Andrew Lyasoff

Docent (with habilitation), National Committee of Science and Technology (Bulgaria), 1988.

Ph D, Univ of Sofia (Bulgaria), Mathematics, 1984.

Magister, Univ. of Sofia (Bulgaria), Mathematics, 1977.

GSM MF794 A1 Stochastic Optimal Control and Investment

Journal Articles:

Lyasoff, A., Dumas, B., (2012). Incomplete-Market Equilibria Solved Recursively on an Event Tree. Journal of Finance, 67(5), 1897-1941.

Lyasoff, A., (2008). Dynamic Integration of Interpolating Functions and Some Concrete Optimal Stopping Problems. The Mathematica Journal, 10(4), 661-702. Champaign, IL.


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, Springer-Verlag,

Lyasoff, A., (Accepted). The two fundamental theorems of asset pricing for a class of continuous-time financial markets. Mathematical Finance, Blackwell.

Working Papers:

Copeland, T., Lyasoff, A., Valuation of Shares and Equity Financing in an Economy with Frictions but No Leverage: The Value of Retained Earnings.

Invited Lectures:

Lyasoff, A., (Author Only), Sixth Bachelier Colloquium on Mathematical Finance and Stochastic Calculus, Shadow Dynamic Programming and Equilibrium Asset Pricing in Incomplete Financial Markets, Metabief, France. (January 12, 2012).

Mathematical Finance Professor of the Year, Graduate Students Council, Teaching. (April 6, 2013).