Current PhD students and research topics:
- Nima Salehy. Dempster-Shafer theory and applications.
- Yiran Chen. Simulation and goodness-of-fit for copulas.
- Jamie Fox. Multilevel Monte Carlo and path generation methods.
- Arun Polala. Multilevel Monte Carlo and de-biasing.
Former PhD students, graduation year,
dissertation title, placement:
- Serdar Cellat, 2018. Metric Learning for
Shape Classification: A Fast and Efficient Approach with Monte
Carlo Methods. Liberty Mutual, Boston. (co-directed with Dr.
- Jian Wang, 2017. Ensemble Methods for
Capturing Dynamics of Limit Order Books. Byton, Santa Clara.
(co-directed with Dr. Jinfeng Zhang)
- Yu-Ying Tzeng, 2017. Quasi-Monte Carlo
and Markov Chain Quasi-Monte Carlo Methods in Estimation and
Prediction of Time Series Models. Southern Company, Atlanta.
(co-directed with Dr. Paul Beaumont)
- David Mandel, 2017. Random Sobol'
Sensitivity Analysis and Model Robustness. J.P. Morgan,
NYC. (co-directed with Dr. Yousuff Hussaini)
- Linlin Xu, 2015. GPU Computing in Financial
Engineering. Barclays, NYC.
- Wei Yuan, 2015. Estimating Sensitivities
of Exotic Options Using Monte Carlo Methods. Wells Fargo,
Charlotte. (co-directed with Dr.
- Nguyen Nguyet, 2014. Probabilistic
methods in estimation and prediction of financial models.
Assistant Professor of Mathematics, Youngstown State
- Yaning Liu, 2013. Nonintrusive Methods
for Probabilistic Uncertainty Quantification and Global
Sensitivity Analysis in Nonlinear Stochastic Phenomena.
Postdoc, Lawrence Berkeley National Laboratory. (co-directed
with Dr. Yousuff Hussaini)
- Wanwan Huang, 2013. Stochastic Modeling
of Financial Derivatives. Assistant Professor of Mathematics,
Roosevelt University. (co-directed with Dr. Brian Ewald)
- Ibukun Amusan, 2013. Parameter Estimation
for a Stochastic Volatility Model with Coupled Additive and
Multiplicative Noise. Assistant Professor of Mathematics, Kentucky
State University. (co-directed
with Dr. Brian Ewald)
- Ahmet Göncü, 2009. Monte Carlo and
Quasi-Monte Carlo Methods in Financial Derivative Pricing.
Assistant Professor of Mathematics, Xi’an Jiaotong - Liverpool
- Emmanuel Salta, 2008. Variance Reduction
Techniques in Pricing Financial Derivatives. Wilshire
Associates, Los Angeles.
- Manan Shah, 2008.
Quasi-Monte Carlo and Genetic Algorithms with Applications
to Endogenous Mortgage Rate Computation. Gaming
Laboratories, New Jersey. (co-directed
with Dr. Yevgeny Goncharov)
- Chace Gordon, 2016. Honors thesis:
Efficient Monte Carlo Simulation of Barrier Option Prices
under the Jump-Diffusion Framework. MS in Finance student at