Dr. Mikhail Shvartsman (right) was also involved with the projects dealing with finance, and helped advise some of the students.
1974-1976, Moscow High School #16, Moscow, Russia.
1976-1982, M.S.Physical Chemistry and Metallurgy,
Moscow Institute of Steel and Alloys, Moscow, Russia.
Thesis title:Thermodynamics of Ni-Zr Alloys.
1982-1987, Engineer with Center for Non-Ferrous Metals, Moscow, Russia.
1987-1988 Emigrated to the U.S.
1988-1994, Graduate School in Applied Mathematics,
University of Maryland at College Park, College Park, Maryland.
Thesis title: Phase Transformations in Anisotropic Elastic Materials.
1994-present, Postdoc with the Center for Nonlinear Analysis and Visiting Assistant Professor with the Department of Mathematial Sciences, Carnegie Mellon University, Pittsburgh, Pennsylvania.
Interests: Mathematical methods in material science, PDE's, mathematical finance, classical music.

Left is Nakia Rimmer presenting his project.
Investing in such financial instruments as Calls or Puts involve financial risk. But this risk can be limited by a counterbalancing transaction (hedge). Nakia's project involved using a discrete model to prove that in order to hedge a Call you should borrow money and buy stock (take a long position). Also in order to hedge a Put you should invest money and sell stock (take a short position).

To the right we have Cathy Isaac presenting during a part of the relay between her and Meike Niederhausen on Barrier Options.
A barrier option is something you buy in place of buying stock. It comes with a set expiration date, barrier price, and strike price. It gives the holder the option of buying the stock at the strike price on the expiration date provided that at no time did the stock price reach or exceed the barrier. If at any time the stock price reaches the barrier, the option becomes worthless. We modeled a system in which a transaction cost (ie, broker's fee) must be paid at the point at which the barrier is reached. We derived the formulas needed in order to determine the value of the option and the amout of stock to buy/sell at each point of a discrete time model so that we would have enough money to pay the transaction cost as well as complete the hedge. We also derived a PDE which would give us the value of the option at the barrier as a function of time and stock price.

Here Harilaos "Greek" Harogiannis is presenting his finance project.

Hong Nguyen also worked in finance.
Her project involved research on the topic of AMERICAN OPTIONS. An American Call Option gives its owner the right to buy one share of stock for the strike price K at any time up to and including the expiration date. Using the probabilistic models of financial markets to prove that the best time to exercise the option is the expiration date. In other words, an American Call Option should not be exercised early( Assumming the interest rate is greater than zero).

Sam Lopez also did a project in the area of finance.

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