Research interests

  • Probability Theory and Stochastic Processes
    • fractional Brownian motion
    • Gaussian regularity theory
    • Malliavin calculus
    • stochastic partial differential equations
    • numerical methods for stochastic processes
    • stochastic optimal control and filtering
  • Financial Mathematics
    • market models driven by fBm
    • stochastic portfolio optimization
    • stochastic volatility
    • Monte-Carlo methods

Refereed Publications

  • Valuation of NDX Index call options with fractional Black-Scholes model.
    To appear in Global Business and Finance Review, 13 pages, 2009.
    With S. Heo and J.J. Park. [Abstract]
  • Portfolio optimization with consumption in a fractional Black-Scholes market.
    Communications on Stochastic Analysis 1 (2007) no. 3, 357—379.
    With F. Viens and T. Zhang. [Abstract]
  • Time regularity of the evolution solution to the fractional stochastic heat equation.
    Discrete and Continuous Dynamical Systems — Series B 6 (2006) no. 4, 895—910.
    With F. Viens. [Abstract]