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Dr Tiziano De Angelis

Lecturer in Financial / Actuarial Maths
Financial Mathematics

Contact details

Room: 9.312
Tel: +44 (0)113 3430392
Email: T.DeAngelis @ leeds.ac.uk

Keywords

Probability
Singular stochastic control
Optimal stopping
Free-boundary problems
Mathematical finance
Mathematical economics

Research interests

My research is mainly focused on stochastic control theory with applications to mathematical finance, mathematical economics and questions related to energy markets.

I use tools from probability theory and PDE theory to analyse problems of singular stochastic control and optimal stopping. The main aim is to determine optimal control/stopping rules along with regularity properties of the optimization problem's value functions.

I am interested in game theoretical applications of stochastic control including Nash equilibria for zero-sum and non-zero-sum games of control and stopping. One of the aspects of the theory that I have been working on intensively is the connection between singular stochastic control problems and optimal stopping ones.

Useful links

Visit my personal website for more information

Publications

De Angelis T A note on the continuity of free-boundaries in finite-horizon optimal stopping problems for one dimensional diffusions. SIAM Journal on Control and Optimization, 53, 167-184, 2015
DOI:10.1137/130920472
View abstract

De Angelis T, Chiarolla MB Analytical pricing of American Put options on a Zero Coupon Bond in the Heath-Jarrow-Morton model. Stochastic Processes and their Applications, 125, 678-707, 2015

De Angelis T, Ferrari G, Moriarty J A non convex singular stochastic control problem and its related optimal stopping boundaries. SIAM Journal on Control and Optimization, 53, 1199-1223, 2015
DOI:10.1137/14096801X
View abstract

De Angelis T, Chiarolla MB Optimal stopping of a Hilbert space valued diffusion: an infinite dimensional variational inequality. Applied Mathematics and Optimization, 2015
DOI:10.1007/s00245-015-9302-8

De Angelis T, Ferrari G A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis. Stochastic Processes and their Applications, 124, 4080-4119, 2014
DOI:10.1016/j.spa.2014.07.008
View abstract

De Angelis T, Federico S, Ferrari G Optimal Boundary Surface for Irreversible Investment with Stochastic Costs Mathematics of Operations Research
DOI:10.1287/moor.2016.0841
View abstract

De Angelis T, Kitapbayev Y Integral equations for Rost's reversed barriers: existence and uniqueness results Stochastic Processes and their Applications
DOI:10.1016/j.spa.2017.01.009
View abstract

De Angelis T, Peskir G Optimal prediction of resistance and support levels Applied Mathematical Finance
DOI:10.1080/1350486X.2017.1297729

De Angelis T, Kitapbayev Y On the optimal exercise boundaries of swing put options Mathematics of Operations Research

De Angelis T, Ekstrom E The dividend problem with a finite horizon Annals of Applied Probability

De Angelis T From optimal stopping boundaries to Rost's reversed barriers and the Skorokhod embedding Annales de l'Institut Henri Poincare (B) Probability and Statistics

De Angelis T, Ferrari G, Martyr R, Moriarty J Optimal Entry to an Irreversible Investment Plan with Non Convex Costs Mathematics and Financial Economics
DOI:10.1007/s11579-017-0187-y
View abstract

De Angelis T, Ferrari G, Moriarty J Nash equilibria of threshold type for two-player nonzero-sum games of stopping Annals of Applied Probability