Raleigh, NC 27695
North Carolina State University
spread trading, optimal stopping, OU process, free-boundary problem, local timespace calculus, integral equation
Stochastic Volatility, VIX, Generalized 3/2 and 1/2 Models, Generalized Mixture Models, American Options, Exercise Premium, Exercise Boundaries, Integral Equations, Local Time
American swaption, swaption, swap, linear-rational term structure model, polynomial diffusion, optimal stopping, free-boundary problem, local time-space calculus, integral equation
green energy, wind plant, gas-fired plant, real options, subsidy, regulation uncertainty
American put option, geometric Brownian motion, optimal stopping, free-boundary problem, integral equation
American capped option, optimal stopping, geometric Brownian motion, free-boundary problem, local time, integral equation
Barrier reverse convertible claim, call provision, American put option, geometric Brownian motion, optimal stopping, free-boundary problem, early redemption discount, integral equation
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American options, exercise boundaries, exercise premium, generalized 3/2 and 1/2 models, generalized mixture models, integral equations, local time, stochastic volatility, VIX
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