T Choulli, PhD
Professor, Faculty of Science - Mathematics & Statistical Sciences
Contact
Professor, Faculty of Science - Mathematics & Statistical Sciences
- tchoulli@ualberta.ca
- Phone
- (780) 492-9078
- 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
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.
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
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
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