Carnegie Mellon University
Office : Wean Hall 8214
My research lies within the field of stochastic analysis, with a particular emphasis on using Large Deviations Principles to solve problems arising in Mathematical Finance. Large Deviations may be used to solve a wide array of problems concerning optimal investment and the pricing and hedging of contingent claims. Currently, I am focusing long-horizon problems, as well as the analysis of large investors in incomplete markets.
Here you may find my
working and published
I teach classes both offered within the Department of Mathematical Sciences, and as part of Carnegie Mellon's Masters in Computational Finance Program. The classes I have taught or are currently teaching include:
MA 21-378: Mathematics of Fixed Income Markets. Fall 2015. Current Syllabus. Course Description.