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 M. Zervos and P.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, UK2017 - present

    Senior Lecturer in Financial Mathematics

    School of Mathematical Sciences

  • London School of Economics and Political Science2016

    Visiting Professor

    Department of Mathematics

  • Queen Mary, University of London, UK2014 - 2017

    Lecturer in Financial Mathematics

    School of Mathematical Sciences

  • University of Leeds, UK2013 - 2014

    Lecturer in Financial Mathematics

    School of Mathematics

  • London School of Economics and Political Science, UK2013

    Fellow in Finance

    Department of Finance

  • Columbia University, New York, USA2012

    Fellow

    Department of Statistics

PUBLICATIONS

  • When to sell an asset amid anxiety about drawdowns2020

    Mathematical Finance, 30 (4), 1422-1460 (with H. Zhang)

  • Optimal control of Debt-to-GDP ratio in a regime-switching economy2019

    SIAM Control and Optimization, 58 (2), 755-786 (with G. Ferrari)

  • Discretionary stopping of stochastic differential equations with generalised drift2019

    Electronic Journal of Probability, 24 (140), 1-39 (with M. Zervos, P.C. Lon and T. Bernhardt)

  • On the Laplace Transforms of the First Hitting Times for Drawdowns and Drawups of Diffusion-Type Processes2019

    Risks, 7 (3), 87 (with P.V. Gapeev and V.L.R. Chinthalapati)

  • Beating the Omega Clock: An Optimal Stopping Problem with Random Time-Horizon Under Spectrally Negative Lévy Models2018

    The Annals of Applied Probability, 28 (4), 2105-2140 (with H. Zhang)

  • Watermark options2017

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

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

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

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

    Journal of Mathematical Analysis and Applications, 434 (1), 413-431 (with P.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, 25 (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, 51 (3), 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, 283-304 (with P.V. Gapeev)

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

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

CONFERENCE PRESENTATIONS & OTHER RESEARCH SEMINARS

  • MAD-Stat. SeminarNovember 2019

    Toulouse School of Economics, France (Invited speaker)

  • SIAM Conference on Financial Mathematics & EngineeringJune 2019

    University of Toronto, Canada

  • Berlin Seminar on Stochastics and Mathematical FinanceApril 2019

    TU Berlin, Germany (Invited speaker)

  • Conference on Stochastic Control and Games under AmbiguityApril 2019

    University of Leeds, UK (Invited speaker)

  • 12th International Workshop on Stochastic Models and Control (SMC 2019)March 2019

    Cottbus, Germany

  • Stochastic Processes and Related TopicsFebruary 2019

    Kansai University, Japan (Invited speaker)

  • Stochastic Finance SeminarFebruary 2019

    University of Warwick, UK (Invited speaker)

  • Games, Choice and Decisions 2018October 2018

    Queen Mary University of London, UK (Invited speaker)

  • Bachelier Finance Society 10th world congressJuly 2018

    Trinity College Dublin, Ireland

  • A Symposium on Optimal Stopping (in memory of Larry Shepp)June 2018

    Rice University, Houston, Texas, USA (Invited speaker)

  • 4th Symposium on Quantitative Finance and Risk Analysis (QFRA)June 2018

    Mykonos, Greece

  • Mathematics of Behavioral Economics and Knightian Uncertainty in Financial MarketsMay 2018

    ZIF (Center for Interdisciplinary Research), Bielefeld, Germany (Invited speaker)

  • 13th German Probability and Statistics Days (GPSD 2018) February 2018

    Albert-Ludwigs-Universität Freiburg, Germany

  • Optimal stopping in complex environmentsDecember 2017

    Center for Mathematical Economics (IMW), Germany (Invited speaker)

  • London-Paris Bachelier Workshop on Mathematical Finance September 2017

    UCL, UK (Invited speaker)

  • 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

  • Senior Lecturer & Lecturer in Financial MathematicsSeptember 2014 - present

    Queen Mary, University of London, UK

    PG courses: Probability & Statistics for Data Analytics (created new course), MSc Mathematical Finance dissertations supervision -- UG courses: Introduction to Mathematical Finance, Probability & Statistics II (designed & created), Numbers Sets & Functions

  • Visiting Professor of Financial MathematicsJanuary 2016 - July 2016

    London School of Economics and Political Science, UK

    PG & PhD course: The Foundations of Interest Rate and Credit Risk Theory

  • Lecturer in Financial MathematicsAugust 2013 - August 2014

    University of Leeds, UK

    UG courses: Financial Mathematics 3 (designed & created), Financial Mathematics 2, Final-year project supervision

  • Fellow in FinanceJanuary 2013 - July 2013

    London School of Economics and Political Science, UK

    PG & PhD course: Financial Economics

  • Teaching Assistant in Finance and Mathematics (TA)October 2009 - June 2012

    London School of Economics and Political Science, UK

    PG courses: The Mathematics of the Black and Scholes Theory (Dept of Mathematics), Financial Engineering (Dept Finance) -- UG course: Mathematical Methods of Calculus and Linear Algebra (Dept of Mathematics)

GRANTS, SCHOLARSHIPS & 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

MANAGEMENT & ADMINISTRATIVE EXPERIENCE

  • Director of MSc Mathematical Finance and MSc Financial Computing2019 - present

  • Director of MSci Financial Mathematics (4-y-degree)2015 - present

  • Teaching Stream Leader for "Probability and Financial Mathematics" (6 courses) 2017 - present

  • Member of the Exam Scrutiny committee2016 - present

  • Teaching and Learning committee of School of Mathematics2015 - present

  • "Employability of students" group2015 - present

  • "Mathematics taster talks" to Year 12 students (16-17 yo)2014 - present

  • Curriculum review committee of School of Mathematics2016 - 2019

  • Undergraduate Admissions2014 - 2015

  • Erasmus / Study abroad Committee 2013 - 2014

GRADUATE & SUMMER SCHOOLS

  • 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 -- Italian (Intermediate)

  • 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

  • Probability & Statistics for Data Analytics (MTH794P)

     

    Every Tuesday (21/09 – 11/12) — 9-10am & 5-6pm

    Every Wednesday (21/09 – 11/12) — 11-12pm

  • Probability & Statistics II (MTH5129)

     

    Every Monday (21/09 – 11/12) — 9-10am & 2-3pm

    Every Tuesday (21/09 – 11/12)  — 4-5pm

    Every Thursday (21/09 – 11/12) — 2-3pm

Spring semester

  • Probability & Statistics for Data Analytics (MTH794P)

     

    TBA

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 P.C. Lon and M. 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 P.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: [email protected]
  • Phone: +44 (0)20 7882 5477

Drop me an e-mail