Students
PhD students
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Ruilong Yue (2024)
Dissertation: Global active subspace method.
Placement: Wells Fargo, Charlotte.
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Alyssa Duan (2023)
Dissertation: Computational methods for estimating global sensitivity indices and Shapley values.
Placement: Wells Fargo, Charlotte.
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Yiran Chen (2022)
Dissertation: Simulation and goodness-of-fit tests of copulas.
Placement: Citi, Tampa.
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Arun Polala (2020)
Dissertation: Multilevel Monte Carlo and debiased Monte Carlo Methods in Financial Engineering.
Placement: Wells Fargo, NYC.
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Jamie Fox (2020)
Dissertation: Applications of Polynomial Chaos to Monte Carlo Simulation.
Placement: Wells Fargo, Charlotte.
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Nima Salehy (2019)
Dissertation: Belief Function Theory: Monte Carlo Methods and Applications to Stock Markets.
Placement: Goldman Sachs, Dallas.
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Serdar Cellat (2018)
Dissertation: Metric Learning for Shape Classification: A Fast and Efficient Approach with Monte Carlo Methods.
Placement: Amazon, Boston. (Co-directed with Dr. Washington Mio)
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Jian Wang (2017)
Dissertation: Ensemble Methods for Capturing Dynamics of Limit Order Books.
Placement: Byton, Santa Clara. (Co-directed with Dr. Jinfeng Zhang)
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Yu-Ying Tzeng (2017)
Dissertation: Quasi-Monte Carlo and Markov Chain Quasi-Monte Carlo Methods in Estimation and Prediction of Time Series Models.
Placement: Assistant Professor, Department of Risk Management and Insurance, National Cheng-Chi University, Taiwan. (Co-directed with Dr. Paul Beaumont)
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David Mandel (2017)
Dissertation: Random Sobol' Sensitivity Analysis and Model Robustness.
Placement: J.P. Morgan, NYC. (Co-directed with Dr. Yousuff Hussaini)
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Linlin Xu (2015)
Dissertation: GPU Computing in Financial Engineering.
Placement: Barclays, NYC.
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Wei Yuan (2015)
Dissertation: Estimating Sensitivities of Exotic Options Using Monte Carlo Methods.
Placement: Wells Fargo, Charlotte. (Co-directed with Dr. Kyounghee Kim)
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Nguyen Nguyet (2014)
Dissertation: Probabilistic methods in estimation and prediction of financial models.
Placement: Assistant Professor of Mathematics, Youngstown State University.
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Yaning Liu (2013)
Dissertation: Nonintrusive Methods for Probabilistic Uncertainty Quantification and Global Sensitivity Analysis in Nonlinear Stochastic Phenomena.
Placement: Postdoc, Lawrence Berkeley National Laboratory. (Co-directed with Dr. Yousuff Hussaini)
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Wanwan Huang (2013)
Dissertation: Stochastic Modeling of Financial Derivatives.
Placement: Assistant Professor of Mathematics, Roosevelt University. (Co-directed with Dr. Brian Ewald)
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Ibukun Amusan (2013)
Dissertation: Parameter Estimation for a Stochastic Volatility Model with Coupled Additive and Multiplicative Noise.
Placement: Assistant Professor of Mathematics, Kentucky State University. (Co-directed with Dr. Brian Ewald)
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Ahmet Göncü (2009)
Dissertation: Monte Carlo and Quasi-Monte Carlo Methods in Financial Derivative Pricing.
Placement: Assistant Professor of Mathematics, Xi’an Jiaotong - Liverpool University, China.
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Emmanuel Salta (2008)
Dissertation: Variance Reduction Techniques in Pricing Financial Derivatives.
Placement: Wilshire Associates, Los Angeles.
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Manan Shah (2008)
Dissertation: Quasi-Monte Carlo and Genetic Algorithms with Applications to Endogenous Mortgage Rate Computation.
Placement: Gaming Laboratories, New Jersey. (Co-directed with Dr. Yevgeny Goncharov)
Honors students
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Connor Jonston (2023)
Honors thesis: A Novel Monte Carlo Algorithm for Pricing Barrier Options.
Placement: PhD student in industrial engineering at UF.
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Chace Gordon (2016)
Honors thesis: Efficient Monte Carlo Simulation of Barrier Option Prices under the Jump-Diffusion Framework.
Placement: MS student in finance at MIT.