Research/Patents
Research Interests
Computational Finance and Physics
Derivatives
- Analytical methods, transforms, Lie groups
- Stable FD methods (ADI, fractional steps, splitting) for pricing derivatives, special attention to multi-dimensional case
- Analytical and numerical methods for Levy models, including time-changed Levy models
Volatility products
- Analytical and numerical methods of pricing Variance and Volatility
- Swaps and options on quadratic variation
- Correlation and Dispersion Swaps
Incomlete markets