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

Mike Tehranchi

Affiliations

Lecturer, Statistical Laboratory, Department of Pure Mathematics and Mathematical Statistics

Fellow and Director of Studies, Trinity College

Fellow of the Cambridge Endowment for Research in Finance.

J.M. Keynes Fellow in Financial Economics

Activities

Editorial board, Springer Undergraduate Mathematics Series

Editorial board, SIAM Journal on Financial Mathematics

Teaching

Michaelmas 2015 - Part III Advanced Financial Models.

Lent 2016 - Part II Stochastic Financial Models.

* Advice for PhD applicants in financial mathematics in Cambridge.

Prof Weber's advice for Part III essays.

Research

Stochastic analysis and financial mathematics. Interest rate and implied volatility models. Utility maximization problems. Stochastic evolution equations in infinite dimensions.

Papers to download.

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