T Choulli, PhD
Contact
Professor, Faculty of Science  Mathematics & Statistical Sciences
 tchoulli@ualberta.ca
 Phone
 (780) 4929078
 Address

663 Central Academic Building
11324  89 Ave NWEdmonton ABT6G 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: onestep binomial model, basic notions and assumptions. RiskFree Assets: simple interest, zerocoupon 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 one of STAT 265 or MATH 281, or consent of the Department.
MATH 415  Mathematical Finance I
Review of probability tools for discrete financial analysis; Conditional probabilities/expectations. Filtrations, adapted and predictable processes. Martingales, submartingales and supermartingales in discretetime. Doob decomposition for supermartingales. Predictable representation. Discrete time financial modes: Arbitrage, complete and incomplete markets. Selffinancing property, value and gain processes. Valuation of contingent claims. Binomial model: Model specifications, Perfect hedging. Utility functions and consumption/ investment problems. European and American options in discrete time. Futures and forward contracts in discrete time. Transition to the continuoustime framework. Corequisite: STAT 471 or consent of the Department.
MATH 515  Mathematical Finance I
Review of probability tools for discrete financial analysis; Conditional probabilities/expectations. Filtrations, adapted and predictable processes. Martingales, submartingales and supermartingales in discretetime. Doob decomposition for supermartingales. Predictable representation. Discretetime financial modes: Arbitrage, complete and incomplete markets. Selffinancing property, value and gain processes. Valuation of contingent claims. Binomial model: Model specifications, Perfect hedging. Utility functions and consumption/investment problems. European and American options in discrete time. Futures and forward contracts in discrete time. Transition to the continuoustime framework. Prerequisite: STAT 471 or consent of the Department. Note: This course may not be taken for credit if credit has already been obtained in MATH 415.
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 one of STAT 265 or MATH 281.
Scholarly Activities
Research  CONFERENCES and WORKSHOPS:
 Invited as keynotes speaker at the 11th Bachelier Colloquium, M´etabief, France, January 1521, 2018
Invited as keynotes speaker at the 8th Bachelier Colloquium 2014 (January 1218), M´etabief, France.
Invited as keynotes speaker at the Seventh Bachelier Colloquium 2013 (January 1320), 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 2431, 2004
Research  Graduate Students
Featured Publications
Tahir Choulli, Catherine Daveloose and Michele Vanmaele
Mathematical Finance. 2020 April;
Ania Aksamit, Tahir Choulli, Jun Deng and Monique Jeanblanc
Stochastic Processes and their aplications. 2018 September; 129 (9):30803115
Ania Aksamit, Tahir Choulli, Jun Deng and Monique Jeanblanc
Finance and Stochastics. 2017 November; 22
Anna Aksamit , Tahir Choulli, Jun Deng and Monique Jeanblanc
Finance and Stochastics. 2017 June; 21
Tahir Choulli and Jun Deng
Stochastics: An International Journal of Probability and Stochastic Processes. 2017 January; 89 (34):628653
Tahir Choulli and Junfeng Ma
Theory of Probability and Its Applications. 2017 January; 61 (1):5793
Tahir Choulli and Jun Deng
2016 November; 60
Tahir Choulli and Martin Schweizer
Stochastics. 2016 January; 88 (2):191266
Tahir Choulli, Jun Deng and Junfeng Ma
Finance and Stochastics. 2015 July; 19
On an Optional Semimartingale decomposition and the existence of the deflator in an enlarged filtration
Anna Aksamit , Tahir Choulli, and Monique Jeanblanc
Seminaires de Probabilites, Lecture Notes in Mathematics 2137. 2015 January;
Tahir Choulli, Junfeng Ma, and MarieAmelie Morlais
Inspired by Finance. 2014 January;
Tahir Choulli, Nele Vandaele, and Michele Vanmaele
Stochastics Processes and their applications,. 2010 February; 120 (6):853 872
ExcessofLoss reinsurance under taxes and fixed costs,
Tahir Choulli and Michale Taksar
Risk and Decision Analysis,. 2010 January; 2 (2):85101
Tahir Choulli and Christophe Stricker
Stochastic Processes and their applications. 2008 July; 119 (4):13681385
Tahir Choulli, Christophe Stricker and Jia Li:
Finance and Stochastics. 2007 May; 11
Tahir Choulli and Christophe Stricker
Mathematical Finance. 2006 January; 16 (1):119
Abel Cadenillas, Tahir Choulli, Michael Taksar and Lei Zhang:
Mathematical Finance. 2006 January;
Tahir Choulli and Christophe Stricker
Mathematical Finance. 2005 June; 15 (3):464490
Tahir Choulli, Michael Taksar and XunYu Zhou
Annals of Applied Probability. 2004 November; 14 (4):18101837
Tahir Choulli, Michael Taksar and XunYu Zhou
SIAM Journal on Control and Optimization. 2003 January; 41 (6):19461979
Tahir Choulli, Michael Taksar and XunYu Zhou
Quantitative Finance. 2001 November; 1 (6):573596
Tahir Choulli and Tom Hurd
Entropy . 2001 September; 3 (3):150161
Tahir Choulli, Christophe Stricker, and Leszek Krawczyk
Probability Theory and Related Fields. 1999 January;
Epsilonmartingales and their applications in Mathematical Finance
Tahir Choulli, Leszek Krawczyk, and Christophe Stricker
Annals of Probability. 1998 April; 26 (2):853876
Separation d’une suret sousmartingale par une martingale
Tahir Choulli and Christophe Stricker:
S´eminaires de Probabilit´es XXXII, Lectures Notes in Mathematics. 1998 January;
Tahir Choulli and Christophe Stricker
S´eminaires de Probabilit´es XXX, Lectures Notes In Mathematics. 1998 January;