T Choulli, PhD

Research

Areas

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

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 one of STAT 265 or MATH 281, or consent of the Department.

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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 discrete-time. Doob decomposition for supermartingales. Predictable representation. Discrete- time financial modes: Arbitrage, complete and incomplete markets. Self-financing 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 continuous-time framework. Corequisite: STAT 471 or consent of the Department.

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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 discrete-time. Doob decomposition for supermartingales. Predictable representation. Discrete-time financial modes: Arbitrage, complete and incomplete markets. Self-financing 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 continuous-time 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.

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Browse more courses taught by T Choulli

• -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

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Tahir Choulli, Catherine Daveloose and Michele Vanmaele

Mathematical Finance. 2020 April;

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Ania Aksamit, Tahir Choulli, Jun Deng and Monique Jeanblanc

Stochastic Processes and their aplications. 2018 September; 129 (9):3080-3115

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Ania Aksamit, Tahir Choulli, Jun Deng and Monique Jeanblanc

Finance and Stochastics. 2017 November; 22

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Anna Aksamit , Tahir Choulli, Jun Deng and Monique Jeanblanc

Finance and Stochastics. 2017 June; 21

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Tahir Choulli and Jun Deng

Stochastics: An International Journal of Probability and Stochastic Processes. 2017 January; 89 (3-4):628-653

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Tahir Choulli and Junfeng Ma

Theory of Probability and Its Applications. 2017 January; 61 (1):57-93

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Tahir Choulli and Jun Deng

2016 November; 60

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Tahir Choulli and Martin Schweizer

Stochastics. 2016 January; 88 (2):191-266

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Tahir Choulli, Jun Deng and Junfeng Ma

Finance and Stochastics. 2015 July; 19

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Anna Aksamit , Tahir Choulli, and Monique Jeanblanc

Seminaires de Probabilites, Lecture Notes in Mathematics 2137. 2015 January;

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Tahir Choulli, Junfeng Ma, and Marie-Amelie Morlais

Inspired by Finance. 2014 January;

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Tahir Choulli, Nele Vandaele, and Michele Vanmaele

Stochastics Processes and their applications,. 2010 February; 120 (6):853- 872

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Tahir Choulli and Michale Taksar

Risk and Decision Analysis,. 2010 January; 2 (2):85-101

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Tahir Choulli and Christophe Stricker

Stochastic Processes and their applications. 2008 July; 119 (4):1368-1385

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Tahir Choulli, Christophe Stricker and Jia Li:

Finance and Stochastics. 2007 May; 11

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Tahir Choulli and Christophe Stricker

Mathematical Finance. 2006 January; 16 (1):1-19

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Abel Cadenillas, Tahir Choulli, Michael Taksar and Lei Zhang:

Mathematical Finance. 2006 January;

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Tahir Choulli and Christophe Stricker

Mathematical Finance. 2005 June; 15 (3):464-490

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Tahir Choulli, Michael Taksar and Xun-Yu Zhou

Annals of Applied Probability. 2004 November; 14 (4):1810-1837

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Tahir Choulli, Michael Taksar and Xun-Yu Zhou

SIAM Journal on Control and Optimization. 2003 January; 41 (6):1946-1979

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Tahir Choulli, Michael Taksar and Xun-Yu Zhou

Quantitative Finance. 2001 November; 1 (6):573-596

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Tahir Choulli and Tom Hurd

Entropy . 2001 September; 3 (3):150-161

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Tahir Choulli, Christophe Stricker, and Leszek Krawczyk

Probability Theory and Related Fields. 1999 January;

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Tahir Choulli, Leszek Krawczyk, and Christophe Stricker

Annals of Probability. 1998 April; 26 (2):853-876

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Tahir Choulli and Christophe Stricker:

S´eminaires de Probabilit´es XXXII, Lectures Notes in Mathematics. 1998 January;

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Tahir Choulli and Christophe Stricker

S´eminaires de Probabilit´es XXX, Lectures Notes In Mathematics. 1998 January;