• E-Mail:  yerkin@bu.edu
  • Office Hours:
    Thur. 02:00PM - 04:00PM
  • Address: Boston University Questrom School of Business
    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.

  • Current CoursesOpen or Close

    GSM MF770 F1 Advanced Derivatives

    GSM MF770 F2 Advanced Derivatives

  • 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,

    Working Papers:

      Detemple, J. B., & Kitapbayev, Y. On American VIX Options.

    Other Publications:

      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.