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: "A Coupled Optimal Stopping Approach to Pairs Trading over a Finite Horizon" with T. Leung. 

Summary: We study the problem of trading a mean-reverting price spread over a finite horizon with transaction costs and an unbounded number of trades. Modeling the price spread by the Ornstein-Uhlenbeck process, we formulate a coupled optimal stopping problems to determine the optimal timing to switch positions. We analyze the corresponding free-boundary system for the value functions. Our solution approach involves deriving a system of Volterra-type integral equations that uniquely characterize the boundaries associated with the optimal timing decisions. These integral equations are used to numerically compute the optimal boundaries.

• 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.