Professor of Statistical Science
Research Interests: Financial mathematics, probability theory, stochastic analysis, statistics, mathematical economics
Publications
A dynamic approach to the modeling of correlation credit derivatives using Markov chains
– International Journal of Theoretical and Applied Finance
(2011)
12,
45
(doi: 10.1142/S0219024909005142)
Market selection: hungry misers and bloated bankrupts
– Mathematics and Financial Economics
(2011)
5,
47
(doi: 10.1007/s11579-011-0046-1)
The Interrelations between Moiré Patterns, Contour Fringes, Optical Surfaces and Their Sum and Difference Effects
– Journal of Modern Optics
(2010)
24,
15
(doi: 10.1080/713819381)
The cost of illiquidity and its effects on hedging
– Mathematical Finance
(2010)
20,
597
Dual valuation and hedging of Bermudan options
– SIAM Journal on Financial Mathematics
(2010)
1,
604
(doi: 10.1137/090772198)
Quadratic functionals of brownian motion, optimal control,and the “colditz” example
– Stochastics and Stochastic Reports
(2010)
41,
201
(doi: 10.1080/17442509208833803)
Can the implied volatility surface move by parallel shifts?
– Finance and Stochastics
(2010)
12,
235
(doi: 10.1007/s00780-008-0081-9)
Large Investors, takeovers, and the rule of law
– Monte Carlo Methods and Applications
(2009)
8,
357
(doi: 10.1515/mcma.2002.8.4.357)
Optimal and robust contracts for a risk-constrained principal
– Mathematics and Financial Economics
(2009)
2,
151
(doi: 10.1007/s11579-009-0018-x)
Equity with Markov-modulated dividends
– Quantitative Finance
(2009)
9,
19
(doi: 10.1080/14697680802036168)
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