King's College London Financial Mathematics |

Department of Mathematics
Room 536, Strand Building |

Mihail Zervos graduated from the Department of Electrical Engineering, National Technical University of Athens in 1990. He received his MSc degree in control systems and his PhD degree in stochastic control and optimisation in 1991 and 1995, respectively, from Imperial College, University of London. During the years 1995-2000 he was a lecturer in the Department of Statistics, University of Newcastle.

His current research interests include stochastic analysis, stochastic control and optimisation, optimal stopping problems, valuation of investment decisions and investments in real options, options of American type, derivative pricing in incomplete markets, weather derivatives.

- Refereed journal publications
- Book chapters
- Submitted to refereed journals
- Working papers
- Conference proceedings

- M.H.A. Davis and M. Zervos (1994), A Problem of Singular
Stochastic Control with Discretionary Stopping,
*The Annals of Applied Probability*, vol.4, pp.226-240. - T.G. Koussiouris and M. Zervos (1994), On the Solvability
of Morgan's Problem (I): Necessary and Sufficient Conditions
for Decoupling by State Feedback and a Constant Singular Input
Transformation,
*IMA Journal of Mathematical Control and Information*, vol.11, pp.93-110. - M.H.A. Davis and M. Zervos (1995), A New Proof of the Discrete-Time
LQG Optimal Control Theorems,
*IEEE Transactions on Automatic Control*, vol.49, pp.1450-1453. - M.H.A. Davis and M. Zervos (1998), A Pair of Explicitly Solvable
Singular Stochastic Control Problems,
*Applied Mathematics and Optimization*, vol.38, pp.327-352. - T.S. Knudsen, B. Meister and M. Zervos (1998), Valuation of
Investments in Real Assets with Implications for the Stock
Prices,
*SIAM Journal on Control and Optimization*, vol.36, pp.2082-2102. - M. Zervos (1999), On the Epiconvergence of Stochastic Optimization
problems,
*Mathematics of Operations Research*, vol.24, pp.495-508. - T.S. Knudsen, B. Meister and M. Zervos (1999), On the Relationship
of the Dynamic Programming Approach and the Contingent
Claim Approach to Asset Valuation,
*Finance and Stochastics*, vol.3, pp.433-449. - K. Duckworth and M. Zervos (2000), An Investment Model with Entry
and Exit Decisions,
*Journal of Applied Probability*, vol.37, pp.547-559. - I. Karatzas, D. Ocone, H. Wang and M. Zervos (2000),
Finite-Fuel Singular Control with Discretionary Stopping,
*Stochastics and Stochastics Reports*, vol.71, pp.1-50 - K. Duckworth and M. Zervos (2001), A Model for Investment
Decisions with Switching Costs,
*The Annals of Applied Probability*, vol.11, pp.239-260. - R.R. Lumley and M. Zervos (2001), A Model for Investments in the
Natural Resource Industry with Switching Costs,
*Mathematics of Operations Research*, vol.26, pp.637-653. - D.C. Brody, J. Syroka and M. Zervos (2002), Dynamical Pricing
of Weather Derivatives,
*Quantitative Finance*, vol.2, pp.189-198. - M. Zervos (2003), A Problem of Sequential Entry and Exit
Decisions Combined with Discretionary Stopping,
*SIAM Journal on Control and Optimization*, vol.42, pp.397-421. - J.B. Lasserre, T. Prieto-Rumeau and M. Zervos (2006),
Pricing a class of exotic options via moments and SDP
relaxations,
*Mathematical Finance*, (PS, PDF). - A. Jack and M. Zervos (2006),
Impulse Control of One-dimensional Itô Diffusions with
an Expected and a Pathwise Ergodic Criterion,
*Applied Mathematics and Optimization*, (PS, PDF). - A.L. Bronstein and M. Zervos (2006),
Sequential entry and exit decisions with an ergodic performance
criterion,
*Stochastics*, (PS, PDF). - A. Jack and M. Zervos (2006),
A Singular Control Problem with an Expected and a Pathwise Ergodic
Performance Criterion,
*Journal of Applied Mathematics and Stochastic Analysis*, (PS, PDF). - A.L. Bronstein, L.P. Hughston,
M.R. Pistorius and M. Zervos (2006),
Discretionary stopping of one-dimensional Itô diffusions
with a staircase payoff function,
*Journal of Applied Probability*(PS, PDF)

- L.P. Hughston and M. Zervos (2001),
Martingale Approach to Real Options,
in
*Disordered and Complex Systems*(P. Sollich, T.Coolen, L.P. Hughston and R.F. Streater, eds), American Institute of Physics, pp.325--330. - A. Jack and M. Zervos (2006), Impulse and absolutely continuous
ergodic control of one-dimensional Itô diffusions,
in
*From Stochastic Analysis to Mathematical Finance, Festschrift for Albert Shiryaev*(Y.Kabanov, R.Liptser and J.Stoyanov, eds.), Springer.

- S. Jewson and M. Zervos, No-Arbitrage Pricing of Weather Derivatives in the Presence of a Liquid Swap Market. [PDF]
- A. Lokka and M. Zervos, Optimal dividend and issuance of equity policies in the presence of proportional costs. [PDF]
- A. Lokka and M. Zervos, A model for the long-term optimal capacity level of an investment project. [PDF]
- A. Merhi and M. Zervos, A model for reversible investment capacity expansion. [PDF]

- A. Merhi and M. Zervos, Irreversible Capacity Expansion with Proportional and Fixed Costs [PDF]
- T.C. Johnson and M. Zervos, A discretionary stopping problem with applications to the optimal timing of investment decisions. [PDF]
- T.C. Johnson and M. Zervos, A discretionary stopping problem with applications to the optimal timing of investment decisions. [PDF]
- D. Melas and M. Zervos, Optimal Control of Itô Diffusions with an Ergodic Criterion and External Parameters [PDF]
- A. Jack and M. Zervos, Financial and Real Options: A Unifying Framework with a Market Completeness Assumption [PDF]

- T.G. Koussiouris and M. Zervos,
On the Determination of the Essential Orders and
the Zeros Structure at Infinity from the System Matrix,
*ECC91 European Control Conference*, Grenoble, France, pp.1781-1783, July 1991. - T.S. Knudsen, B. Meister and M. Zervos,
Valuation of Investments in Real Assets,
*37th IEEE Conference on Decision and Control*, Tampa, Florida, pp.2668-2673, 16-18 December 1998. - K. Duckworth and M. Zervos,
A Problem of Stochastic Impulse Control with Discretionary Stopping,
*39th IEEE Conference on Decision and Control*, Sydney, Australia, pp.222-227, 12-15 December 2000.