Michalis Anthropelos

09-11-20 web.xrh 0 comment

Michalis Anthropelos

Associate Professor, Ph.D University of Texas at Austin


Since December 2017, he has been serving as an Associate Professor in Financial Mathematics and since February 2018 as the director of the departmental doctoral program. He has a PhD from the University of Texas at Austin, a Master from Columbia University and a Bachelor from the University of Piraeus. In the past, he had served as visiting scholar at the LSE and a visiting professor at Boston University. More information on the personal website: https://bankfin.unipi.gr/faculty/anthropelos/


His research interests lie in the field of Mathematical Finance and more precisely, problems related to optimal and sub-optimal risk-sharing, equilibria in non-competitive financial markets and contingent-claim pricing under price impact.



Selected Publications

  • Optimal Investment and Derivative Demand under Price Impact”, joint work with S. Robertson and K. Spiliopoulos. Accepted for publication to Mathematical Finance.
  • The Effective Risk Aversion in Thin Risk-Sharing Markets”, joint work with C. Kardaras and G. Vichos. Mathematical Finance 2020; 30: 1565– 1590.
  • Nash Equilibria in Optimal Reinsurance Bargaining”, joint work with T.J. Boonen. Insurance: Mathematics and Economics, 93, 196-205 (2020).
  • The Pricing of Contingent Claims and Optimal Positions in Asymptotically Complete Markets”, joint work with S. Robertson and K. Spiliopoulos. Annals of Applied Probability, 27 (3), 1778-1830 (2017).
  • Equilibrium in Risk-Sharing Games”, joint work with C. Kardaras. Finance and Stochastics, 21, 815-865 (2017).