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School of Mathematical Sciences

Dr Neofytos Rodosthenous

Neofytos

Senior Lecturer Financial Mathematics

Email: n.rodosthenous@qmul.ac.uk
Telephone: +44 (0)20 7882 5477
Room Number: Mathematical Sciences Building, Room: MB-325
Website: http://www.neofytos-rodosthenous.com/
Office Hours: Friday 13:30-14:30 (email beforehand to be sent the link)

Profile

Dr Rodosthenous' 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). He has published extensively on these topics.  

Research

Publications

http://www.neofytos-rodosthenous.com 

Selected publications:

  • Beating the Omega Clock: An Optimal Stopping Problem with Random Time-Horizon Under Spectrally Negative Lévy Models - Rodosthenous N , Zhang H. Annals of Applied Probability
  • Watermark Options - Rodosthenous N, Zervos M. Finance and Stochastics 
  • Perpetual American options in diffusion-type models with running maxima and drawdowns - Gapeev PV, Rodosthenous N. Stochastic Processes and their Applications
  • On the drawdowns and drawups in diffusion-type models withrunning maxima and minima - Gapeev PV, Rodosthenous. N Journal of Mathematical Analysis and Applications
  • Robustness of the N-CUSUM stopping rule in a Wiener disorder problem - Zhang H, Rodosthenous N, Hadjiliadis O. Annals of Applied Probability
  • Optimal stopping problems in diffusion-type models with running maxima and drawdowns - Gapeev PV, Rodosthenous N. Journal of Applied Probability 
  • Perpetual American options in a diffusion model with piecewise-linear coefficients – Gapeev PV, Rodosthenous N. Statistics & Risk Modeling with Applications in Finance and Insurance
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