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.
Tse ASL, Zheng H, 2022, Speculative trading, prospect theory and transaction costs, Finance and Stochastics, Vol:27, ISSN:0949-2984, Pages:49-96
Lambrecht BM, Tse ASL, 2022, Liquidation, Bailout, and Bail-In: Insolvency Resolution Mechanisms and Bank Lending, Journal of Financial and Quantitative Analysis, ISSN:0022-1090
Armstrong J, Brigo D, Tse ASL, 2020, The importance of dynamic risk constraints for limited liability operators
Tse ASL, 2020, Dividend policy and capital structure of a defaultable firm, Mathematical Finance, Vol:30, ISSN:0960-1627, Pages:961-994
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