Dr Neofytos Rodosthenous

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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