Interested in doing undergraduate research?

Below are some topics you can work on under my supervision.

Financial Engineering:

  • 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;

Other topics:

  •  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;