Interested in doing undergraduate research?
Below are some topics you can work on under my supervision.
- Pricing American options in some discrete time models;
- Pricing Asian options and discrete and continuous models;
- Black-Scholes-Merton model and the heat equation;
- Estimating correlation between stock market and daily news;
Statistical Analysis of Data:
- Linear Regression versus Non-Linear Regression;
- From historical stock market data to MATLAB simulations of stochastic processes;
- Solving a PDE in a generalized sense: the role of Fourier transform in finding a generalized solution;
- What is the stochastic Ito integral and what it is useful for?
- Finding stable states for Markovian dynamical models;