Thaleia Zariphopoulou

Chair in Mathematics, V. F. Neuhaus Centennial Professor, The Unviersity of Texas at Austin

Thaleia Zariphopoulou is a Chair in Mathematics, V. F. Neuhaus Centennial Professor in Finance at The University of Texas at Austin.

Her area of expertise is in financial mathematics, quantitative finance and stochastic optimisation. Her research interests are in portfolio management, investment performance measurement and valuation in incomplete markets.

She was the first holder of the Man Professorship of Quantitative Finance at OMI and a member of the Mathematical Institute.


Working Paper

Zariphopoulou, T. and Kallblad, S. (2013). Qualitative analysis of optimal investment strategies in log-normal markets.
Zariphopoulou, T. and Kallblad, S. (2013). Structural representation of utilities and their effects on horizon flexibility and stochastic dominance.
Zariphopoulou, T., Leung, T. and Sircar, T. (2011). Forward indifference valuation of American options.
Zariphopoulou, T. and Nadtochiy, S. (2011). A class of homothetic forward investment process with non-zero volatility.
Zariphopoulou, T., Musiela, M. and Sokolova, E. (2010). Indifference valuation under forward valuation criteria: The case study of the binomial model.
Liang, G. and Zariphopoulou, T. (2016). Representation of homothetic forward performance processes via ergodic and infinite horizon quadratic BSDE in stochastic.........
Chong, W.F., Hu, Y., Liang, G. and Zariphopoulou, T. (2017). An ergodic BSDE approach to entropic risk measure and its large time behavior.

Published Research

Zariphopoulou, T. and Musiela, M. (2011). Initial investment choice and optimal future allocations under time-monotone performance criteria. International Journal of Theoretical and Applied Finance. 14 (1). 61-81.
Zariphopoulou, T. and Sircar, R. (2010). Utility valuation of multi-name credit derivatives and applications to CDOs. Quantitative Finance. 10 (2). 195-208.
Zariphopoulou, T., Sokolova, K. and Musiela, M. (2010). Indifference valuation in incomplete binomial models. Mathematics in Action. 3 (2). 1-36.
Zariphopoulou, T. and Musiela, M. (2010). Portfolio choice under space-time monotone performance criteria. SIAM Journal on Financial Mathematics. 1. 326-365.
Zariphopoulou, T. and Zitkovic, G. (2010). Maturity-independent risk measures. SIAM Journal on Financial Mathematics. 1. 266-288.
Zariphopoulou, T. and Musiela, M. (2010). Stochastic partial differential equations and portfolio choice. In: Chiarella, C. and Novikov, A. Contemporary Quantitative Finance. tbc: Springer Berlin Heidelberg. 195-215.