Students

Ruilong Yue (2024)

Dissertation: Global active subspace method.

Placement: Wells Fargo, Charlotte.

Alyssa Duan (2023)

Dissertation: Computational methods for estimating global sensitivity indices and Shapley values.

Placement: Wells Fargo, Charlotte.

Yiran Chen (2022)

Dissertation: Simulation and goodness-of-fit tests of copulas.

Placement: Citi, Tampa.

Arun Polala (2020)

Dissertation: Multilevel Monte Carlo and debiased Monte Carlo Methods in Financial Engineering.

Placement: Wells Fargo, NYC.

Jamie Fox (2020)

Dissertation: Applications of Polynomial Chaos to Monte Carlo Simulation.

Placement: Wells Fargo, Charlotte.

Nima Salehy (2019)

Dissertation: Belief Function Theory: Monte Carlo Methods and Applications to Stock Markets.

Placement: Goldman Sachs, Dallas.

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)

Jian Wang (2017)

Dissertation: Ensemble Methods for Capturing Dynamics of Limit Order Books.

Placement: Byton, Santa Clara. (Co-directed with Dr. Jinfeng Zhang)

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)

David Mandel (2017)

Dissertation: Random Sobol' Sensitivity Analysis and Model Robustness.

Placement: J.P. Morgan, NYC. (Co-directed with Dr. Yousuff Hussaini)

Linlin Xu (2015)

Dissertation: GPU Computing in Financial Engineering.

Placement: Barclays, NYC.

Wei Yuan (2015)

Dissertation: Estimating Sensitivities of Exotic Options Using Monte Carlo Methods.

Placement: Wells Fargo, Charlotte. (Co-directed with Dr. Kyounghee Kim)

Nguyen Nguyet (2014)

Dissertation: Probabilistic methods in estimation and prediction of financial models.

Placement: Assistant Professor of Mathematics, Youngstown State University.

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)

Wanwan Huang (2013)

Dissertation: Stochastic Modeling of Financial Derivatives.

Placement: Assistant Professor of Mathematics, Roosevelt University. (Co-directed with Dr. Brian Ewald)

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)

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.

Emmanuel Salta (2008)

Dissertation: Variance Reduction Techniques in Pricing Financial Derivatives.

Placement: Wilshire Associates, Los Angeles.

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)

Connor Jonston (2023)

Honors thesis: A Novel Monte Carlo Algorithm for Pricing Barrier Options.

Placement: PhD student in industrial engineering at UF.

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.