Ali Hirsa

Columbia University - Department of Industrial Engineering and Operations Research (IEOR)

Adjunct Professor

331 S.W. Mudd Building

500 West 120th Street

New York, NY 10027

United States

http://ieor.columbia.edu/ali-hirsa

SCHOLARLY PAPERS

4

DOWNLOADS

104

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Analytical Pricing of Swaption in Affine Term Structures with Stochastic Volatility

Number of pages: 20 Posted: 20 Apr 2017
Caspian Capital Management, LLC, Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and University of Maryland
Downloads 36 (479,342)

Abstract:

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Affine Term Structure Models; Charateristic Function; FFT; Swaptions; Straddles

2.

Double Gamma Stochastic Volatility Model in Discrete Time

Number of pages: 21 Posted: 22 Apr 2017
Columbia University - Department of Industrial Engineering and Operations Research (IEOR), Caspian Capital Management, LLC and University of Maryland
Downloads 33 (493,379)

Abstract:

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Affine Term Structure Models; Characteristic Function; FFT; Swaptions; Gamma Process

3.

Derivative Approximation by Finite Differences in Higher Dimensional Cases

Number of pages: 9 Posted: 03 Oct 2019 Last Revised: 09 Oct 2019
Ali Hirsa and Siyu Jiang
Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and affiliation not provided to SSRN
Downloads 20 (567,585)

Abstract:

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multi-dimensional Taylor expansion, finite differences

4.

Alternating Line Multigrid for the Two Dimensional Convection-Diffusion Equation

Number of pages: 18 Posted: 12 Mar 2018
Ali Hirsa and Howard C. Elman
Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and University of Maryland - Department of Computer Science
Downloads 15 (600,131)

Abstract:

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