Neofytos Rodosthenous

Senior Lecturer in Financial Mathematics

Queen Mary
University of London

My 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).

EDUCATION

  • PhD Mathematics2009 - 2013

    London School of Economics and Political Science, UK

    Thesis title: "Optimal stopping problems in Mathematical Finance" -- Written under the supervision of Mihail Zervos and Pavel V. Gapeev.

  • MSC Financial Mathematics2008 - 2009

    London School of Economics and Political Science, UK

    Grade: "Distinction"

  • BSc Mathematics2004 - 2008

    University of Athens (National & Kapodistrian), Greece

    Average Grade: 9.34/10 "Distinction" -- First of the class with honours

EMPLOYMENT

  • Queen Mary, University of London, UKSeptember 2017 - present

    Senior Lecturer in Financial Mathematics

    School of Mathematical Sciences

  • Queen Mary, University of London, UKSeptember 2014 - August 2017

    Lecturer in Financial Mathematics

    School of Mathematical Sciences

  • University of Leeds, UKAugust 2013 - August 2014

    Lecturer in Financial Mathematics

    School of Mathematics

  • London School of Economics and Political Science, UKJanuary 2013 - July 2013

    Fellow in Finance

    Department of Finance

PUBLICATIONS

  • Beating the Omega Clock: An Optimal Stopping Problem with Random Time-Horizon Under Spectrally Negative Lévy Models2017

    The Annals of Applied Probability (Forthcoming)

  • Watermark options2017

    Finance and Stochastics, Volume 21, number 1, 157-186 (with M. Zervos).

  • Perpetual American options in diffusion-type models with running maxima and drawdowns2016

    Stochastic Processes and their Applications, Volume 126, number 7, 2038-2061 (with Pavel V. Gapeev)

  • On the drawdowns and drawups in diffusion-type models with running maxima and minima2016

    Journal of Mathematical Analysis and Applications, Volume 434, number 1, 413-431 (with Pavel V. Gapeev)

  • On the optimal stopping of a skew geometric Brownian motion2016

    Modern trends in controlled stochastic processes: Theory and Applications (Piunovskiy Al. B. eds.), Luniver Press, Volume II, 231-245. (with P.C. Lon and M. Zervos)

  • Robustness of the N-CUSUM stopping rule in a Wiener disorder problem2015

    The Annals of Applied Probability, Volume 25, number 6, 3405-3433 (with H. Zhang and O. Hadjiliadis)

  • Optimal stopping problems in diffusion-type models with running maxima and drawdowns2014

    Journal of Applied Probability, Volume 51, number 3, pages 799-817 (with P. V. Gapeev)

  • On the pricing of perpetual American compound options2014

    Inspired by Finance. (The Musiela Festschrift, Kabanov Yu. M., Rutkowski M. and Zariphopoulou Th. eds.) Springer, pages 283-304 (with P. V. Gapeev)

  • Perpetual American options in a diffusion model with piecewise-linear coefficients2013

    Statistics and Risk Modeling, Volume 30, number 1, pages 1-21 (with P. V. Gapeev)

VISITING POSITIONS

  • London School of Economics and Political ScienceJanuary 2016 - July 2016

    Visiting Professor (Teaching) at the Department of Mathematics

    Teaching postgraduate level course: The Foundations of Interest Rate and Credit Risk Theory

  • Columbia University, New York, USA Fall 2012

    Visiting Researcher at the Department of Statistics

    Selected jointly by the London School of Economics panel and the Columbia University Graduate School of Arts and Sciences committee under the Partnerships PhD Mobility Bursaries Scheme

CONFERENCE PRESENTATIONS AND OTHER RESEARCH SEMINARS

  • London-Paris Bachelier Workshop on Mathematical Finance September 2017

    UCL, UK

  • 3rd Symposium on Quantitative Finance and Risk Analysis (QFRA 2017)June 2017

    Corfu, Greece

  • Thera Stochastics: A Mathematics Conference in Honor of Ioannis KaratzasMay 2017

    Santorini, Greece

  • Mathematical and Computational Finance SeminarFebruary 2017

    University of Oxford, UK (Invited speaker)

  • Mathematical Economics Theory Research SeminarFebruary 2017

    Bielefeld University, Germany (Invited speaker)

  • SIAM Conference on Financial Mathematics & EngineeringNovember 2016

    Austin, Texas, USA (Invited speaker)

  • Stochastic Analysis of Dynamical Systems, Stochastic Control and GamesOctober 2016

    University of Leeds (Invited speaker)

  • School on Stochastics and Financial MathematicsSeptember 2015

    Olympic Village, Sochi , Russia (Invited speaker)

  • The 8th International Congress on Industrial and Applied Mathematics (ICIAM)August 2015

    Beijing, China (Invited speaker)

  • Strategic Aspects of Optimal Stopping and Control in Economics and Finance WorkshopJuly 2015

    ZIF (Center for Interdisciplinary Research), Bielefeld University, Germany

  • Fifth International Workshop in Sequential Methodologies (IWSM)June 2015

    Columbia University, New York, USA (Invited speaker)

  • MRC Financial Mathematics WorkshopJune 2015

    Snowbird, Utah, USA

  • SIAM Conference on Financial Mathematics & EngineeringNovember 2014

    Chicago, USA

  • INFORMS Annual Meeting, Bridging Data and Decisions November 2014

    San Francisco, USA (Invited speaker)

  • Probability and Statistics Research SeminarMay 2014

    University of Manchester, UK (Invited speaker)

  • Probability, Statistical Modelling and Fi nancial Mathematics SeminarOctober - November 2013

    University of Leeds, UK (Invited speaker)

    A series of talks on optimal stopping and free-boundary problems arising from mathematical fi nance

  • The 4th International Conference on Continuous Optimization (ICCOPT)July 2013

    Universidade Nova, Lisbon, Portugal (Invited speaker)

  • Eleventh Northeast Probability Seminar (NEPS)November 2012

    Columbia University, New York, USA

  • Advanced Stochastic Methods to Model RiskSeptember 2012

    Ulm University, Germany

  • EPSRC Symposium Workshop on Optimal stopping, optimal control and financeJuly 2012

    Warwick University, UK

  • Bachelier Finance Society 7th World CongressJune 2012

    Sydney, Australia

  • Probability, Control and Finance - Conference in Honor of Ioannis Karatzas, June 2012

    Columbia University, New York, USA

  • London Graduate School of Mathematical Finance ConferenceMarch 2012

    London, UK

  • London Graduate School of Mathematical Finance ConferenceMarch 2011

    London, UK

  • Advanced Mathematical Methods for Finance (AMaMeF) WorkshopSeptember 2010

    Humboldt University, Berlin, Germany

  • London Graduate School of Mathematical Finance Conference March 2010

    London, UK

  • Financial Mathematics Reading Group2009 - 2012

    London School of Economics and Political Science, UK

    (7 talks) On ongoing research related to speci c topics of stochastic calculus, optimal stopping and American-type option pricing.

TEACHING EXPERIENCE

  • Lecturer in Financial MathematicsSeptember 2014 - present

    Queen Mary, University of London, UK

    Undergraduate level courses: Introduction to Mathematical Finance; Statistical Modelling I, Statistical Theory, Introduction to Algebra assistance (BSc Mathematics / Statistics / Accounting / Finance / Economics / Business Management) Postgraduate level: MSc dissertation supervision (MSc Mathematical Finance) -- Lecturing, tutorials, setting up and marking exams

  • Visiting professor (Teaching) of MathematicsJanuary 2016 - July 2016

    London School of Economics and Political Science, UK

    Postgraduate and PhD level course: The Foundations of Interest Rate and Credit Risk Theory (MSc Financial Mathematics/Risk and Stochastics/Statistics/Financial Statistics/Statistics/Financial Statistics and PhD Statistics) -- Lecturing, seminars, setting up and marking exams.

  • Lecturer in Financial MathematicsAugust 2013 - August 2014

    University of Leeds, UK

    Undergraduate level courses: Financial Mathematics 3; Final-year project supervision; Financial Mathematics 2 assistance (BSc in Mathematics / Accounting / Finance); Postgraduate level course: Optimisation Methods for Finance (MSc's of the University of Leeds Business School) -- Creating a new course, lecturing, teaching course and computer classes, setting and marking final exams.

  • Fellow in FinanceJanuary 2013 - July 2013

    London School of Economics and Political Science, UK

    Postgraduate and PhD level course: Financial Economics (MSc Finance and Economics and PhD in Finance) -- Teaching course weekly classes, including office hours and marking of mock-exams, final projects and final-exams

  • Teaching Assistant (TA)October 2011 - June 2012

    London School of Economics and Political Science, UK

    Postgraduate level courses: The Mathematics of the Black and Scholes Theory (MSc Financial Mathematics); Financial Engineering (MSc Finance) -- Teaching pre-sessional lectures and course weekly classes, including office hours and marking of mock-exams and final projects

  • Graduate Teaching Assistant (GTA)October 2009 - June 2011

    London School of Economics and Political Science, UK

    Undergraduate level courses: Mathematical Methods of Calculus and Linear Algebra (Compulsory for most quantitative BSc’s) -- Teaching weekly classes, including office hours and marking of students’ weekly exercise sets

GRANTS, SCHOLARSHIPS AND AWARDS

  • EPSRC First Grant (£125,000)April 2017 - April 2019

    Optimal timing for financial and economic decisions under adverse and stressful conditions

  • Faculty Student Experience and Education Award2015

    Queen Mary, University of London, UK

    For teaching contributions to the school of Mathematical sciences -- Award based on students’ evaluation forms and decision of the faculty of Science & Engineering committee

  • American Mathematical Society (AMS) Research grantJune 2015

    Utah, USA

    For participating in the Mathematics Research Communities workshop in Financial Mathematics, taking place in Snowbird, Utah, USA

  • Hausdorff Research Institute for Mathematics (HIM) Research grantMay 2013

    Bonn, Germany

    For participating in Hausdorff Trimester Program “Stochastic Dynamics in Economics and Finance”, taking place at the HIM in Bonn University, Germany

  • Research grant from the Partnership PhD Mobility Bursaries Scheme Fall 2012

    London School of Economics, UK & Columbia University, NY, USA

    For conducting research at the Statistics department of Columbia University in the city of New York, being the first ever candidate visiting the Columbia University from the London School of Economics, Department of Mathematics

  • Deutscher Akademischer Austausch Dienst (DAAD) Scholarship September 2012

    Funded by means of the German foreign office

    For presenting a paper and participating in the summer academy "Advanced Stochastic Methods to Model Risk", Ulm University, Germany

  • Postgraduate Travel FundJune 2012

    London School of Economics and Political Science, UK

    For presenting a paper at the Bachelier Finance Society 7th World Congress, Sydney, Australia -- The fund is awarded to a small number of PhD students across all disciplines in the university

  • Teaching Excellence Award 2010, 2011

    London School of Economics and Political Science, UK

    For teaching contributions to the department of Mathematics -- Award based on students’ evaluation forms

  • Public Benefit Foundation Alexander S. Onassis Scholarship October 2010 - August 2013

    Athens, Greece

    For PhD Studies at the London School of Economics and Political Science, UK

  • Scholarship from the London School of Economics October 2009 - August 2013

    For PhD Studies at the London School of Economics and Political Science, UK

  • Public Benefit Foundation Alexander S. Onassis Scholarship October 2008 - July 2009

    Athens, Greece

    For Graduate MSc studies at the London School of Economics and Political Science, UK

  • Greek State Scholarship Foundation (IKY) Scholarships2005, 2006, 2007

    The scholarships are awarded to 3 students out of approximately 500 students of the Department of Mathematics, University of Athens

  • Honour «ΑΙΕΝ ΑΡΙΣΤΕΥΕΙΝ» 2004, 2005

    Ministry of Education, Greek State

    Awarded to the best student of the academic year at the Department of Mathematics, University of Athens

  • Silver medal at the National Cypriot Mathematical Olympiad 2002

GRADUATE AND SUMMER SCHOOLS ATTENDED

  • Advanced Stochastic Methods to Model Risk Summer Academy September 2012

    Ulm University, Germany

  • London Graduate School in Mathematical Finance 2009 - 2010

    Imperial College, King's College & London School of Economics, London, UK

ADDITIONAL SKILLS

  • Languages

    Native Greek -- English (Fluent in speaking, reading, writing) -- Italian (Intermediate in speaking, reading, writing)

  • IT Skills

    C, C++, Matlab, Octave, Latex, Maple, Microsoft Word, Microsoft Excel, VBA

    (Computational and Quantitative methods in Finance and Risk Analysis with Matlab and C++)

  • Interests

    Football -- Swimming -- Tae Kwon Do -- Snow Boarding

Fall semester

  • Numbers, Sets and Functions (MTH4113/MTH4213)

     

    Every Wednesday (27/09 – 13/12)   — Skills —    10-11am  Scape 1.03

    Every Wednesday (27/09 – 13/12)    — Mathematics —    12-1pm  Lock Keeper’s Cottage:LK1

Spring semester

  •  

    Reduced teaching duties for the academic year 2017/2018 due to an EPSRC Research Grant Award on “Optimal timing for financial and economic decisions under adverse and stressful conditions”

Refereed journal publications

Book chapters

  • On the optimal stopping of a skew geometric Brownian motion2016

    Modern trends in controlled stochastic processes: Theory and Applications (Piunovskiy Al. B. eds.), Luniver Press, Volume II, pages 231-245. (with Pui C. Lon and Mihail Zervos)

  • On the pricing of perpetual American compound options2014

    The Musiela Festschrift. (Kabanov Yu. M., Rutkowski M. and Zariphopoulou Th. eds.), Springer, pages 283-304. (with Pavel V. Gapeev)

Coming soon…

Contact info

  • Office: W407
    School of Mathematical Sciences
    Queen Mary University of London
    Mile End Road
    London E1 4NS
    United Kingdom
  • Email: N.Rodosthenous@qmul.ac.uk
  • Phone: +44 (0)20 7882 5477

Drop me an e-mail