Adam P. Tashman

Visiting 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
E-mail: tashman AT pstat.ucsb.edu




Research Interests:

Mathematical Finance


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.


Recent Publications

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.


Biostatistics


I am a statistical consultant for the Renal Research Institute (RRI) in New York.
RRI is committed to research and innovation that will lead to improved outcomes and quality of life for dialysis patients.

Recent Publications

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.


Recent Talks:

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.


Teaching:

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)

If you're thinking of asking me to write you a recommendation letter, click here


Thanks:

I want to thank these mathematics/statistics teachers and professors for providing amazing inspiration and support.



Last modified: September 2010