Research Interest

Efficient and Accurate Computational Methods for Financial Applications.

Stochastic Modelling for Finance and Insurance.

First Hitting Time Analysis for Stochastic Processes.

Machine Learning and Datamining for Finance and Insurance.

In Progress

Stochastic Modelling for Catastrophic Insurance Product.

Artificial Neural Network for Derivatives Pricing.

Finished Projects

AAD and Least Squares Monte Carlo: Fast Bermudan-Style Options and XVA Greeks, submitted.

Real Time Risk Management: An AAD-PDE Approach, International Journal of Financial Engineering.

Portfolio Level FVA Under Perfect Collateralization and Re-Hypothecation.