Erik Baurdoux

Experience Keywords

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

Research Summary

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.

Languages

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