Master of Science in Mathematics - Mathematical Finance
• Volatility Stabilization, Diversity and Arbitrage in Stochastic Finance
• An Option-Theoretic Model for Mortgage-Backed Securities
• Arbitrage Free Models In Markets With Transaction Costs
• Pricing and Hedging Barrier Options in Diffusion Models Via 3-Dimensional Bessel Processes
• Recovering Portfolio Default Rates from market prices: solution of an inverse problem by intensity control
• Relative Arbitrage In Equity Markets
• Brownian Motions Interacting Through Ranks and a Phase Transition Phenomenon
• Mathematical Finance and Opportunities for Undergraduates
• A Weak Existence Result with Application to Model Calibration
• Time Changed Markov Processes in United Credit-Equity Modeling
• Long Dated Dervatives
• Developments in Volatility Derivatives Pricing
• Homogeneous Groups and Multiscale Intensity Models for Multiname Credit Derivatives
• Set-Valued Risk Measures
• Wolfgang Doeblin: A Mathematician Rediscovered
• Weather, Energy and Agro Derivatives
• A Clustering/Selection method to capture the systematic movement of Equity's Return
• The Joy of FX: the effect of market conventions on the pricing of currency options
• Credit Derivative Modelling with Jump Hazard Process
• A Stochastic Volatility Alternative to SABR
• Hard-To-Borrow Stocks, Volatility and Bubble Dynamics: a challenge to Jarrow + Protter?
• Distribution-based Risk Measures and Their Properties
• A stochastic model for order book dynamics
• Hedging under Liquidity Risk and Price Impacts
• Exploring Symmetry in Contingent Pricing
• Wiener-Hopf Factorization as a General Method for Valuation of Real and American Options
• Second SIAM Conference on Financial Mathematics and Engineering
• Convex Hedging in Incomplete Markets
• Asymptotics of Implied Volatility in Local Volatility Models
• Regularity in the Optimal Stopping Problem for Levy Processes with Non-degenerate Diffusions
• Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions
• Stochastic Control for Systems with Memory and its Applications in Portfolio Optimization
• Mismatching Time Scales and Hedging Energy Structures
• Local Intensity Surface and its Dynamics in Multi-Name Credit Derivatives Modeling
• Assessing Default Probabilities from Equity Markets
• Mathematical Finance and Partial Differential Equations
• Pricing Variance Swaps on Time-Changed Levy Processes
• Market Models for European Options: Dynamic Local Volatility and Tangent Levy Models
• Valuation of Exotic Interest Rate Derivatives - Bermudans, Range Accruals, and Spreads
• The Recent Financial Turmoil and Related Financial Engineering Research Problems
• Strict Local Martingale Deflators and Pricing American Call-Type Options
• Algorithmic Trading: A Buy-Side Perspective
• Liquidation of a Large Block of Stock with Regime Switching
• AMS Special Session on Topics in Mathematical Finance at Penn State University
• Nonparametric Estimation of Time-Changed Levy Models
• National Financial Mathematics Career Fair
• Hybrid Monte Carlo
• Minimizing Conditional Value-at-Risk
• Commodity Derivatives Models with Mean-Reverting Jumps and Stochastic Volatility: A Spectral Expansion Approach
• Mathematical Finance and Partial Differential Equations Conference
• Wiener-Hopf Factorization for Levy Processes with Meromorphic Characteristic Exponent
• Approximating the Green function of parabolic equations
• Bubbles and contingent claims in markets with short-sale constraints
• Markov Methods in LIBOR Derivative Pricing
• Option Prices in Terms of Distribution Functions
• Optimizing the exercise boundary for the holder of an American
• Bright Noise: Modelling Volatility Smiles
• Feynman-Kac Formula for Heat Equation Driven by Fractional White Noise
• Non-zero-sum Stochastic Differential Games of Control and Stopping
• The Use of Stochastic Control Theory in High Frequency Trading
• Hedging under arbitrage
• American-style options, stochastic volatility, and degenerate parabolic variational inequalities
• Smoothness of the law of the supremum of the Gaussian process
• Too interconnected to fail: contagion and systemic risk in financial networks
• Some applications of Clark-Ocone representation formula
• Malliavin calculus for backward stochastic differential equations and application to numerical solutions
• Stochastic Differential Games and Applications to Energy and Consumer Goods Markets
• Pathwise Optimization for Optimal Stopping
• A weak uniqueness result for degenerate diffusions
• Brownian motion in renormalized Poissonian potential
• Asymptotics for local-stochastic volatility models
• On the Implied Volatility Surface of Stochastic Volatility Models under Indifference Pricing
• Default intensities implied by CDO spreads - Inversion formula and model calibration
• Regularity for the parabolic obstacle problem with fractional Laplacian
• A stochastic version of the Ambrosio-DiPerna-Lions' theory
• Non-Convexity of the Optimal Exercise Boundary For an American Put Option on a Dividend-paying Asset
• Monte Carlo and tree methods in interest rate derivative pricing
• Optimal timing to buy options in incomplete markets
• A study of nonlinear PDE's and PIDE's appearing in Finance
• Simple Arbitrage In Multi-Asset Markets
• Excel interfaces for C++ derivative pricing and risk management programs
• Creating Excel Interfaces for C++ Derivative Pricing Code
• Heat Kernel Expansion and Near-Expiry Asymptotics of Implied Volatility for Certain Stochastic Volatility Models
• Asymptotic Analysis for Optimal Investment with Transaction Costs in Finite Time
• Perpetual Cancellable American Call Option
• Dyson series for the PDEs arising in Mathematical Finance I
• Dyson series for the PDEs arising in Mathematical Finance II
• Variational Inequalities, Obstacle, and Free Boundary Problems in Mathematical Finance
• Stochastically invariant manifolds for Jump diffusion on Hilbert space
• A Point Process Model for the High-Frequency Dynamics of a Limit Order Book
• Pricing and Hedging in Affine Models with Possibility of Default
• Applications of a Markov mapping theorem
• Liquidation in Limit Order Books with Controlled Intensity
• Stochastic Perron's method and verification without smoothness using viscosity comparison: the linear case
• Parameter estimation for fractional Ornstein-Uhlenbeck processes with discrete observations
• Recent development in the theory of linear and fully nonlinear elliptic and parabolic nondivergence form equations with VMO coefficients.
• Estimates for the heat kernel with Dirichlet boundary condition
• Density and tail estimates with Malliavin calculus
• Gaussian Random Fields: Spectral Measures and Fine Properties
