I am currently an Assistant Professor in Mathematics at Khalifa University. My research focuses on mathematical/quantitative finance, applying option pricing methods to various financial problems. 

What's New:

• Conference on "Converging paths in commodity and financial markets analysis" organized by Mathematics Department of Khalifa University

• Online seminars on "One World Optimal stopping and related topics"

• New paper: "Optimal liquidity and asset bubbles" with Jerome Detemple and Rodolfo Prieto.

Summary: We show that the interplay between endogenous limited participation and credit lines creates asset price bubbles in a simple exchange economy with three types of agents: regular stockholders, arbitrageurs and liquidity providers. Regular stockholders are worse off in the economy with credit lines as they cannot exploit bubbly prices as aggressively due to the increased stock volatility created by arbitrageurs with access to credit lines. Arbitrageurs and liquidity providers are at least as well off. Optimal liquidity is found to be consistent with the existence of bubbles in stock and bond markets under certain conditions. We extend the baseline model to heterogeneous risk aversion and beliefs, providing a novel view on the emergence of bubbles on stock prices that is tied to the direction of liquidity needs and the allocation of risk across investors.

• New paper: "Mortgage contracts and underwater default" with Scott Robertson. 

Summary: We analyze recently proposed mortgage contracts which aim to eliminate selective borrower default when the loan balance exceeds the house price. We show that contracts which automatically reduce the outstanding balance in the event of house price decline remove the default incentive, but may induce prepayment in low price states. We also show that capital gain sharing features, such as prepayment penalties in high house price states, are ineffective as they virtually eliminate prepayment. For observed foreclosure costs, we find that contracts with automatic balance adjustments become preferable to the traditional fixed rate contracts at mortgage rate spreads between 50-100 basis points. Results are obtained using American options pricing method. We provide explicit solutions in the long contract maturity limit.

Current Research Focus:  

• real options

• energy finance

• pricing of derivative securities and mortgage contracts

• dynamic capital structure and credit risk

• asset pricing

Previously, I was a Senior Lecturer in Finance at the MIT Sloan School of Management and Postdoctoral Associate at Boston University Questrom School of Business. 

At MIT Sloan, I taught 15.433 Financial Markets and 14.437 Options and Futures.

I hold a BSc and an MSc in Mathematics from Lomonosov Moscow State University, and a PhD in Mathematical Finance from University of Manchester.