My research is in Quantitative Finance, the field at the intersection of Applied Mathematics, Economics and Artificial Intelligence, that aims at mathematically formalizing and rigorously solving problems faced by practitioners in the financial industry.
A common theme in my works is the development of methodologies to make decisions in conditions of uncertainty, which arises when there is a suspicion that the base model for predictions is wrong. I have considered applications to quantitative trading, risk management and derivatives pricing.
Below is a list of my completed projects.
Publications & other peer-reviewed works
Multiasset investment, with D. B. Madan and K. Wang, submitted
Financial investment reconsidered, with D. B. Madan and K. Wang, submitted
Optimal spot slides, with D. B. Madan and K. Wang, to appear on International Journal of Theoretical and Applied Finance
Capital structure and risk acceptability, with D. B. Madan and K. Wang, Frontiers of Mathematical Finance, Vol 5, Issue 1, 2025
Optimal derivative positioning in incomplete markets, with T. Leung and M. Lorig, Frontiers of Mathematical Finance, Vol 3, Issue 4, 2024
Extreme measures in continuous time conic finance, Frontiers of Mathematical Finance, Vol 3, Issue 1, 2024
A Levy driven Ornstein-Uhlenbeck process for the valuation of credit index swaptions, International Journal of Theoretical and Applied Finance, Vol 26, Issue 06n07, 2023
 Acceptable bilateral gamma parameters, (part of my PhD dissertation, last update: February 2023)
Optimal derivative liquidation timing under path-dependent risk penalties, with T. Leung, Journal of Financial Engineering, Vol 2, Issue 1, 2015
Second order Frechet differential of quasiconcave monotone functionals (part of my master dissertation, last updated: March 2010)