SAMSI Home Page

Computational Issues
A Working Group in Financial Mathematics Statistics and Econometrics

Group Leaders: Paul Fackler (NC State University)

 

 

Announcements

Meeting Time: Wednesdays 11:30 - 1:00pm
Location: NISS building, 2nd floor conference room


Meeting Activities

Date Topics & Readings Notes
Oct 12 2005 Articles:
  • Ronald Gallant:
    • On the Determination of General Scientific Models with Application to Asset Pricing pdf file
Notes of the meeting pdf file
Oct 19 2005
  • Ronald Gallant:
    • (1) Epstein-Zin-Garch Asset Pricing Problem. (2) Log-Linear Stochastic Volatility Problem. pdf file
    • Additional Articles:
      • Sparse wavelet methods for option pricing under stochastic volatility by Norbert Hilber, Ana-Maria Matache, Christoph Schwab pdf file
      • Recovering volatility from option prices by evolutionary optimization by Sana Ben Hamida and Rama Cont Working paper form:pdf file
      • On Basket Options; By Giray Okten pdf file
      • Randomized Quasi Monte Carlo Methods in Pricing Securities; By Giray Okten and Warren Eastman pdf file
      • Solving Optimal Switching Models; By Paul Fackler pdf file
Oct 26 2005 Articles:
  • Paul Fackler:
    • Computational issues concerning optimal switching models pdf file
    • Valuing American Options by simulation: a simple least-squares approach by Longstaff, A.F. and Schwartz, S.E. pdf file
Notes of the meeting pdf file
Nov 9,17 2005 Articles:
  • Ricky Rambharat:
    • Monte Carlo method for stochastic control pdf file
    • Valuing American Options by simulation: a simple least-squares approach by Longstaff, A.F. and Schwartz, S.E. pdf file
Nov 30, 2005 Articles:
  • Moustapha Pemy:
Dec 7, 2005 Articles:

 

 

Group Members

Name Email Address Affiliation
Ai-ru (Meg) Cheng archeng@ucsc.edu University of California At Santa Cruz
Paul Fackler paul_fackler@ncsu.edu North Carolina State University
Jean Pierre Fouque fouque@math.ncsu.edu North Carolina State University

Ron Gallant

arg@duke.edu

Duke University

Elena Goldman

egoldman@pace.edu

Pace University

Martin Groth

martijg@math.uio.no

Eric Hillebrand

erhil@lsu.edu

Louisiana State University

SingRu Hoe

hoceline02@yahoo.com

Abdul Khaliq

akhaliq@mtsu.edu

Middle tennesse State University

Micheal Levine

mlevins@stat.purdue.edu

Purdue University

Peng Liu

pliu@ncsu.edu

North Carolina State University

Xiaofang Ma

csxfma@cs.utoronto.ca

University of Toronto

Jonathan Mattingly

jonm@math.duke.edu

Duke University

Giray Okten

okten@math.fsu.edu

Florida State University

Moustapha Pemy

mnpemy@unity.ncsu.edu

North Carolina State University

Ricky Rambharat

ricky@stat.duke.edu

Duke University

Jesus Rodriguez

jfrodrig@ncsu.edu

North Carolina State University

Hasan Sayit

hs98@cornell.edu

Cornell University

Jeff Scroggs

scroggs@ncsu.edu

North Carolina State University

Jennifer Sloan

jlsloan@ncsu.edu

North Carolina State University

Stathis Tompaidis

Stathis.Tompaidis@mccombs.utexas.edu

University of Texas

Alex Trindade

trindade@stat.ufl.edu

University of Florida

Li Wang

wangli4@stt.msu.edu

Michigan State University

Yichao Wu

wuy@email.unc.edu

University of North Carolina

Bing Zhang

zhangb@math.umd.edu

University of Maryland


If you are interested in participating a working group, please send e-mail to fmse-wg@samsi.info giving your full contact information and stating which working group(s). You will be sent instructions by e-mail about how to participate.


Send your comments about this site to Moustapha Pemy (mnpemy@samsi.info)