Andrew Lyasoff
Associate Professor Emeritus, Finance
Stochastic Analysis and Mathematical Finance
Education
Certificate of Completion, University of Oxford, Saïd Business School, 2018
Docent (with habilitation), National Committee of Science and Technology (Bulgaria), 1988
PhD, Univ. of Sofia (Bulgaria), 1984
MS, Univ. of Sofia (Bulgaria), 1977
Selected Research Presentations
Lyasoff, A. The Equilibrium Transport of a Large Population of Heterogeneous Economic Agents, 11th World Congress of the Bachelier Finance Society, Hong Kong, 2022
Publications
Lyasoff, A. (2022). “Another Look at the Distribution of Income and Wealth in the Macroeconomy”, SSRN
Lyasoff, A. (2019). “Bewley’s Incomplete-Market Models Revisited”,
Lyasoff, A. (2019). “General Incomplete-Market Equilibria in Continuous Time”,
Lyasoff, A. (2017). “Stochastic Methods in Asset Pricing”, MIT Press, 1
Lyasoff, A. (2016). “Another look at the integral of exponential Brownian motion and the pricing of Asian options”, Finance and Stochastics, 20 (4), 1061-1096
Lyasoff, A. (2014). “The two fundamental theorems of asset pricing for a class of continuous-time financial markets”, Mathematical Finance, 24 (3), 485-504
Dumas, B., Lyasoff, A. (2012). “Incomplete-Market Equilibria Solved Recursively on an Event Tree”, Journal of Finance, 67 (5), 1897-1941
Shiryaev, A. (2012). “Problems in Probability”,
Lyasoff, A. (2008). “Dynamic Integration of Interpolating Functions and Some Concrete Optimal Stopping Problems”, The Mathematica Journal, 10 (4)
Lyasoff, A. (2008). “Spline Cubatures for Expectations of Diffusion Processes and Optimal Stopping in Higher Dimensions (with Computational Finance in View)”, Mathematical Control Theory and Finance 265-291