King's College London Financial Mathematics

Dr Mihail Zervos Department of Mathematics King's College London Strand, London WC2R 2LS United Kingdom Room 536, Strand Building Tel: +44-(0)20-7848 2633 (direct line) Tel: +44-(0)20-7848 2217 (general office) Fax: +44-(0)20-7848 2017 E-mail: mihail.zervos@kcl.ac.uk

Mihail Zervos is a member of the Financial Mathematics research group.

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.

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