59 citations · 92 across the 11 of their papers we have counts for
13 papers
Optimisation-based representations for branching processes
David P. Driver, Michael R. Tehranchi
It is shown that a certain functional of a branching process has representations in terms of both a maximisation problem and a minimisation problem. A consequence of these represen…
MRI turbulence and thermal instability in accretion disks
Johnathan Ross, Henrik Latter, Michael Tehranchi
A long-standing puzzle in the study of black-hole accretion concerns the presence or not of thermal instability. Classical theory predicts the encircling accretion disk is unstable…
A Black--Scholes inequality: applications and generalisation
Michael R. Tehranchi
The space of call price functions has a natural noncommutative semigroup structure with an involution. A basic example is the Black--Scholes call price surface, from which an inter…
Calls, zonoids, peacocks and log-concavity
Michael R. Tehranchi
The main results are two characterisations of log-concave densities in terms of the collection of lift zonoids corresponding to a peacock. These notions are recalled and connected…
Spectral term structure models
Si Cheng, Michael R. Tehranchi
This note studies a certain stochastic evolution equation in the space of probability measures, including existence and uniqueness results. A solution of this equation gives rise,…
Uniform bounds for Black--Scholes implied volatility
Michael R. Tehranchi
In this note, Black--Scholes implied volatility is expressed in terms of various optimisation problems. From these representations, upper and lower bounds are derived which hold un…