Research Interests
My research interests are in financial mathematics and applied probability, especially in the context of optimal stochastic control. My two primary areas of work concern There are numerous applications of the above models; some that I have worked on in detail include:

Financial and Insurance Mathematics

Sequential Estimation and Control Models

Links:

CRFMS Seminar

PStat Department Seminar

SIAM Activity Group on Financial Mathematics

Bachelier Finance Society

Upcoming Meetings where we can meet:

Fourth Western Conference in Mathematical Finance (WCMF), Los Angeles, CA
June 6-7, 2011
Third International Workshop on Sequential Methodologies (IWSM), Palo Alto, CA
June 14-16, 2011
Seventh International Congress on Industrial and Applied Mathematics (ICIAM), Vancouver, BC
July 18-22, 2011
46th Actuarial Research Conference (ARC), Storrs, CT
August 11-13, 2011


Past Meetings:


Research in Options (RiO) Workshop, Angra Dos Reis, Brazil
Nov 28-Dec 1, 2010

SIAM FM10 Conference on Financial Mathematics and Engineering, San Francisco, CA
November 19-20, 2010.

Sixth World Congress of the Bachelier Society, Toronto, ON.
June 22-26, 2010.

14th International Congress on Insurance: Mathematics and Economics, Toronto, ON
June 17-19,2010.

Workshop on Computational Methods in Finance, Toronto, ON
March 22-24, 2010.

IPAM New Directions in Financial Mathematics, Los Angeles, CA
January 5-9, 2010

Third Western Conference on Mathematical Finance, Santa Barbara, CA
November 13-15,2009

INFORMS Applied Probability Conference, Ithaca, NY.
July 12-15, 2009

Optimal Stopping and Applications Symposium, Turku, Finland.
June 23-26, 2009

MSRI Workshop on Economic Games and Mechanisms to Address Climate Change, Berkeley, CA.
May 4-6, 2009

Fifth Princeton-Oxford Workshop on Financial Mathematics, Princeton, NJ
March 27-28, 2009

14th UCEI Power Conference, Berkeley, CA.
March 20, 2009.

Second SIAM Conference on Financial Mathematics & Engineering, FM08, New Brunswick, NJ
November 21-22, 2008

Western Conference on Mathematical Finance, WCMF08, Austin, TX
October 31-November 2, 2008

Workshop on Optimization and Optimal Control, Linz, Austria
October 20-24, 2008

International Symposium on Business and Industrial Statistics, ISBIS2008, Prague, Czech Republic
July 2-July 4, 2008

13th International Symposium on Dynamic Games, ISDG08, Wroclaw, Poland
June 30-July 2, 2008

13th International Symposium on Dynamic Games, ISDG08, Wroclaw, Poland
June 30-July 3, 2008

NSF/CBMS Conference on Convex Duality Methods, UCSB, CA
June 26-June 30, 2008

Stochastic Processes and Applications Conference, SPA07, Urbana, IL
August 6-10, 2007

Workshop on Mathematics and the Environment: Energy Risk, Environmental Uncertainty and Public Decision Making, Banff, Canada
May 8-12, 2007

Workshop on Financial Engineering for Actuarial Mathematics, Ann Arbor, MI
May 4-6, 2007

INFORMS 2006 Annual Meeting, Pittsburgh, PA.
Nov 5-8, 2006.

Bachelier Finance Society Fourth World Congress, Tokyo, Japan.
August 17-20, 2006.

SIAM Conference on Financial Mathematics and Engineering FM06, Boston, MA.
July 9-12, 2006.

Workshop on Optimization Problems in Financial Economics, Banff, Canada.
May 20-25, 2006.

Risk Management Conference: Integrated Risk Management in Operations and Global Supply Chain Management, Ann Arbor, MI.
June 2-4, 2006.

Çinlar Day and Seminar on Stochastic Processes, Princeton, NJ.
March 22-25, 2006.

Symposium on Optimal Stopping with Applications, Manchester, UK.
January 22-27, 2006.