Department of Mathematics

We review the advances in mathematical formulation of continuous-time principle-agent problem in the recent decade and provide a template for writing agency problems in a rigorous fashion. We present ... More

We derive the short-maturity asymptotics for VIX option prices in local-stochastic volatility models. Both out-of-the-money (OTM) and at-the-money (ATM) asymptotics are considered. Using large deviati... More