Michalis Anthropelos
Associate Professor
Ph.D University of Texas at Austin
- 210 414 2551
- anthropel@unipi.gr
- Gr. Lambraki 126/ 7th floor
- Personal Webpage
Information
Since June 2023, he has been serving as an Associate Professor in Financial Mathematics. 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/
Research
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.
Teaching
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).
