** Professor of Statistical Science **

*Research Interests: *Financial mathematics, probability theory, stochastic analysis, statistics, mathematical economics

## Publications

The correlation of the maxima of correlated Brownian motions

– Journal of Applied Probability

(2016)

43,

880

(DOI: 10.1239/jap/1158784954)

Stochastic ordering of order statistics

– Journal of Applied Probability

(2016)

28,

278

(DOI: 10.2307/3214866)

The probability that two samples in the plane will have disjoint convex hulls

– Journal of Applied Probability

(2016)

15,

790

(DOI: 10.2307/3213434)

Computing the invariant law of a fluid model

– Journal of Applied Probability

(2016)

31,

885

(DOI: 10.2307/3215314)

Evaluating first-passage probabilities for spectrally one-sided Lévy processes

– Journal of Applied Probability

(2016)

37,

1173

(DOI: 10.1017/s0021900200018386)

Optimal stopping and embedding

– Journal of Applied Probability

(2016)

37,

1143

(DOI: 10.1017/s0021900200018337)

On coupling of random walks and renewal processes

– Journal of Applied Probability

(2016)

33,

122

(DOI: 10.2307/3215269)

A Stochastic Volatility Alternative to SABR

– Journal of Applied Probability

(2016)

45,

1071

(DOI: 10.1239/jap/1231340234)

Ignatov's theorem: an abbreviation of the proof of Engelen, Tommassen and Vervaat

– Advances in Applied Probability

(2016)

21,

933

(DOI: 10.2307/1427776)

The two-sided exit problem for spectrally positive Lévy processes

– Advances in Applied Probability

(2016)

22,

486

(DOI: 10.2307/1427548)

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