites XLVIII. Lecture Notes in Mathematics, (pp. 459-467). Cham: Springer International Publishing, (preprint available at arxiv).
On an optional semimartingale decomposition and the existence of a deflator in an enlarged filtration (2015), with T. Choulli and M. Jeanblanc, In Donati-Martin C., Lejay A., Rouault A. (Eds.), In Memoriam Marc Yor - Seminaire de Probabilites XLVII. Lecture Notes in Mathematics, (pp. 187-218). Cham: Springer International Publishing, (preprint available at HAL).
Arbitrages in a Progressive Enlargement Setting (2014), with T. Choulli, J. Deng and M. Jeanblanc, In Caroline Hillairet, Monique Jeanblanc, Ying Jiao (Eds.), Arbitrage, Credit and Informational Risks, (pp. 53-86). Singapore: World Scientific Publishing, (preprint available at arxiv).
Doctoral thesis:
Doctoral thesis:
Random times, enlargement of filtration and arbitrages (2014), Université d'Evry Val d'Essonne, (available at HAL).
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