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School of Mathematical Sciences

Dr Neofytos Rodosthenous


Senior Lecturer Financial Mathematics

Telephone: +44 (0)20 7882 5477
Room Number: Mathematical Sciences Building, Room: MB-325
Office Hours: Friday 13:30-14:30 (email beforehand to be sent the link)


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.  



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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