Undergrad Studies
Graduate Studies
Research
Seminars
New books
Faculty & Staff
News & Events
Alumni & Friends
Course Information
Statistical Consulting
Mathematics Learning Center
Research
Computational Finance
The computational finance group is led by Professor Srdjan Stojanovic. His research interests lie in the area of “PDE methods in financial modeling”; more specifically: pricing, hedging, and portfolio optimization. The fundamental relationship between fair pricing and portfolio optimization is emphasized. A variety of financial instruments are studied: equity, bonds, foreign exchange, their derivatives, etc. To that end, a variety of mathematical areas are employed: nonlinear and linear differential equations (partial and ordinary), stochastic differential equations, stochastic control, computational methods (symbolic and numerical), etc.
Faculty
Srdjan Stojanovic, computational finance and nonlinear partial differential equations.
Xiaodong Lin, Bioinformatics, statistical learning theory, privacy preserving statistical analysis, mixture models, medical imaging.
Yu-Juan Jien, (Visiting 2008-09) stochastic processes and differential equations
Joanna Mitro, probability and stochastic processes.PhD students
Kang, Zhuang
Sun, Yan
Tanase, Roxana