Shalom!

This is me:

Gena Shaikhet

Curriculum Vitae

 

Fall 2011 - Elements of Probability (Honours) (STAT 3558), Carleton  

Probability spaces; Random variables; Expectations and moments; Discrete and continuous distributions; Monte-Carlo Simulation; Law of Large numbers, Central Limit Theorem; Functions of random variables; Vectors of random variables and multivariate distributions; Conditional distributions and expectations.

Syllabus

Fall 2011 - Precalculus (MATH 0006), Carleton  

Angles and the unit circle; Radian measures; Definitions of trigonometric functions; Fundamental relations; Law of Sines and Cosines; Analytic trigonometry, graphs, inverse functions; Trigonometric identities and equations; Applications in science and engineering; Complex numbers in polar form, de Moivre's Theorem, n-th roots of complex numbers.

Syllabus

Winter 2011- Stoch. Calculus for Finance (MATH 4906/5900), Carleton  

The purpose of the course is to provide a friendly introduction to such important probability concepts as conditional expectation, martingale and stochastic integral, as well as to their applications to derivatives pricing in discrete and continuous financial markets. The course will be mostly concentrated on continuous-time models, although the binomial model will also be addressed in order to gain useful insight.

Syllabus

Fall 2010 - Algebra and Geometry (MATH 0107), Carleton  

Introduction to basic concepts of linear algebra and geometry: vectors and matrices; lines and planes; linear transformations; complex numbers.

Syllabus

Fall 2010 - Elements of Probability (STAT 3508), Carleton  

Probability spaces; conditional probability; random variables; expectations and moments; discrete and continuous distributions; simulation; Normal approximation; moment generating function; transformations of random variables; vector of random variables and their joint distributions; conditional distributions and expectations.

Syllabus

Monte Carlo Simulation (Fall 07, 08, 09), Carnegie Mellon. 

I have designed and taught this course at the Department of Math. Sciences. The course is intended for undergraduates from Math and Engineering departments. Usually taken in the framework of 'BSc in Computational Finance' program. The topics include main algorithms of Monte Carlo; simulation of basic stochastic processes, in particular, Brownian motion and Poisson process; applications to financial engineering and queueing theory: derivatives pricing, performance analysis of queueing networks. As well as Markov Chain Monte Carlo methods: Metropolis-Hastings samplers, Gibbs sampling with applications to Ising model, simulated annealing, traveling salesman problem, etc.

 

Continuous – Time Finance (Spring 08, 09), Carnegie Mellon.

The course is given in the framework of 'BSc in Computational Finance' program at the Department of Math. Sciences. The topics include introduction to measure-theoretic probability, stochastic processes, Brownian motion, martingales, stochastic integration and Ito's lemma. The theory is then applied to derivation of the Black-Scholes formula and risk-neutral pricing of various financial derivatives.

Project director (Summer 08, 09), Carnegie Mellon.

I have supervised students projects (three projects each year) in the framework of the Center for Nonlinear Analysis (CNA) Institute. The topics included applied probability, finance and simulation.

Teaching assistance (00-07), Technion, Israel.

For the period of 2000 – 2007 I served as a teaching assistant at the Faculty of Industrial Engineering and Management, Technion.   In 2003 I won the Excellent Teaching Assistant Prize.

Some of the courses I taught:
 

  • Advanced Probability, in different times with Haya Kaspi or Robert Adler.
  • Stochastic Models, with Avishai Mandelbaum or Leonid Mytnik.
  • Stochastic Processes (graduate course), with Robert Adler.
  • Service Engineering, with Avishai Mandelbaum.  Website