Mathematical finance, stochastic control, stochastic analysis, probability and random processes, quantitative methods for risk management in finance and insurance.
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Credit Risk: Modeling, Valuation and Hedging, with Marek Rutkowski, Springer Finance, Springer-Verlag (2002). Second, corrected printing - January 2004.
- Modelling and Valuation of Credit Risk, with Monique Jeanblanc and Marek Rutkowski, in Stochastic Methods in Finance, M. Frittelli and W. Runggalgier, eds., Springer 2004, 27-126.
- Mean-Variance Portfolio Selection with Bankruptcy Prohibition, with J.Hanqing, S.R. Pliska and X.Y.Zhou, Mathematical Finance, in press.
- Hedging of Defaultable Claims, with Monique Jeanblanc and Marek Rutkowski, in Paris-Princeton Lectures
on Mathematical Finance 2003, R.A. Carmona, E. Cinlar, I. Ekeland, E.Jouini, J.A. Scheinkman, N. Touzi, Springer 2004, 1-132.
- Risk Sensitive Portfolio Optimization with Transaction Costs and Related Quasi-Variational Inequalities, with A. Sulem, J.Ph. Chancelier and S.R. Pliska, J. of Computational Finance, in press.
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Office Hours:
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