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

• New paper: "An irreversible investment problem with a learning-by-doing feature" with E. Ekström, A. Milazzo, T. Tolonen-Weckström. 

Summary: We study a model of irreversible investment for a decision-maker who has the possibility to gradually invest in a project with unknown value. In this setting, we introduce and explore a feature of "learning-by-doing", where the learning rate of the unknown project value is increasing in the decision-maker's level of investment in the project. We show that, under some conditions on the functional dependence of the learning rate on the level of investment (the "signal-to-noise" ratio), the optimal strategy is to invest gradually in the project so that a two-dimensional sufficient statistic reflects below a monotone boundary. Moreover, this boundary is characterised as the solution of a differential problem. Finally, we also formulate and solve a discrete version of the problem, which mirrors and complements the continuous version.

• 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.

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.