• EMAIL:  yerkin@bu.edu
  • OFFICE HOURS:
    Thur. 02:00PM - 04:00PM
  • ADDRESS: BOSTON UNIVERSITY
    Questrom School of Business
    Rafik B. Hariri Building
    595 Commonwealth Avenue
    Boston, MA 02215

PROFILE SUMMARY

My main research interest is the optimal stopping theory and, in particularly, its connection with free-boundary problems and also its applications such as theoretical and numerical pricing of American-style options; optimal asset selling; optimal prediction problems in finance; sequential hypothesis testing and quickest detection problems in economics and engineering.

  • EDUCATION Open or Close

    PH D, The University of Manchester, Probability, 2014.

    MS, Lomonosov Moscow State University, Mathematics, Actuarial and Financial Mathematics, 2011.

  • PUBLICATIONSOpen or Close

    JOURNAL ARTICLES:

      Kitapbayev, Y., Mancarella, P., & Moriarty, J. (2015). Stochastic control and real options valuation of thermal storage-enabled demand response from flexible district energy systems. Applied Energy, (137), 823-831.

      Kitapbayev, Y. (2015). The British Lookback option with fixed strike. Applied Mathematical Finance, 22(3), 238-260.

      Kitapbayev, Y. (2014). On the Lookback option with fixed strike. Stochastics, 86,

      Kitapbayev, Y., & Leung, T. (Accepted). Optimal Mean-Reverting Spread Trading: Nonlinear Integral Equation Approach. Annals of Finance,

      Kitapbayev, Y., & De Angelis, T. (Accepted). Integral equations for Rost's reversed barriers: existence and uniqueness results. Stochastic Processes and their Applications,

      Kitapbayev, Y., & Detemple, J. B. (Accepted). On American VIX options under the generalized 3/2 and 1/2 models. Mathematical Finance,

      Kitapbayev, Y., & De Angelis, T. (Accepted). On the optimal exercise boundaries of swing put options.. Mathematics of Operations Research,

    OTHER PUBLICATIONS:

      Kitapbayev, Y., Gonzalez, J., Guo, T., Milanovic, J., Peskir, G., & Moriarty, J. (Accepted). Application of sequential testing problem to online detection of transient stability status for power systems.: 55th IEEE Conference on Decision and Control.

      Kitapbayev, Y., Mancarella, P., Moriarty, J., & Blochle, M. A real option assessment of operational flexibility in district energy systems.: 10th International Conference on the European Energy Market EEM13.