Computational Finance (selected publications)

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			Stochastic Processes:
			Understanding the statistical properties of (for example) trading strategies that follow certain stochastic processes. Usually one uses such understanding to manage the risk of an ensemble of such strategies or optimize some other criterion. We are also interested in estimating the parameters governing a particular stochastic processes such as the volatility of a geometric Brownian motion. "Q()" functions that govern the Expected Maximum Drawdown.

			Trading Strategies and Model Callibration:
			Development of trading models and automated trading strategies for various markets. The callibration of various financial market models to observed historical data, and the determination of important parameters (such as the volatility) that may be useful for the pricing of financial derivatives.

			Pricing:
			The pricing of exotic options and derivatives is usually intractable even for simple models of the asset movements. We are interested in analytical, approximate and efficient numerical pricing of financial derivatives. We are also interested in the computational aspects of lattice methodologies, and simulation based methods. American Option Data

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Selected Publications: