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 2008:
Calculus III
Papers:
"Random and Deterministic Digit-Scramblinf of the Halton Sequence", 2008
"Monte-Carlo approach to the computation of the Endogenous Mortgage Rates in multi-factor state process setting"
"On convergence of MOATS mortgage rate model", with Manan Shah, 2008
"Rational investment at Disequilibrium", with P. Beumont, A. Culham, and A. Kercheval.
"On the Existence of the Endogenous Mortgage Rate Process," 2008
"Residential Mortgage Prepayment: Lender's Arbitrage Approach," 2006
"Valuation of Capital Structure using Simulation Techniques," with Y. Kopeliovich, 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," 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...