• Optimal switching problems. These are repeated optimal stopping models that can also be viewed as a simplified impulse control setting. They have wide applications in resource management, decision making under uncertainty and exotic derivatives.
• Valuation of exotic energy contracts. I am particularly interested in complex contracts such as power tolling agreements, natural gas storage. Recently, I have also started looking at cap-and-trade emissions trading; these models require combination of game theory, stochastic control and classical option pricing.
• Liquidity modeling. The standard Black and Scholes model does not take into account limited market liquidity. I am interested in quantifying this limitation, especially through the indifference pricing framework.
• Stochastic control under partial observations. Many operations research and financial applications feature agents that have limited knowledge of the stochastic environment. Thus, the problems they face require simultaneous estimation and control. I develop new computational algorithms to make this possible in a robust but tractable framework.
• Optimal risk sharing with distortion risk measures. Insurance markets bring together participants to exchange their risks. Without any specified risk exchange mechanism a priori, it is observed empirically that deductible insurance (or tranching in credit lingo) emerges as the optimal contract choice. We attempt to formally prove such phenomena by deriving optimal risk sharing contracts within the class of distortion (or spectral) risk preferences.
• Stochastic mortality models. There is an ongoing move away from classical actuarial models of deterministic hazard rates towards the more realistic stochastic hazard rate framework. This includes borrowing tools from credit and fixed income derivatives and applying them in the insurance context.

Past Meetings:
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.