Andrew Lyasoff

Associate Professor, Finance

Mathematical Finance and Stochastic Analysis

  • Certificate of Completion, University of Oxford, Saïd Business School, 2018
  • Docent (with habilitation), National Committee of Science and Technology (Bulgaria), 1988
  • PhD, Univ. of Sofia (Bulgaria), 1984
  • MS, Univ. of Sofia (Bulgaria), 1977
  • Lyasoff, A. (2022). "Another Look at the Distribution of Income and Wealth in the Macroeconomy", SSRN
  • Lyasoff, A. (2019). "Bewley’s Incomplete-Market Models Revisited",
  • Lyasoff, A. (2019). "General Incomplete-Market Equilibria in Continuous Time",
  • Lyasoff, A. (2017). "Stochastic Methods in Asset Pricing", MIT Press, 1
  • Lyasoff, A. (2016). "Another look at the integral of exponential Brownian motion and the pricing of Asian options", Finance and Stochastics, 20 (4), 1061-1096
  • Lyasoff, A. (2014). "The two fundamental theorems of asset pricing for a class of continuous-time financial markets", Mathematical Finance, 24 (3), 485-504
  • Dumas, B., Lyasoff, A. (2012). "Incomplete-Market Equilibria Solved Recursively on an Event Tree", Journal of Finance, 67 (5), 1897-1941
  • Shiryaev, A. (2012). "Problems in Probability",
  • Lyasoff, A. (2008). "Dynamic Integration of Interpolating Functions and Some Concrete Optimal Stopping Problems", The Mathematica Journal, 10 (4)
  • Lyasoff, A. (2008). "Spline Cubatures for Expectations of Diffusion Processes and Optimal Stopping in Higher Dimensions (with Computational Finance in View)", Mathematical Control Theory and Finance 265-291
    Research Presentations
  • Lyasoff, A. The Equilibrium Transport of a Large Population of Heterogeneous Economic Agents, 11th World Congress of the Bachelier Finance Society, Hong Kong, 2022
  • Lyasoff, A. Incomplete-Market Equilibria with a Large Number of Heterogeneous Households and their Connection with Discrete Mean Field Games and Control, 14th Bachelier Colloquium on Mathematical Finance and Stochastic Calculus, Métabief, France, 2020
    Awards and Honors
  • 2017, McCombe Research Award, Questrom School of Business
  • 2013, Mathematical Finance Professor of the Year, Graduate Students Council