Professor of Statistical Science
Research Interests: Financial mathematics, probability theory, stochastic analysis, statistics, mathematical economics
Publications
Optimal Time to Exchange Two Baskets
– Journal of Applied Probability
(2016)
48,
21
(doi: 10.1239/jap/1300198133)
Computing the invariant law of a fluid model
– Journal of Applied Probability
(2016)
31,
885
(doi: 10.2307/3215314)
The value of an Asian option
– Journal of Applied Probability
(2016)
32,
1077
(doi: 10.2307/3215221)
A Stochastic Volatility Alternative to SABR
– Journal of Applied Probability
(2016)
45,
1071
(doi: 10.1239/jap/1231340234)
Stochastic ordering of order statistics
– Journal of Applied Probability
(2016)
28,
278
(doi: 10.2307/3214866)
Evaluating first-passage probabilities for spectrally one-sided Lévy processes
– Journal of Applied Probability
(2016)
37,
1173
(doi: 10.1017/s0021900200018386)
On coupling of random walks and renewal processes
– Journal of Applied Probability
(2016)
33,
122
(doi: 10.2307/3215269)
PROBABILITY THAT 2 SAMPLES IN THE PLANE WILL HAVE DISJOINT CONVEX HULLS
– Journal of Applied Probability
(2016)
15,
790
(doi: 10.2307/3213434)
Pitman's 2M – X property for one-dimensional diffusions
– Advances in Applied Probability
(2016)
12,
293
(doi: 10.1017/S0001867800049648)
The two-sided exit problem for spectrally positive Lévy processes
– Advances in Applied Probability
(2016)
22,
486
(doi: 10.2307/1427548)
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