Eyal Neuman is a Reader (Associate Professor) in mathematical finance and a member of the stochastic analysis research group at the Department of Mathematics, Imperial College London. His research interests are in the areas of probability, stochastic processes and mathematical finance. He is mainly working on interacting particle systems, stochastic partial differential equations and market microstructure. Previously he was a Visiting Assistant Professor at the University of Rochester, NY. Eyal received his PhD in stochastic processes from the Technion.
- Eyal's personal website and his full list of publications can be found at the link.
- I am currently serving as a co-director of the MSc in Mathematics and Finance at Imperial College. Information about our program could be found in this link.
- This year's program of the stochastic analysis seminar at Imperial College can be found by following this link.
Micheli A, Muhle-Karbe J, Neumann E, 2023, Closed-loop nash competition for liquidity, Mathematical Finance, Vol:33, ISSN:0960-1627, Pages:1082-1118
Neumann E, Voss M, 2023, Trading with the crowd, Mathematical Finance, Vol:33, ISSN:0960-1627, Pages:548-617
Mueller C, Neumann E, The effective radius of self repelling elastic manifolds, Annals of Applied Probability, ISSN:1050-5164
Mueller C, Neumann E, 2022, Scaling properties of a moving polymer, Annals of Applied Probability, Vol:32, ISSN:1050-5164, Pages:4251-4278
Hager P, Neumann E, 2022, The multiplicative chaos of H=0 fractional Brownian fields, Annals of Applied Probability, Vol:32, ISSN:1050-5164, Pages:2139-2179
Neumann E, Moritz V, 2022, Optimal signal-adaptive trading with temporary and transient price impact, SIAM Journal on Financial Mathematics, Vol:13, ISSN:1945-497X, Pages:551-575
Neumann E, Schied A, 2022, Protecting pegged currency markets from speculative investors, Mathematical Finance, Vol:32, ISSN:0960-1627, Pages:405-420
Neumann E, Xinghua Z, 2021, On the maximal displacement of near-critical branching random walks, Probability Theory and Related Fields, Vol:180, ISSN:0178-8051, Pages:199-232
Neumann E, Mueller C, Lee JJ, 2020, Hitting probabilities of a Brownian flow with Radial Drift, Annals of Probability, Vol:48, ISSN:0091-1798, Pages:646-671
Lehalle C-A, Neuman E, 2019, Incorporating signals into optimal trading, Finance and Stochastics, ISSN:1432-1122
Neuman E, 2018, Pathwise uniqueness of the stochastic heat equation with spatially inhomogeneous white noise, Annals of Probability, Vol:46, ISSN:0091-1798, Pages:3090-3187
Neuman E, Zheng X, 2017, On the maximal displacement of subcritical branching random walks, Probability Theory and Related Fields, Vol:167, ISSN:0178-8051, Pages:1137-1164
Neuman E, Schied A, 2016, Optimal portfolio liquidation in target zone models and catalytic superprocesses, Finance and Stochastics, Vol:20, ISSN:0949-2984, Pages:495-509
Mytnik L, Neuman E, 2015, Pathwise uniqueness for the stochastic heat equation with Holder continuous drift and noise coefficients, Stochastic Processes and Their Applications, Vol:125, ISSN:0304-4149, Pages:3355-3372