Andrew Lyasoff

Andrew Lyasoff is associate professor and director of the M.A. degree program in Mathematical Finance at Boston University. His research interests are mostly in the area of Stochastic Calculus and Mathematical Finance. Over the last few years he has been developing new numerical methods for PDEs and new instructional tools for graduate courses in Operations Research and Mathematical Finance. In addition, he is developing new theoretical models that reflect long-range dependencies in market data.

Education

• Certificate of Completion, University of Oxford, Saïd Business School, 2018
• Docent (with habilitation), National Committee of Science and Technology (Bulgaria), 1988
• PhD, Univ. of Sofia (Bulgaria), 1984
• MS, Univ. of Sofia (Bulgaria), 1977

Academic Appointments:

• 1978-1987 Assistant professor of Mathematics,
  Technical University, Rousse, Bulgaria
• 1988-1989 Docent
  University of Economics, Varna, Bulgaria
• 1989-1990 Visiting Professor, CRM and Department de ´ mathematiques, Universit ´ e de Montr ´ eal, Canada ´
• 1990-1996 Assistant Professor, Dept. of Mathematics
  College of Arts and Sciences, Boston University
• since 1996 Associate Professor, Dept. of Mathematics
  College of Arts and Sciences, Boston University
• since 2008 Associate Professor, Dept. Finance
  Questrom School of Business, Boston University

Selected Publications

• Lyasoff, A. (2022). "Another Look at the Distribution of Income and Wealth in the Macroeconomy", SSRN
• Lyasoff, A. (2019). "Bewley’s Incomplete-Market Models Revisited",
• Lyasoff, A. (2019). "General Incomplete-Market Equilibria in Continuous Time",
• Lyasoff, A. (2017). "Stochastic Methods in Asset Pricing", MIT Press, 1
• Lyasoff, A. (2016). "Another look at the integral of exponential Brownian motion and the pricing of Asian options", Finance and Stochastics, 20 (4), 1061-1096
• Lyasoff, A. (2014). "The two fundamental theorems of asset pricing for a class of continuous-time financial markets", Mathematical Finance, 24 (3), 485-504
• Dumas, B., Lyasoff, A. (2012). "Incomplete-Market Equilibria Solved Recursively on an Event Tree", Journal of Finance, 67 (5), 1897-1941
• Shiryaev, A. (2012). "Problems in Probability",
• Lyasoff, A. (2008). "Dynamic Integration of Interpolating Functions and Some Concrete Optimal Stopping Problems", The Mathematica Journal, 10 (4)
• Lyasoff, A. (2008). "Spline Cubatures for Expectations of Diffusion Processes and Optimal Stopping in Higher Dimensions (with Computational Finance in View)", Mathematical Control Theory and Finance 265-291

Selected Research Presentations

• Lyasoff, A. The Equilibrium Transport of a Large Population of Heterogeneous Economic Agents, 11th World Congress of the Bachelier Finance Society, Hong Kong, 2022
• Lyasoff, A. Incomplete-Market Equilibria with a Large Number of Heterogeneous Households and their Connection with Discrete Mean Field Games and Control, 14th Bachelier Colloquium on Mathematical Finance and Stochastic Calculus, Métabief, France, 2020

Awards And Honors

• 2017, McCombe Research Award, Questrom School of Business
• 2013, Mathematical Finance Professor of the Year, Graduate Students Council