Welcome to webpage of Yevgeny Goncharov
 
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Deptartment of Mathematics
Florida State University
Tallahassee, FL 32306

Office: 202A Love Building
Office Phone: (850) 645-2481
E-mail: goncharov-at-math.fsu.edu
Teaching, Spring 2009:

        Methods in Interdisciplinary Mathematics
Papers: 

"Near Perfect Control Variate Variance Reduction", 2009

"A New Variance Reduction Technique for Securities Valuation Problems", 2009

"Monte-Carlo approach to the computation of the Endogenous Mortgage Rates in multi-factor state process setting", 2009

"Random and Deterministic Digit-Scrambling of the Halton Sequence", with G. Okten, M. Shah, 2008

"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," under revision in Mathematical Finance, 2008

"Residential Mortgage Prepayment: Lender's Arbitrage Approach," proceedings of the international conference Financial Engineering and Applications, P. Locke, Ed., ACTA press. ISBN: 978-0-88986-681-2



"Valuation of Capital Structure using Simulation Techniques," with Y. Kopeliovich, proceedings of 7th Hawaii International Conference on Statistics, Honolulu 2006

"Computing the Endogenous Mortgage Rate without Iterations," Quantitative Finance, in press.

"Computation of the Endogenous Mortgage Rates with Randomized Quasi-Monte Carlo Simulations" (with Giray Okten and Manan Shah), Mathematical and Computer Modelling, Vol. 46, pp. 459-481.

"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 5th Hawaii International Conference on Statistics, Honolulu, 2004 

    "Mathematical Theory of Mortgage Modeling," Ph.D. Thesis

    ...to be continued...