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Dr Georgios Aivaliotis

Lecturer
Financial Mathematics

Contact details

Room: 9.311
Tel: +44 (0)113 3435162
Email: G.Aivaliotis @ leeds.ac.uk

Keywords

Financial and Actuarial Mathematics
Stochastic control
Mean-Variance problems
Risk and Dependence Modelling

Research interests

My research interests evolve around probability, stochastic processes and their applications in the broad area of Financial and Actuarial Mathematics.

In particular, my work up to now has been in the area of stochastic control for mean-variance type problems.

Using perhaps the most celebrated criterion for financial decision making, mean-variance control problems present challenges due to the non-linear variance term. The corresponding Hamilton-Jacobi-Bellman equations are usually degenerate and solutions together with optimal strategies difficult to obtain. My contribution to the field includes solutions in Sobolev Spaces, viscosity solutions and numerical solutions.

These results have applications in Financial Mathematics, Financial Economics, Insurance and Pensions.

I am also interested in asset modelling for pension funds and modelling the dependence structure in multi-asset financial products.

Useful links

My Personal Home Page
Research Group in Probability, Stochastic Modelling and Financial Mathematics
MSc in Financial Mathematics at the University of Leeds

Current postgraduate students

Zeyu He (2013)

Publications

Aivaliotis G, Veretennikov AY An HJB Approach to a General Continuous-Time Mean-Variance Stochastic Control Problem ArXiv, 2015
View abstract

Aivaliotis G, Palczewski J Investment strategies and compensation of a mean-variance optimizing fund manager European Journal of Operational Research, 234, 561-570, 2014
DOI:10.1016/j.ejor.2013.04.038
View abstract

Aivaliotis G, Palczewski J Tutorial for viscosity solutions in optimal control of diffusions. SSRN Electronic Journal, 2010
DOI:10.2139/ssrn.1582548

Aivaliotis G, Veretennikov AY On Bellman's equations for mean and variance control of a Markov diffusion STOCHASTICS, 82, 41-51, 2010
DOI:10.1080/17442500902723567