I joined the Mathematical Finance Section at Imperial in 2019, where I work on problems at the interface of stochastic analysis and mathematical finance. Before coming to Imperial, I completed my DPhil in Mathematics at the University of Oxford and spent the summer of 2019 as an LMS Early Career Fellow at Columbia University.
My main research interests are centred around the notion of "systemic risk" in large large financial systems. That is, the risk of financial distress spreading through the financial system and creating large scale problems akin to what we witnessed in the 2008-2009 global financial crisis. Rather than working empirically, I seek to build and understand probabilistic models to shed light on the emergence and propagation of such events, which has led me to the study of contagious McKean--Vlasov systems.
Hambly B, Ledger S, Sojmark A, 2019, A MCKEAN-VLASOV EQUATION WITH POSITIVE FEEDBACK AND BLOW-UPS, Annals of Applied Probability, Vol:29, ISSN:1050-5164, Pages:2338-2373
Hambly B, Sojmark A, 2019, An SPDE model for systemic risk with endogenous contagion, Finance and Stochastics, Vol:23, ISSN:0949-2984, Pages:535-594
Feinstein Z, Sojmark A, A Dynamic Default Contagion Model: From Eisenberg-Noe to the Mean Field
Ledger S, Sojmark A, At the Mercy of the Common Noise: Blow-ups in a Conditional McKean--Vlasov Problem
Ledger S, Sojmark A, Uniqueness for contagious McKean--Vlasov systems in the weak feedback regime