Short CV:
- March 2008: Diploma in Mathematics (University of Bonn)
- July 2008 - September 2011: PhD Student (Humboldt University and Quantitative Products Laboratory)
- October 2011 - present: Associate Director, UBS
Major Research Interests:
- Utility Maximization Under Constraints
- Asynchronous Markets
- Convex Duality
- Semimartingale BSDEs
Publications:
- The Stability of the Constrained Utility Maximization Problem - A BSDE Approach (Markus Mocha & Nicholas Westray)
- Quadratic Semimartingale BSDEs under an Exponential Moments Condition (Markus Mocha & Nicholas Westray)
- BSDEs in Utility Maximization with BMO Market Price of Risk (Christoph Frei, Markus Mocha & Nicholas Westray)