Teaching and Research Interests:
- Stochastic calculus, including its applications to finance. Recent works in finance have been on the effect of transaction costs on option pricing, the effect
of unknown volatility on option prices, and the pricing and hedging of exotic options.
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Published Papers:- A General Framework for Pricing Credit Risk
Mathematical Finance 14, 2004; 317-350.
(with: A. Belanger, D. Wong)
- Asymptotic Analysis for Optimal Investment and Consumption with Transaction Costs
Finance and Stochastics 9, 2004; 181-206.
- Robustness of the Black and Scholes Formula
Math. Finance 8, 1998; 93-126.
(with: N. El Karoui, M. Jeanblanc-Picque)
- There Is No Nontrivial Hedging Portfolio For Option Pricing With Transaction Costs
Ann. Appl. Probab. 5, 1995; 327-355.
(with: H. Soner, J. Cvitanic)
- Optimal Investment and Consumption With Transaction Costs
Ann. Appl. Probab. 4, 1994; 609-692.
Publications:- Methods of Mathematical Finance, Springer-Verlag, (1998).
(with: I. Karatzas)
- "Mathematical Finance"
Institute for Math. Applications, Springer-Verlag, (1995).
(with: M. H. A. Davis, D. Duffie, W. Fleming)
- Brownian Motion and Stochastic Calculus, Springer-Verlag, (1991).
(with: I. Karatzas)
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Awards:
- New Book of the Year in Quantitative Finance - 2005
- President, Bachelier Finance Society
- Fellow, Institute of Mathematical Statistics
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Consulting:
- Instructor for executive education courses on stochastic calculus for finance
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Courses Taught:
- Stochastic Calculus for Finance I (46944)
(Masters Program)- 2012, Mini 3 (Section: H)
- 2012, Mini 3 (Section: I)
- 2011, Mini 3 (Section: H)
- 2011, Mini 3 (Section: I)
- 2010, Mini 3 (Section: H)
- 2010, Mini 3 (Section: I)
- 2009, Mini 3 (Section: H)
- 2009, Mini 3 (Section: I)
- 2008, Mini 3 (Section: H)
- 2008, Mini 3 (Section: I)
- 2007, Mini 3 (Section: H)
- 2007, Mini 3 (Section: I)
- 2006, Mini 3 (Section: H)
- 2006, Mini 3 (Section: I)
- Stochastic Calculus II (46945)
(Masters Program)- 2013, Mini 4 (Section: H)
- 2013, Mini 4 (Section: I)
- 2009, Mini 2 (Section: I)
- 2007, Mini 4 (Section: H)
- 2007, Mini 4 (Section: I)
- 2006, Mini 4 (Section: H)
- 2006, Mini 4 (Section: I)
- Topics in Quantitative Finance (46955)
(Masters Program)- 2012, Mini 2 (Section: I)
- 2011, Mini 2 (Section: I)
- 2010, Mini 2 (Section: I)
- 2009, Mini 2 (Section: I)
- 2008, Mini 1 (Section: I)
- 2007, Mini 1 (Section: I)
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