Here is my CV
Office Hours spring 2014: Monday 10-11 and Wednesday 1-2
A Trading Mechanism Contingent on Several Indices. European Journal of Operational Research, vol. 213. Issue 3 (2011).
A Theoretical Argument why the t-Copula Explains Credit Risk Contagion better than the Gaussian Copula. Advances in Decision Sciences (2010). Co-authors: Didier Cossin, Nan Song, Satajaporn Tungsong
Optimal Changes of Gaussian Measures, with an Application to Finance. International Journal of Information and Management Sciences. June (2009).
A Differential Tree Approach to Price Path-Dependent American Options using Malliavin Calculus. IAENG Transactions on Engineering Technologies Volume II. American Institute of Physics (2009). Second author: Hedley Morris.
A Double-Sided Multiunit Combinatorial Auction for Substitutes: Theory and Algorithms. European Journal of Operational Research, 197, 2, 799-808 (2009)
Credit Risk in a Network Economy. Management Science, vol 53(10), 1604-1617 (2007). Co-author: Didier Cossin.
A Note on the First Moment of Makespan in an Assembly Shop. European Journal of Operational Research, 180(2), 963-968 (2007).
An Analytical Characterization for an Optimal Change of Gaussian Measures . Journal of Applied Mathematics and Decision Sciences, 10th Anniversary Special Issue (2006).
A New Simulation Approach of the LIBOR Market Model. Mathematical and Computer Modelling (2006), 44 (3-4), 382-396,( 2006). Second author: Z. Chen.
A Reverse Convex Formulation of a Combinatorial Auction . Journal of Applied Mathematics and Decision Sciences, 9(1), 19-33 (2005).
Variance Reduction Techniques for Large Scale Risk Management. Monte Carlo and Quasi-Monte Carlo 1998. Springer-Verlag (2000). Second author: F. Kidani.
Combination Trading with Limit Orders . Journal of Applied Mathematics and Decision Sciences, 1(2), 133-150 (1997).
US Patent 7010510 “Variance Reduction Technique for Large Scale Risk Management.”
Work in Progress