Neofytos Rodosthenous

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 2014 - present

  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

• Watermark options2016

  Finance and Stochastics, To appear (with Mihail 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 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)

• 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 P.V. Gapeev)

• 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

• 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 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

SCHOLARSHIPS, AWARDS AND GRANTS

• 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