• Phone: 617-353-5785
  • E-Mail:  alyasoff@bu.edu
  • Website: http://andrew.lyasoff.com
  • Office: 554
  • Office Hours: By Appointment
  • Address: Boston University School of Management
    595 Commonwealth Avenue
    Boston, MA 02215

Profile Summary

Mathematical Finance and Stochastic Analysis

  • Education Open or Close

    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.

  • Current CoursesOpen or Close

    GSM MF794 A1 Stochastic Optimal Control and Investment

  • PublicationsOpen or Close

    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.


    Books:

      Lyasoff, A., Stochastic Methods in Asset Pricing. Cambridge, MA: MIT Press.


    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.

  • Research PresentationsOpen or Close

    Invited Lectures:

      Lyasoff, A., (Author Only), Financial Regulation and Systematic Risk, ROE in Banks: Myth and Reality, Financial Engineering and Banking Society, Paris, france. (June 7, 2013).

      Lyasoff, A., (Presenter & Author), SIRE Conference on Finance and Commodities, Integral Formulae for the Distribution Law of the Integral of Exponential Brownian Motion, Scotish Institute for Research in Economics, St. Andrews, Scotland. (July 14, 2013).

      Lyasoff, A., (Presenter & Author), SIRE Conference on Finance and Commodities, The First and Second Fundamental Theorems of Asset Pricing Revisited, Scotish Institute for Research and Economics, St. Andrews, Scotland. (July 14, 2013).

      Lyasoff, A., (Presenter & Author), SIRE Conference on Finance and Commodities, Shadow Dynamic Programming and Equilibrium Asset Pricing for Incomplete Financial Markets, Scotish Institute for Research in Economics, St. Andrews, Scotland. (July 13, 2013).

      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).

      Lyasoff, A., (Author Only), Third International Workshop on Sequential Methodologies, Shadow Dynamic Programming, Stanford University. (June 14, 2011).

      Lyasoff, A., (Other), Dumas, B., (Other), Workishop on Computational Finance and Economics, Zurich, Sep 1-6, 2009, Incomplete-Market Equilibria Solved Recursively on an Event Tree or a Lattice, Swiss Banking Institute, Zurich, Switzerlad. (September 6, 2009).

      Lyasoff, A., (Other), Dumas, B., (Other), NBER Asset Pricing Program Meeting, Univ. of Chicago, March 20, 2009, Incomplete Market Equilibria Solved Recursively on an Event Tree, National Bureau of Economic Research, University of Chicago. (March 8, 2009).

      Lyasoff, A., (Presenter & Author), Seminaire Bachelier, A Model of Market Imperfections, Corrections, Heavy Tails and Fads, Institut Henri Poincare, Paris, France. (March 28, 2008).

      Lyasoff, A., (Presenter & Author), Seminaire Probabilites et Statistique, On the FTAP in the Special Case of Ito-Process Financial Markets, Universite du Maine, Le Mans, France. (March 27, 2008).

      Lyasoff, A., (Presenter & Author), Third Bachelier Colloquium on Mathematical Finance and Stochastic Calculus, On the Connection Between the Support of the Capital Gains, Arbitrage and Completeness in Ito-Process Financial Markets, Universite de Franche-Comte, Metabief, France. (January 10, 2008).

      Lyasoff, A., (Presenter & Author), Dumas, B., (Author Only), Symposium on Stochastic Dynamic Models in Finance, Incomplete-Market Equilibria Solved Recursively on a Binomial Tree or a Lattice, University of Southern Denmark, Odense, Denmark. (August 16, 2008).

    Accepted Lectures:

      Lyasoff, A., (Presenter & Author), Copeland, T., (Author Only), Financial Regulation & Systemic Risk, The Real Option Value of Retained Earnings, Financial Engineering and Banking Society, Paris, France. (June 6, 2013).

  • Awards and HonorsOpen or Close

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