Neofytos Rodosthenous
Associate Professor
University College London (UCL)
Department Of Mathematics
My research interests in financial mathematics are mainly driven by problems of stochastic analysis, stochastic control and optimisation, optimal stopping and free-boundary problems, stochastic games, sequential testing and change-point detections (disorder problems).
EDUCATION
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PhD Mathematics2009 - 2013
London School of Economics and Political Science, UK
Thesis title: "Optimal stopping problems in Mathematical Finance"
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MSc Financial Mathematics2008 - 2009
London School of Economics and Political Science, UK
Grade: "Distinction"
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BSc Mathematics2004 - 2008
University of Athens (National & Kapodistrian), Greece
Average Grade: 9.34/10 "Distinction" -- First of the class with honours
EMPLOYMENT
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University College London (UCL), UK2021 - present
Associate Professor
Department of Mathematics
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Queen Mary, University of London, UK2014 - 2021
Senior Lecturer in Financial Mathematics (Lecturer until 2017)
School of Mathematical Sciences
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London School of Economics and Political Science, UK2016
Visiting Professor
Department of Mathematics
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University of Leeds, UK2013 - 2014
Lecturer in Financial Mathematics
School of Mathematics
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London School of Economics and Political Science, UK2013
Fellow in Finance
Department of Finance
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Columbia University, New York, USA2012
Fellow
Department of Statistics
PUBLICATIONS
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A stochastic non-zero-sum game of controlling the Debt-to-GDP ratio2024
Applied Mathematics & Optimization (Forthcoming, with F. Dammann and S. Villeneuve)
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Non-zero-sum optimal stopping game with continuous versus periodic exercise opportunities2024
Mathematics of Operations Research (Forthcoming, with J.L. Pérez and K. Yamazaki)
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Uncertainty over uncertainty in environmental policy adoption: Bayesian learning of unpredictable socioeconomic costs2024
Journal of Economic Dynamics and Control, 161, 104841 (with M. Basei and G. Ferrari)
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Two-sided singular control of an inventory with unknown demand trend2023
SIAM Journal on Control and Optimization, 61 (5), 3076-3101 (with S. Federico and G. Ferrari)
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An AI approach for managing financial systemic risk via bank bailouts by taxpayers2022
Nature Communications, 13, 6815 (with D. Petrone and V. Latora)
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Optimal stopping games in models with several information flows2021
Stochastic Analysis and Applications, 39 (6), 1050-1094 (with P.V. Gapeev)
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When to sell an asset amid anxiety about drawdowns2020
Mathematical Finance, 30 (4), 1422-1460 (with H. Zhang)
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Optimal control of Debt-to-GDP ratio in a regime-switching economy2019
SIAM Journal on Control and Optimization, 58 (2), 755-786 (with G. Ferrari)
-
Discretionary stopping of stochastic differential equations with generalised drift2019
Electronic Journal of Probability, 24 (140), 1-39 (with M. Zervos, P.C. Lon and T. Bernhardt)
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On the Laplace transforms of the first hitting times for drawdowns and drawups of diffusion-type processes2019
Risks, 7 (3), 87 (with P.V. Gapeev and V.L.R. Chinthalapati)
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Beating the Omega clock: An optimal stopping problem with random time-horizon under spectrally negative Lévy models2018
The Annals of Applied Probability, 28 (4), 2105-2140 (with H. Zhang)
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Watermark options2017
Finance and Stochastics, 21 (1), 157-186 (with M. Zervos)
-
Perpetual American options in diffusion-type models with running maxima and drawdowns2016
Stochastic Processes and their Applications, 126 (7), 2038-2061 (with P.V. Gapeev)
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On the drawdowns and drawups in diffusion-type models with running maxima and minima2016
Journal of Mathematical Analysis and Applications, 434 (1), 413-431 (with P.V. Gapeev)
-
On the optimal stopping of a skew geometric Brownian motion2016
Modern trends in controlled stochastic processes: Theory and Applications (Piunovskiy Al. B. eds.), Luniver Press, Volume II, 231-245. (with P.C. Lon and M. Zervos)
-
Robustness of the N-CUSUM stopping rule in a Wiener disorder problem2015
The Annals of Applied Probability, 25 (6), 3405-3433 (with H. Zhang and O. Hadjiliadis)
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Optimal stopping problems in diffusion-type models with running maxima and drawdowns2014
Journal of Applied Probability, 51 (3), 799-817 (with P.V. Gapeev)
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On the pricing of perpetual American compound options2014
Inspired by Finance. (The Musiela Festschrift, Kabanov Yu. M., Rutkowski M. and Zariphopoulou Th. eds.) Springer, 283-304 (with P.V. Gapeev)
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Perpetual American options in a diffusion model with piecewise-linear coefficients2013
Statistics and Risk Modeling, 30 (1), 1-21 (with P.V. Gapeev)
CONFERENCE PRESENTATIONS & OTHER RESEARCH SEMINARS
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Bachelier Finance Society 12th World CongressJuly 2024
Rio de Janeiro, Brazil
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Finance SeminarMay 2024
Questrom Business School, Boston University, USA (Invited speaker)
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XXV Workshop on Quantitative FinanceApril 2024
Alma Mater Studiorum, University of Bologna, Italy
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Stochastic Finance SeminarNovember 2023
University of Warwick, UK (Invited speaker)
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7th London-Paris Bachelier Workshop on Mathematical Finance September 2023
Imperial College London, UK (Invited speaker)
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Advanced Mathematical Methods for Finance (AMaMeF)June 2023
Bielefeld, Germany
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SIAM Conference on Financial Mathematics & EngineeringJune 2023
Philadelphia, Pennsylvania, USA
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Mathematical Statistics SeminarMarch 2023
Stockholm University, Sweden (Invited speaker)
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Mathematical Economics Theory Research SeminarNovember 2022
Bielefeld University, Germany (Invited speaker)
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15th Viennese Conference on Optimal Control and Dynamic GamesJuly 2022
TU Wien, Austria (Invited speaker)
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30th IFIP TC7 System Modeling & OptimizationJuly 2022
Warsaw University of Technology, Poland (Invited speaker)
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International Conference on the Mathematics for Risk and DecisionsMarch 2022
UCL & Osaka University (Virtual, invited speaker)
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31st European Conference on Operational ResearchJuly 2021
University of West Attica, Athens, Greece (Virtual, invited speaker)
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MAD-Stat. SeminarNovember 2019
Toulouse School of Economics, France (Invited speaker)
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SIAM Conference on Financial Mathematics & EngineeringJune 2019
University of Toronto, Canada
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Berlin Seminar on Stochastics and Mathematical FinanceApril 2019
TU Berlin, Germany (Invited speaker)
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Conference on Stochastic Control and Games under AmbiguityApril 2019
University of Leeds, UK (Invited speaker)
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12th International Workshop on Stochastic Models and Control (SMC 2019)March 2019
Cottbus, Germany
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Stochastic Processes and Related TopicsFebruary 2019
Kansai University, Japan (Invited speaker)
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Stochastic Finance SeminarFebruary 2019
University of Warwick, UK (Invited speaker)
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Games, Choice and Decisions 2018October 2018
Queen Mary University of London, UK (Invited speaker)
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Bachelier Finance Society 10th world congressJuly 2018
Trinity College Dublin, Ireland
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A Symposium on Optimal Stopping (in memory of Larry Shepp)June 2018
Rice University, Houston, Texas, USA (Invited speaker)
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4th Symposium on Quantitative Finance and Risk Analysis (QFRA)June 2018
Mykonos, Greece
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Mathematics of Behavioral Economics and Knightian Uncertainty in Financial MarketsMay 2018
ZIF (Center for Interdisciplinary Research), Bielefeld, Germany (Invited speaker)
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13th German Probability and Statistics Days (GPSD 2018) February 2018
Albert-Ludwigs-Universität Freiburg, Germany
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Optimal stopping in complex environmentsDecember 2017
Center for Mathematical Economics (IMW), Germany (Invited speaker)
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4th London-Paris Bachelier Workshop on Mathematical Finance September 2017
UCL, UK (Invited speaker)
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3rd Symposium on Quantitative Finance and Risk Analysis (QFRA 2017)June 2017
Corfu, Greece
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Thera Stochastics: A Mathematics Conference in Honor of Ioannis KaratzasMay 2017
Santorini, Greece
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Mathematical and Computational Finance SeminarFebruary 2017
University of Oxford, UK (Invited speaker)
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Mathematical Economics Theory Research SeminarFebruary 2017
Bielefeld University, Germany (Invited speaker)
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SIAM Conference on Financial Mathematics & EngineeringNovember 2016
Austin, Texas, USA (Invited speaker)
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Stochastic Analysis of Dynamical Systems, Stochastic Control and GamesOctober 2016
University of Leeds (Invited speaker)
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School on Stochastics and Financial MathematicsSeptember 2015
Olympic Village, Sochi , Russia (Invited speaker)
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The 8th International Congress on Industrial and Applied Mathematics (ICIAM)August 2015
Beijing, China (Invited speaker)
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Strategic Aspects of Optimal Stopping and Control in Economics and Finance WorkshopJuly 2015
ZIF (Center for Interdisciplinary Research), Bielefeld University, Germany
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Fifth International Workshop in Sequential Methodologies (IWSM)June 2015
Columbia University, New York, USA (Invited speaker)
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MRC Financial Mathematics WorkshopJune 2015
Snowbird, Utah, USA
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SIAM Conference on Financial Mathematics & EngineeringNovember 2014
Chicago, USA
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INFORMS Annual Meeting, Bridging Data and Decisions November 2014
San Francisco, USA (Invited speaker)
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Probability and Statistics Research SeminarMay 2014
University of Manchester, UK (Invited speaker)
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Probability, Statistical Modelling and Financial Mathematics SeminarOctober - November 2013
University of Leeds, UK (Invited speaker)
A series of talks on optimal stopping and free-boundary problems arising from mathematical finance
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The 4th International Conference on Continuous Optimization (ICCOPT)July 2013
Universidade Nova, Lisbon, Portugal (Invited speaker)
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Eleventh Northeast Probability Seminar (NEPS)November 2012
Columbia University, New York, USA
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Advanced Stochastic Methods to Model RiskSeptember 2012
Ulm University, Germany
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EPSRC Symposium Workshop on Optimal stopping, optimal control and financeJuly 2012
Warwick University, UK
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Bachelier Finance Society 7th World CongressJune 2012
Sydney, Australia
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Probability, Control and Finance - Conference in Honor of Ioannis Karatzas, June 2012
Columbia University, New York, USA
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London Graduate School of Mathematical Finance ConferenceMarch 2012
London, UK
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London Graduate School of Mathematical Finance ConferenceMarch 2011
London, UK
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Advanced Mathematical Methods for Finance (AMaMeF) WorkshopSeptember 2010
Humboldt University, Berlin, Germany
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London Graduate School of Mathematical Finance Conference March 2010
London, UK
TEACHING EXPERIENCE
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Asset Pricing in Continuous Time (PG)2021, 2022, 2023, 2024
UCL (University College London), Department of Mathematics
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Probability & Statistics for Data Analytics (PG)2019, 2020, 2021
Queen Mary, University of London, School of Mathematical Sciences (created new course)
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Probability & Statistics II (2nd year UG)2019, 2020, 2021
Queen Mary, University of London, School of Mathematical Sciences (created new course)
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The Foundations of Interest Rate and Credit Risk Theory (PG) 2016
London School of Economics and Political Science, Department of Mathematics
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Introduction to Mathematical Finance (3rd year UG) 2014, 2015, 2016
Queen Mary, University of London, School of Mathematical Sciences
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Financial Economics (PG)2013
London School of Economics and Political Science, Department of Finance
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Financial Mathematics III (2nd year UG)2013
University of Leeds, School of Mathematics (created new course))
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Financial Engineering (PG)2012
London School of Economics and Political Science, Department of Finance
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MSc Financial Mathematics Dissertation supervision2014 - 2021
Queen Mary, University of London, School of Mathematical Sciences
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Final-year (UG) Project supervision2013 - 2014
University of Leeds, School of Mathematics
GRANTS, SCHOLARSHIPS & AWARDS
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Faculty Education Award 2024
UCL Faculty of Mathematical & Physical Sciences
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Institute of Mathematics and its Applications (IMA) Fund Award 2023
QJMAM funding award for Applied Mathematics
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EPSRC First Grant2017 - 2019
Optimal timing for financial and economic decisions under adverse and stressful conditions
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Faculty Student Experience and Education Award2015
Queen Mary, University of London, UK
For teaching contributions to the school of Mathematical sciences -- Award based on students’ evaluation forms and decision of the faculty of Science & Engineering committee
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American Mathematical Society (AMS) Research grant2015
Utah, USA
For participating in the Mathematics Research Communities workshop in Financial Mathematics, taking place in Snowbird, Utah, USA
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Hausdorff Research Institute for Mathematics (HIM) Research grant2013
Bonn, Germany
For participating in Hausdorff Trimester Program “Stochastic Dynamics in Economics and Finance”, taking place at the HIM in Bonn University, Germany
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Research grant from the Partnership PhD Mobility Bursaries Scheme 2012
London School of Economics, UK & Columbia University, NY, USA
For conducting research at the Statistics department of Columbia University in the city of New York, being the first ever candidate visiting the Columbia University from the London School of Economics, Department of Mathematics
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Deutscher Akademischer Austausch Dienst (DAAD) Scholarship 2012
Funded by means of the German foreign office
For presenting a paper and participating in the summer academy "Advanced Stochastic Methods to Model Risk", Ulm University, Germany
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Postgraduate Travel Fund2012
London School of Economics and Political Science, UK
For presenting a paper at the Bachelier Finance Society 7th World Congress, Sydney, Australia -- The fund is awarded to a small number of PhD students across all disciplines in the university
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Teaching Excellence Award 2010, 2011
London School of Economics and Political Science, UK
For teaching contributions to the department of Mathematics -- Award based on students’ evaluation forms
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Public Benefit Foundation Alexander S. Onassis Scholarship 2010 - 2013
Athens, Greece
For PhD Studies at the London School of Economics and Political Science, UK
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Scholarship from the London School of Economics 2009 - 2013
For PhD Studies at the London School of Economics and Political Science, UK
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Public Benefit Foundation Alexander S. Onassis Scholarship 2008 - 2009
Athens, Greece
For Graduate MSc studies at the London School of Economics and Political Science, UK
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Greek State Scholarship Foundation (IKY) Scholarships2005, 2006, 2007
The scholarships are awarded to 3 students out of approximately 500 students of the Department of Mathematics, University of Athens
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Honour «ΑΙΕΝ ΑΡΙΣΤΕΥΕΙΝ» 2004, 2005
Ministry of Education, Greek State
Awarded to the best student of the academic year at the Department of Mathematics, University of Athens
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Silver medal at the National Cypriot Mathematical Olympiad 2002
MANAGEMENT & ADMINISTRATIVE EXPERIENCE
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Admissions Tutor (MSc Financial Mathematics)2024-present
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Director of MSc Mathematical Finance and MSc Financial Computing2019 - 2021
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Director of MSci Financial Mathematics (4-y-degree)2015 - 2021
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Teaching Stream Leader for "Probability and Financial Mathematics" (6 courses) 2017 - 2021
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Exam Scrutiny committee2016 - 2021
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Teaching and Learning committee of School of Mathematics2015 - 2021
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"Employability of students" group2015 - 2021
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"Mathematics taster talks" to Year 12 students (16-17 yo)2014 - 2021
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Curriculum review committee of School of Mathematics2016 - 2019
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Undergraduate Admissions2014 - 2015
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Erasmus / Study abroad Committee 2013 - 2014
PROFESSIONAL SERVICE
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Referee for the academic journals
Applied Mathematics & Optimization, Advances in Applied Probability, Finance & Stochastics, IEEE Transactions on Information Theory, IEEE International Symposium on Information Theory, International Journal of Game Theory, Insurance Mathematics and Economics, International Journal of Theoretical & Applied Finance, Journal of Applied Probability, Journal of Inequalities and Applications, Journal of Mathematical Analysis and Applications, Journal of Optimization Theory & Applications, Journal of Theoretical Probability, Mathematics & Financial Economics, Mathematics of Operations Research, Operations Research, Operations Research letters, Probability in the Engineering and Informational Sciences, Risks, Statistics & Probability Letters, SIAM Control & Optimization, SIAM Financial Mathematics, Stochastic Processes & their Applications, Stochastics
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External Examiner for PhD theses2023
Centro de Investigación en Matemáticas (CIMAT, Mexico)
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External Examiner for University of London2010 - 2018
International programme
GRADUATE & SUMMER SCHOOLS
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Advanced Stochastic Methods to Model Risk Summer Academy September 2012
Ulm University, Germany
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London Graduate School in Mathematical Finance 2009 - 2010
Imperial College, King's College & London School of Economics, London, UK
ADDITIONAL SKILLS
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Languages
Native Greek -- English -- Italian (Intermediate)
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IT Skills
C, C++, Matlab, Octave, Latex, Maple, Microsoft Word, Microsoft Excel, VBA
(Computational and Quantitative methods in Finance and Risk Analysis with Matlab and C++)
Fall semester
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Asset Pricing in Continuous Time (MATH0085)
Lectures:
Every Monday (02/10 – 11/12) — 3-6pm — South Wing 9 Garwood LT
Tutorials:
Every Tuesday (03/10 – 12/12) — 4-6pm — 25 Gordon Street, Maths 500
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Spring semester
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No teaching duties for this term in 2024.
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Refereed journal publications
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A stochastic non-zero-sum game of controlling the Debt-to-GDP ratio2024
Applied Mathematics & Optimization, Forthcoming. (with F. Dammann and S. Villeneuve)
-
Non-zero-sum optimal stopping game with continuous versus periodic exercise opportunities2024
Mathematics of Operations Research, Forthcoming. (with J.L. Pérez and K. Yamazaki)
-
Uncertainty over uncertainty in environmental policy adoption: Bayesian learning of unpredictable socioeconomic costs2024
Journal of Economic Dynamics and Control, Volume 161, 104841. (with M. Basei and G. Ferrari)
-
Two-sided singular control of an inventory with unknown demand trend2023
SIAM Journal on Control and Optimization, Volume 61, Issue 5, pages 3076-3101. (with S. Federico and G. Ferrari)
-
An AI approach for managing financial systemic risk via bank bailouts by taxpayers2022
Nature Communications, Volume 13, Issue 1, 6815. (with D. Petrone and V. Latora)
-
Optimal stopping games in models with several information flows2021
Stochastic Analysis and Applications, Volume 39, Issue 6, pages 1050-1094. (with P.V. Gapeev)
-
When to sell an asset amid anxiety about drawdowns2020
Mathematical Finance, Volume 30, Issue 4, pages 1422-1460. (with H.Zhang)
-
Optimal control of Debt-to-GDP ratio in a regime-switching economy2019
SIAM Journal on Control and Optimization, Volume 58, number 2, pages 755-786. (with G. Ferrari)
-
Discretionary stopping of stochastic differential equations with generalised drift2019
Electronic Journal of Probability, Volume 24, number 140, pages 1-39. (with M. Zervos, P.C. Lon and T. Bernhardt)
-
On the Laplace Transforms of the First Hitting Times for Drawdowns and Drawups of Diffusion-Type Processes2019
Risks, Volume 7, issue 3, 87. (with P.V. Gapeev and V.L.R. Chinthalapati)
-
Beating the Omega Clock: An Optimal Stopping Problem with Random Time-Horizon Under Spectrally Negative Lévy Models2018
The Annals of Applied Probability , Volume 28, number 4, pages 2105-2140. (with H. Zhang)
-
Watermark options2017
Finance and Stochastics , Volume 21, number 1, pages 157-186. (with M. Zervos)
-
Perpetual American options in diffusion-type models with running maxima and drawdowns2016
Stochastic Processes and their Applications , Volume 126, number 7, pages 2038-2061. (with P.V. Gapeev)
-
On the drawdowns and drawups in diffusion-type models with running maxima and minima2016
Journal of Mathematical Analysis and Applications , Volume 434, number 1, pages 413-431. (with P.V. Gapeev)
-
Robustness of the N-CUSUM stopping rule in a Wiener disorder problem2015
The Annals of Applied Probability , Volume 25, number 6, pages 3405-3433. (with H. Zhang and O. Hadjiliadis)
-
Optimal stopping problems in diffusion-type models with running maxima and drawdowns2014
Journal of Applied Probability , Volume 51, number 3, pages 799-817. (with P.V. Gapeev)
-
Perpetual American options in a diffusion model with piecewise-linear coefficients 2013
Statistics and Risk Modeling , Volume 30, number 1, pages 1-21. (with P.V. Gapeev)
Book chapters
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On the optimal stopping of a skew geometric Brownian motion2016
Modern trends in controlled stochastic processes: Theory and Applications (Piunovskiy Al. B. eds.), Luniver Press, Volume II, pages 231-245. (with P.C. Lon and M. Zervos)
-
On the pricing of perpetual American compound options2014
The Musiela Festschrift. (Kabanov Yu. M., Rutkowski M. and Zariphopoulou Th. eds.), Springer, pages 283-304. (with P.V. Gapeev)
Coming soon…
Contact info
- Office: 405
Department of Mathematics
University College London (UCL)
25 Gordon Street
London WC1H 0AY
United Kingdom
- Email: n.rodosthenous -at- ucl.ac.uk
- Phone: