Stochastic Modeling

Related Faculty

Ivana Bozic
Associate Professor
Graduate Program Coordinator
Tim Leung
Boeing Endowed Professor
Director of Computational Finance and Risk Management Program
Matthew Lorig
Professor
Konstantinos Mamis
Pearson Fellow
Acting Instructor

Related Research

Tim Leung. (2021) Employee Stock Options, Exercise Timing, Hedging, and Valuation. World Scientific
Yang, Y.-J. and Cheng, Y.-C., "Potentials of continuous Markov processes and random perturbations" J. Phys. A: Math. Theor. 54 195001 (2021)
Yang, Y.-J., & Qian, H. Bivectorial Nonequilibrium Thermodynamics: Cycle Affinity, Vorticity Potential, and Onsager’s Principle. J Stat. Phys. 182, 46 (2021).
Yang, Y.-J. & Qian, H. Unified formalism for entropy production and fluctuation relations. Phys. Rev. E 101 , 022129 (2020)
Tim Leung and Marco Santoli (2016). Leveraged Exchange-Traded Funds: Price Dynamics and Options Valuation, Springer Briefs in Quantitative Finance, Springer, New York.
Tim Leung and Xin Li. (2016). Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications. (1st ed.) Singapore, World Scientific Publishing Company.
Tim Leung and Xin Li (2015). Optimal mean reversion trading with transaction costs and stop-loss exit, International Journal of Theoretical and Applied Finance 18 (03), 1550020