Mathematical Research at FSU
Computational Finance focuses on the numerical analysis of mathematical problems arising in financial applications, including solutions of PDE and SDE, optimization, and numerical linear algebra.
David Kopriva works on numerical algorithms for PDE, particularly the use of spectral methods for pricing financial derivatives. Giray Okten works on developing Monte Carlo methods for high dimensional security pricing problems. Alec Kercheval is interested in numerical linear algebra problems arising in portfolio optimization.