Seattle, WA
United States
University of Washington - Applied Mathematics
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local-stochastic volatility, implied volatility, Heston, CEV, SABR
implied volatility, leveraged ETF, moneyness scaling, local stochastic volatility
Spectral Methods, Stochastic Volatility, Barrier Options
Long-term growth; Continuous-time Markov chain; Moving average; Optimal investment; Ornstein-Uhlenbeck process; Partial information; Simulation; Utility maximization
Defi, Perpetuals, Cryptocurrencies
algorithmic trading, mean-field games
parabolic PDE, asymptotic expansion, singular perturbation, analytical approximation
HJB equation; optimization; Poisson process; sports betting; stochastic control; utility
Implied volatility, Exponential Lévy
CEV, Local Volatility, Stochastic Volatility, Implied Volatility, Volatility Smile
Local volatility, Lévy-type process, Asymptotic expansion, Pseudo-differential calculus, Defaultable asset
Exponential Levy, Stochastic Volatility, Stochastic Jump Intensity, Spectral Theory, Perturbaton Theory
robust pricing, robust hedging, knock-in, knock-out, rebate, barrier, quadratic variation
Stochastic volatility, Heston model, fast mean-reversion, asymptotics, implied volatility smile/skew
derivative pricing, stochastic volatility, local volatility, default, knock-out, barrier, spectral theory, eigenfunction, singular perturbation theory, regualar perturbation theory
stochastic volatility, time change, option pricing
CEV, Lévy, Local volatility, implied volatility, default
Bond, Pricing, Risk Neutral, Stochastic Interest, Yield
Levy-type
