T Choulli, PhD

Full Professor , Faculty of Science - Mathematics & Statistical Sciences

Contact

Full Professor , Faculty of Science - Mathematics & Statistical Sciences
Email
tchoulli@ualberta.ca
Phone
(780) 492-9078
Address
663 Central Academic Building
11324 - 89 Ave NW
Edmonton AB
T6G 2G1

Overview

Research

Areas

Mathematical Finance, Informational Markets, Arbitrage theory, Mathematical Insurance, Risk Quantification and Risk Management, Backward Stochastic Differential Equations, Stochastic Analysis.

Courses

MATH 356 - Introduction to Mathematical Finance I

Simple Market Model: one-step binomial model, basic notions and assumptions. Risk-Free Assets: simple interest, zero-coupon bonds, money market account. Risky Assets: dynamic of stock prices, binomial tree model, trinomial tree model. Discrete time market model: stock and money market model, extended models. Portfolio management: risk, two securities, capital asset pricing model. Prerequisite: MATH 253 and STAT 265 or consent of the Department.

Fall Term 2020
STAT 353 - Life Contingencies I

Time at death random variables, continuous and discrete insurances, endowments and varying annuities, net premiums and reserves. Prerequisites: MATH 253 and STAT 265. Corequisite: MATH 215 or 317.

Winter Term 2021
STAT 471 - Probability I

Probability spaces, algebra of events. Elements of combinatorial analysis. Conditional probability, stochastic independence. Special discrete and continuous distributions. Random variables, moments, transformations. Basic limit theorems. Prerequisite: STAT 371.

Fall Term 2020

Browse more courses taught by T Choulli

Scholarly Activities

Research - CONFERENCES and WORKSHOPS:
  • -Invited as key-notes speaker at the 11th Bachelier Colloquium, M´etabief, France, January 15-21, 2018
  • -Invited as key-notes speaker at the 8th Bachelier Colloquium 2014 (January 12-18), M´etabief, France.

  • -Invited as key-notes speaker at the Seventh Bachelier Colloquium 2013 (January 13-20), M´etabief, France.

  • -Invited speaker to “The international Workshop on Mathematical Finance and Insurance” in honor of Sir James Mirrlees, the 1996 Nobel Price in Economics. Lijiang, China, in May 27- Jun 03/2006.

  • -Invited speaker to “The international Workshop on Mathematical Finance and Insurance”in honor of Harry Markowitz, the 1990 Nobel Price in Economics. Yellow Mountains, Tunxi, China, in May 24-31, 2004


Research - Graduate Students

Publications

A martingale representation theorem and valuation of defaultable securities
Author(s): Tahir Choulli, Catherine Daveloose and Michele Vanmaele
Publication Date: 4/8/2020
Publication: Mathematical Finance
Page Numbers: 1-38
External Link: https://doi.org/10.1111/mafi.12244
No-arbitrage under Additional Information for Thin Semimartingale Models
Author(s): Ania Aksamit, Tahir Choulli, Jun Deng and Monique Jeanblanc
Publication Date: 9/12/2018
Publication: Stochastic Processes and their aplications
Volume: 129
Issue: 9
Page Numbers: 3080-3115
External Link: https://doi.org/10.1016/j.spa.2018.09.005
No-arbitrage under a class of honest times
Author(s): Ania Aksamit, Tahir Choulli, Jun Deng and Monique Jeanblanc
Publication Date: 11/29/2017
Publication: Finance and Stochastics
Volume: 22
Page Numbers: 127-159
External Link: https://doi.org/10.1007/s00780-017-0345-3
No-arbitrage up to random horizon for quasi-left-continuous models
Author(s): Anna Aksamit , Tahir Choulli, Jun Deng and Monique Jeanblanc
Publication Date: 6/29/2017
Publication: Finance and Stochastics
Volume: 21
Page Numbers: 1103- 1139
External Link: https://doi.org/10.1007/s00780-017-0337-3
No-arbitrage for informational discrete-time market models
Author(s): Tahir Choulli and Jun Deng
Publication Date: 1/9/2017
Publication: Stochastics: An International Journal of Probability and Stochastic Processes
Volume: 89
Issue: 3-4
Page Numbers: 628-653
External Link: https://doi.org/10.1080/17442508.2016.1276907
Explicit Description of HARA Forward Utilities and Their Optimal Portfolios
Author(s): Tahir Choulli and Junfeng Ma
Publication Date: 2017
Publication: Theory of Probability and Its Applications
Volume: 61
Issue: 1
Page Numbers: 57-93
External Link: https://doi.org/10.1137/S0040585X97T988009
Structure condition under initial enlargement of filtration
Author(s): Tahir Choulli and Jun Deng
Publication Date: 11/28/2016
Volume: 60
Page Numbers: 301-316
External Link: https://doi.org/10.1007/s11425-015-0695-4
Locally Φ-integrable σ-martingale densities for general semimartingales
Author(s): Tahir Choulli and Martin Schweizer
Publication Date: 1/5/2016
Publication: Stochastics
Volume: 88
Issue: 2
Page Numbers: 191-266
External Link: https://doi.org/10.1080/17442508.2015.1052809
How non-arbitrage, viability and numeraire Portfolio are related
Author(s): Tahir Choulli, Jun Deng and Junfeng Ma
Publication Date: 7/15/2015
Publication: Finance and Stochastics
Volume: 19
Page Numbers: 719–741
External Link: https://doi.org/10.1007/s00780-015-0269-8
On an Optional Semimartingale decomposition and the existence of the deflator in an enlarged filtration
Author(s): Anna Aksamit , Tahir Choulli, and Monique Jeanblanc
Publication Date: 2015
Publication: Seminaires de Probabilites, Lecture Notes in Mathematics 2137
Page Numbers: 187–218

Three essays on exponential hedging with variable exit times
Author(s): Tahir Choulli, Junfeng Ma, and Marie-Amelie Morlais
Publication Date: 2014
Publication: Inspired by Finance
Page Numbers: 117-158

The Follmer-Schweizer decomposition: Comparison and description
Author(s): Tahir Choulli, Nele Vandaele, and Michele Vanmaele
Publication Date: 2/10/2010
Publication: Stochastics Processes and their applications,
Volume: 120
Issue: 6
Page Numbers: 853- 872
External Link: https://doi.org/10.1016/j.spa.2010.02.004
Excess-of-Loss reinsurance under taxes and fixed costs,
Author(s): Tahir Choulli and Michale Taksar
Publication Date: 2010
Publication: Risk and Decision Analysis,
Volume: 2
Issue: 2
Page Numbers: 85-101

Comparing the minimal Hellinger martingale measure of order q to the q-optimal martingale measures
Author(s): Tahir Choulli and Christophe Stricker
Publication Date: 7/12/2008
Publication: Stochastic Processes and their applications
Volume: 119
Issue: 4
Page Numbers: 1368-1385
External Link: https://doi.org/10.1016/j.spa.2008.07.002
Minimal Hellinger martingale measures of order q
Author(s): Tahir Choulli, Christophe Stricker and Jia Li:
Publication Date: 5/5/2007
Publication: Finance and Stochastics
Volume: 11
Page Numbers: 399-427
External Link: https://doi.org/10.1007/s00780-007-0039-3
More on minimal entropy-Hellinger martingale measure
Author(s): Tahir Choulli and Christophe Stricker
Publication Date: 1/4/2006
Publication: Mathematical Finance
Volume: 16
Issue: 1
Page Numbers: 1-19
External Link: https://doi.org/10.1111/j.1467-9965.2006.00258.x
Classical and impulse control for the optimization of the dividend and risk policies of an insurance firm
Author(s): Abel Cadenillas, Tahir Choulli, Michael Taksar and Lei Zhang:
Publication Date: 2006
Publication: Mathematical Finance
Page Numbers: 181-202

Minimal entropy-Hellinger martingale measure in incomplete markets
Author(s): Tahir Choulli and Christophe Stricker
Publication Date: 6/10/2005
Publication: Mathematical Finance
Volume: 15
Issue: 3
Page Numbers: 464-490
External Link: https://doi.org/10.1111/j.1467-9965.2005.00229.x
Interplay between the dividend rate and business activities constraints for a financial corporation
Author(s): Tahir Choulli, Michael Taksar and Xun-Yu Zhou
Publication Date: 11/5/2004
Publication: Annals of Applied Probability
Volume: 14
Issue: 4
Page Numbers: 1810-1837
External Link: https://projecteuclid.org/euclid.aoap/1099674079
A diffusion model for optimal dividend distribution for a company with constraints on risk control,
Author(s): Tahir Choulli, Michael Taksar and Xun-Yu Zhou
Publication Date: 2003
Publication: SIAM Journal on Control and Optimization
Volume: 41
Issue: 6
Page Numbers: 1946-1979
External Link: https://doi.org/10.1137/S0363012900382667
Excess-of-Loss Reinsurance for a company with Debt Liability and constraints on risk reduction
Author(s): Tahir Choulli, Michael Taksar and Xun-Yu Zhou
Publication Date: 11/14/2001
Publication: Quantitative Finance
Volume: 1
Issue: 6
Page Numbers: 573-596
External Link: https://doi.org/10.1088/1469-7688/1/6/301
The Role of Hellinger Processes in Mathematical Finance
Author(s): Tahir Choulli and Tom Hurd
Publication Date: 9/30/2001
Publication: Entropy
Volume: 3
Issue: 3
Page Numbers: 150-161
External Link: https://doi.org/10.3390/e3030150
On Fefferman and BurkholderDavis-Gundy inequalities for E-martingales
Author(s): Tahir Choulli, Christophe Stricker, and Leszek Krawczyk
Publication Date: 1999
Publication: Probability Theory and Related Fields
Page Numbers: 113, 571- 597

Epsilon-martingales and their applications in Mathematical Finance
Author(s): Tahir Choulli, Leszek Krawczyk, and Christophe Stricker
Publication Date: 4/1/1998
Publication: Annals of Probability
Volume: 26
Issue: 2
Page Numbers: 853-876

Deux applications de la d´ecomposition de GaltchoukKunita-Watanabe
Author(s): Tahir Choulli and Christophe Stricker
Publication Date: 1998
Publication: S´eminaires de Probabilit´es XXX, Lectures Notes In Mathematics
Page Numbers: 12-23

Separation d’une sur-et sousmartingale par une martingale
Author(s): Tahir Choulli and Christophe Stricker:
Publication Date: 1998
Publication: S´eminaires de Probabilit´es XXXII, Lectures Notes in Mathematics
Page Numbers: 67-72