Acta Mathematica Universitatis Comenianae
Annales Academif Scientiarum Fennicf Mathematica
Balkan Journal of Geometry and Its Applications
The Electronic Journal of Combinatorics
The Electronic Journal of Differential Equations
The Electronic Journal of Linear Algebra
Electronic Journal of Probability and Electronic
Communications in Probability
Electronic Transactions on Numerical Analysis
International Journal of Mathematics and Mathematical Sciences
Lobachevskii Journal of Mathematics
The New York Journal of Mathematics
"Stability properties for compactly supported prescale function" in
SIAM, Journal of Mathematical Analysis (1999).
"Weakly compactly generated Banach spaces and the strong law of large
numbers," J. Theor. Probab. 7(1994), 129--134.
"Stochastic differentiability in maximum likelihood theory (with C.
Liebars) Probability in Banach spaces," Proceedings on the Ninth
International Conference, Birkhauser, Boston, 1994.
"Exact asymptotics for transportation cost in high dimensions (with J.
Yukich)," J. Theor. Probab. 8(1995), 97--118.
"Some analogs of the Berry-Esseen bound for first-order
Chebyshev-Edgeworth expansions (with B.K. Ghosh)," Statistics and Decisions
Courses I Taught
Math 467 Financial Calculus I
Basic mathematical concepts behind derivative pricing and
portfolio management of derivative securities. Development of
Arbitrage Pricing Theory in the context of the binomial model and
Black-Sholes model. Option pricing in more realistic scenarios.
Introduction to the theory of Brownian motion and Ito calculus
Math 468 Financial Calculus II
Topics on continuous-time martingales, Brownian motion and Ito
calculus. The absence of arbitrage opportunities and the existence
of equivalent martingale measures, the pricing of contingent claims.
Quantitative methods for portfolio management with the Capital
Asset Pricing Model and Merton's continuous time dynamic
models. Models for the random evolution of the term structure of
My Ph.D. Students