University of Cambridge > Mathematics > Statistical Laboratory > People > Mike Tehranchi

Mike Tehranchi

University Lecturer
Statistical Laboratory
Department of Pure Mathematics and Mathematical Statistics

Fellow
Trinity College

Teaching
Michaelmas 2008 - MPhil/Part III Advanced Financial Models.

Easter 2008 - Part 1A/1B Optimization.

Advice for PhD applicants in financial mathematics in Cambridge.

The probability seminar meets every Tuesday at 4.30pm in MR12. Attendees are invited to tea with the speaker at 4pm in the Pavillion D common room. The seminar is co-organized with Nathanael Berestycki.

Papers
(with Alex Schied and Torsten Schöneborn) Optimal basket liquidation for CARA investors is deterministic.

Characterizing attainable claims: a simple proof.

The distribution of exponential Levy functionals.

Asymptotics of implied volatility far from maturity. Journal of Applied Probability, 46 (3): 629--650. (2009).

(with Francois Berrier) Forward utility of investment and consumption.

Symmetric martingales and symmetric smiles. Stochastic Processes and Their Applications, 119 (10): 3785--3797. (2009)

Implied volatility: long maturity behavior. To appear in the Encyclopedia of Quantitative Finance.

(with Francois Berrier and Chris Rogers) A characterization of forward utility functions. (version May 2009)

(with Chris Rogers) Can the implied volatility surface move by parallel shifts? To appear in Finance and Stochastics.

(with Nathaneal Ringer) Optimal portfolio choice in the bond market. Finance and Stochastics, 10 (4): 553--573. (2006)

A note on invariant measures for HJM models. Finance and Stochastics, 9 (3): 389--398. (2005)

Explicit solutions of some utility maximization problems in incomplete markets. Stochastic Processes and Their Applications, 114 (1): 109--125. (2004)

(with René Carmona) A characterization of hedging portfolios for interest rate contingent claims. The Annals of Applied Probability, 14 (3): 1267--1294.(2004)

(with René Carmona) Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective. Springer Finance (2006)