Baurdoux, Erik


Dr Erik Baurdoux  

Department

Position held

Department of Statistics

Associate Professor

Experience keywords:

Financial mathematics; optimal stopping; stochastic games; stochastic processes; option pricing; insurance mathematics; stochastic calculus

Research summary > [Click to expand]

Optimal stopping problems appear in various forms in mathematical finance. For example, for pricing an American option on a stock one aims to determine the region of the stock price in which exercising is optimal. Traditionally, stock prices were modelled based on a Brownian motion. Recently, Lévy processes have received a lot of attention as they have the important feature that they allow the stock process to have jumps. One of my main research interests consists of (two-player) optimal stopping problems for Lévy processes.

Further research interests include mathematical insurance and other applications of Lévy processes.

Sectors and industries to which research relates:

BankingFinancial Services

Languages:

Dutch [Spoken: Fluent, Written: Fluent]; French [Spoken: Intermediate, Written: Intermediate]; German [Spoken: Basic, Written: Basic]; Spanish [Spoken: Basic, Written: Basic]

Media experience:

Radio

Contact Points

LSE phone number:

+44 (0)20 7955 6717

Publications

LSE Research Online, Funnelback Search

2014

Baurdoux, Erik J. and Schaik, Kees (2014) Predicting the time at which a Lévy process attains its ultimate supremum Acta Applicandae Mathematicae, Online. ISSN 0167-8019

2011

Baurdoux, Erik J. and Kyprianou, Andreas E. and Pardo, J.C. (2011) The Gapeev-Kuhn stochastic game driven by a spectrally positive Levy process Stochastic Processes and Their Applications, 121 (6). 1266-1289. ISSN 0304-4149

Baurdoux, Erik J. and Van Schaik, K. (2011) Further calculations for the McKean stochastic game for a spectrally negative levy process: from a point to an interval Journal of Applied Probability, 48 (1). 200-216. ISSN 0021-9002

2009

Baurdoux, Erik J. (2009) Some excursion calculations for reflected Lévy processes Alea: Latin American Journal of Probability and Mathematical Statistics, 6. 149-162. ISSN 1980-0436

Baurdoux, Erik J. (2009) Last exit before an exponential time for spectrally negative Lévy processes Journal of Applied Probability, 46 (2). 542-588. ISSN 0021-9002

Baurdoux, Erik J. and Kyprianou, Andreas E. (2009) The Shepp-Shiryaev stochastic game driven by a spectrally negative Lévy process Theory of Probability and Its Applications, 53 (3). 481-499. ISSN 0040-585X

2008

Baurdoux, Erik J. and Kyprianou, Andreas E. (2008) The McKean stochastic game driven by a spectrally negative Lévy process Electronic Journal of Probability, 13. 173-197. ISSN 1083-6489

Baurdoux, Erik J. and Kyprianou, Andreas E. (2008) The Shepp-Shiryaev stochastic game driven by a spectrally negative Lévy process Teoriya Veroyatnostei I Ee Primeneniya, 53 (3). 588-609. ISSN 0040-361X

2007

Baurdoux, Erik J. (2007) Fluctuation theory and stochastic games for spectrally negative Lévy processes phd thesis, Universiteit Utrecht

Baurdoux, Erik J. (2007) Examples of optimal stopping via measure transformation for processes with one-sided jumps Stochastics: an International Journal of Probability and Stochastic Processes, 79 (3 & 4). 303-307. ISSN 1744-2508

2004

Baurdoux, Erik J. and Kyprianou, Andreas E. (2004) Further calculations for Israeli options Stochastics and Stochastics Reports, 76 (6). 546-569. ISSN 1045-1129


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