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:

• "2nd Abu Dhabi Research in Options" conference organized by the 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: "On the pricing of double barrier options under stochastic volatility models: A probabilistic approach" with Jerome Detemple and Danila Shabalin. 

Summary: We study the pricing of double barrier knock-out options under stochastic volatility using a conditional Monte Carlo method based on the local time-space formula of Peskir. A valuation formula including an early knock-out discount is provided, where the discount depends on the local time of the underlying stochastic processes and the deltas of the option at the barriers. The latter solve a system of coupled Volterra integral equations of the first kind. This characterization leads to an efficient numerical method for general volatility diffusion models. An algorithm for numerical implementation, based on a conditional quasi-Monte Carlo simulation method, is presented and shown to converge numerically to the true value of the claim. A numerical study is performed to illustrate properties of double barrier knock-out calls in the Heston stochastic volatility model. 

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 a 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 the University of Manchester.