Dr Alex Tse is a Chapman Fellow in Mathematics. He works at the interface among mathematics, economics and finance with particular interests in stochastic control, optimal stopping, transaction costs and behavioural finance.
Alex received his PhD in Statistics from University of Warwick in 2017. Before joining the College, he was a Research Associate at Cambridge Endowment for Research in Finance, University of Cambridge. From 2010 to 2013, he was working at the Equity Derivatives Trading team of an Australian bank focusing on structured products flow trading in Asian underlyings.
His personal website can be found here.
Hobson D, Tse ASL, Zhu Y, 2019, A multi-asset investment and consumption problem with transaction costs, Finance and Stochastics, Vol:23, ISSN:0949-2984, Pages:641-676
Hobson D, Tse ASL, Zhu Y, 2019, Optimal consumption and investment under transaction costs, Mathematical Finance, Vol:29, ISSN:0960-1627, Pages:483-506
Henderson V, Hobson D, Tse ASL, 2018, Probability weighting, stop-loss and the disposition effect, Journal of Economic Theory, Vol:178, ISSN:0022-0531, Pages:360-397
Henderson V, Hobson D, Tse ASL, 2017, Randomized strategies and prospect theory in a dynamic context, Journal of Economic Theory, Vol:168, ISSN:0022-0531, Pages:287-300
So MKP, Tse ASL, 2009, Dynamic Modeling of Tail Risk: Applications to China, Hong Kong and Other Asian Markets, Asia-pacific Financial Markets, Vol:16, ISSN:1387-2834, Pages:183-210