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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 [email protected] University of California At Santa Cruz
Paul Fackler [email protected] North Carolina State University
Jean Pierre Fouque [email protected] North Carolina State University

Ron Gallant

[email protected]

Duke University

Elena Goldman

[email protected]

Pace University

Martin Groth

[email protected]

Eric Hillebrand

[email protected]

Louisiana State University

SingRu Hoe

[email protected]

Abdul Khaliq

[email protected]

Middle tennesse State University

Micheal Levine

[email protected]

Purdue University

Peng Liu

[email protected]

North Carolina State University

Xiaofang Ma

[email protected]

University of Toronto

Jonathan Mattingly

[email protected]

Duke University

Giray Okten

[email protected]

Florida State University

Moustapha Pemy

[email protected]

North Carolina State University

Ricky Rambharat

[email protected]

Duke University

Jesus Rodriguez

[email protected]

North Carolina State University

Hasan Sayit

[email protected]

Cornell University

Jeff Scroggs

[email protected]

North Carolina State University

Jennifer Sloan

[email protected]

North Carolina State University

Stathis Tompaidis

[email protected]

University of Texas

Alex Trindade

[email protected]

University of Florida

Li Wang

[email protected]

Michigan State University

Yichao Wu

[email protected]

University of North Carolina

Bing Zhang

[email protected]

University of Maryland


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


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