Fouque (Professor and Director of the CRFMS)
Stochastic processes. Financial Mathematics. Volatility modeling. Publications
Dawn E. Holmes
Bayesian Networks and Maximum Entropy. Foundations of Bayesianism. Intuitionistic Markov Chains.
Oana Catu (2008-2009)
Nonparametric calibration methods and portfolio optimization problems
in continuous-time models. Emphasis on Levy driven and jump-diffusion
Small-time and tail asymptotics for stochastic volatility models, Inverse
problems in calibrating stochastic volatility models, volatility derivatives.
Research interests include applications of Levy and time-inhomogeneous
additive processes to the pricing of exotic options and credit spreads
for default swap indices. The H-selfsimilar additive processes of Sato
are only recently being recognized for their use in pricing equity options
(exponential selfsimilar additive models). The usefulness of these processes
extends beyond that of equity ptions, as they may be used to construct
new processes in which modeling of price across maturity is involved.
Mike Landrigan (2008-2009)
Hyekyung Min (2007-09)
Actuarial and financial mathematics, stochastic processes, optimal control theory, stochastic differential equations.
Financial mathematics, Stochastic differential equations
Financial mathematics, Stochastic differential equations, Statistical
inference on processes.
Malliavin Calculus and applications to finance. Stochastic Integration
for fractional Brownian motion.
Adam Tashman (2008-2009)