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Ph.D., Steklov Mathematical Institute
Office: Wean Hall 6126
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Research:My research interests are related with problems of Mathematical Finance and Theory of Stochastic Processes and, particularly, with the mathematical challenges presented by equilibrium-based models. The recent results include the development of continuous-time price impact model with Peter Bank, the necessary and sufficient conditions for the existence of (static) Arrow-Debreu equilibria, sufficient conditions for the existence of complete (dynamic) Radner equilibria, sufficient conditions for the existence of backward martingale representation (with Silviu Predoiu), local existence and asymptotic analysis of BSDE's in BMO spaces (with Sergio Pulido).