Welcome to webpage of Yevgeny Goncharov
Florida State University
Tallahassee, FL 32306Office: 202A Love Building
Office Phone: (850) 645-2481
E-mail: goncharov-at-math.fsu.edu
Teaching, Fall 2007:
Methods in Interdisciplinary Applications
Papers:
"Valuation of Capital Structure using Simulation Techniques," 2006
"Residential Mortgage Prepayment: Lender's Arbitrage Approach," 2006
"Computing the Endogenous Mortgage Rate without Iterations," to appear in Quantitative Finance.
"Computation of the Endogenous Mortgage Rates with Randomized Quasi-Monte Carlo Simulations" (with Giray Okten and Manan Shah), Mathematical and Computer Modelling, in press.
"On Existence and Uniqueness of Classical Solutions to Euler equations in a Rotating Cylinder," European Journal of Mechanics - B/Fluids 25, pp. 267-278, 2006
"An Intensity-Based Approach to the Valuation of Mortgage Contracts and Computation of the Endogenous Mortgage Rate," International Journal of Theoretical and Applied Finance, Vol. 9, No. 6 , pp. 889-914, 2006
"On Efficient Implementation of Option-Based Approach to Mortgage Modeling," submitted, 2005
"On Revision of the Option-Based Approach to Modeling Mortgage Securities," proceedings of Computational Finance Conference, Bologna, Italy, 2004
"On the Mortgage Rates Implied by the Option-Based and Empirical Approaches," proceedings of Hawaii International Conference on Statistics, Honolulu, 2004
"Mathematical Theory of Mortgage Modeling," Ph.D. Thesis
...to be continued...