Risk Management

Risk Management

Faculty Research Interests

financial Engineering: (i) derivatives pricing, e.g. employee stock options, exchange-traded funds, credit derivatives, (ii) optimal dynamic/static strategies for hedging, trading, and risk management.

quantitative finance, asset pricing, derivatives, risk measures, real estate, applied probability, empirical finance

financial engineering and risk management; Markov decision processes and duality based on information relaxations; machine learning for operations research

quantitative finance, derivatives valuation, volatility models, risk management, philosophy of modeling

applied probability, computational finance, MCMC, queueing theory, rare-event analysis, simulation methodology, and risk theory

behavioral finance, portfolio choice, asset pricing, and risk management when investors are not fully rational; applied probability topics such as stochastic control and optimal stopping

stochastic systems and applied probability, resource control in stochastic networks, financial systemic risk, risk hedging in production systems, healthcare operations, hospital resource planning, supply chain optimization

financial engineering with main focus on counterparty risk, systemic risk, and dynamic optimization

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