Adam P. TashmanVisiting Assistant Professor
Department of Statistics and Applied Probability
Center for Research in Financial Mathematics and Statistics
University of California, Santa Barbara
Santa Barbara, CA 93106-3110
Office: South Hall 5517
Stochastic processes, stochastic differential equations, portfolio optimization, derivative pricing, risk management, systemic risk, automated trading strategies, hedge funds, statistical arbitrage, environmental finance.
Before my recent return to academia, I worked at hedge funds and a large investment bank as a researcher, financial engineer, and risk manager.
Fouque J.P. and Tashman A.P.: Portfolio Optimization Under a Stressed-Beta Model, to appear in Wilmott Journal.
Fouque J.P. and Tashman A.P.: Option Pricing Under a Stressed-Beta Model, to appear in Annals of Finance.
Tashman A.P.: A Regime-Switching Approach to Model-Based Stress Testing. Journal of Risk Model Validation 2009, 3(4), p. 1-13.
Tashman A.P. and Frey R.J.: Modeling Risk in Arbitrage Strategies Using Finite Mixtures. Quantitative Finance 2009, 9(5), p. 495-503.
|I am a statistical consultant for the Renal Research Institute (RRI) in New York.
Tashman A.P., Gordon D., Mendell N.R., Chen P., Bierut L.J., Johnson E.O., Breslau N., D. Hatsukami, Saccone N., Finch S.J.: Testing Homogeneity in the Time to Onset of Regular Smoking, submitted 2009.
Kotanko P., Thijssen S., Usvyat L., Tashman A.P., Kruse A., Huber C., Levin N.W. (2009). Temporal Evolution of Clinical Parameters before Death in Dialysis Patients: A New Concept. Blood Purification, 27, p. 38-47.
Yang Y., Tashman A.P., Lee J., Yoon S., Mao W., Ahn K., Kim W., Mendell N.W., Gordon D., Finch S.J. (2007). Mixture Modeling of Microarray Gene Expression Data, BMC Proceedings 2007, 1 (Suppl 1):S50.
Portfolio Optimization Under a Stressed-Beta Model, from the 6th World Congress of the Bachelier Finance Society, Toronto. June 2010.
Option Pricing Under a Stressed-Beta Model, given at Lehigh University, PA. January 2010.
|Fall 2008||PSTAT 171|
|Spring 2009||PSTAT 170|
|Fall 2009||PSTAT 5E|
|Winter 2010||PSTAT 5E|
|Spring 2010||PSTAT 170|
|Fall 2010||PSTAT 171|
|Fall 2010||PSTAT 5E||
Statistics with Economics and Business Applications: Syllabus
RECENT TEACHING EVAL (INTRO MATH FINANCE)
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I want to thank these mathematics/statistics teachers and professors for providing amazing inspiration and support.
Last modified: September 2010