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.



Published Papers:
 A General Framework for Pricing Credit Risk
Mathematical Finance 14, 2004; 317350. (with: A. Belanger, D. Wong)
 Asymptotic Analysis for Optimal Investment and Consumption with Transaction Costs
Finance and Stochastics 9, 2004; 181206.
 Robustness of the Black and Scholes Formula
Math. Finance 8, 1998; 93126. (with: N. El Karoui, M. JeanblancPicque)
 There Is No Nontrivial Hedging Portfolio For Option Pricing With Transaction Costs
Ann. Appl. Probab. 5, 1995; 327355. (with: H. Soner, J. Cvitanic)
 Optimal Investment and Consumption With Transaction Costs
Ann. Appl. Probab. 4, 1994; 609692.
Publications:
 Methods of Mathematical Finance, SpringerVerlag, (1998).
(with: I. Karatzas)
 "Mathematical Finance"
Institute for Math. Applications, SpringerVerlag, (1995). (with: M. H. A. Davis, D. Duffie, W. Fleming)
 Brownian Motion and Stochastic Calculus, SpringerVerlag, (1991).
(with: I. Karatzas)

Awards:
 New Book of the Year in Quantitative Finance Stochastic Calculus for Finance II: ContinuousTime Models, voted by subscribers to Wilmott  2005
 President, Bachelier Finance Society
 Fellow, Institute of Mathematical Statistics



Consulting:
 Instructor for executive education courses on stochastic calculus for finance



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) 2015, Mini 4 (Section: H)
 2015, Mini 4 (Section: M)
 2014, Mini 4 (Section: H)
 2014, Mini 4 (Section: I)
 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)
 Risk Management II (46955)
(Masters Program) 2015, Mini 4 (Section: I)
 2015, Mini 4 (Section: M)
 2014, Mini 2 (Section: I)
 2014, Mini 2 (Section: M)
 2013, Mini 2 (Section: I)
 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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