Office: Room 1029 SSW
Program(s): Regular Faculty, Senior Faculty, Statistics Department
Research Interests: Probability Theory, primarily in Mathematical Finance, but also in Markov Processes, Filtering Theory, and Numerical Analysis of Stochastic Differential Equations. Within Finance, recent interests include Ultra High Frequency Trading and Market Microstructure, Financial Bubbles, Mathematical Models of Insider Trading, and Models of Liquidity.
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