RESEARCH INTERESTS

· Stochastic Control and Optimization

· Backward Stochastic Differential Equations

· Statistical and Computational Methods in Mathematical Finance

RESEARCH PAPERS & PUBLICATIONS

· Delegated dynamic portfolio management under mean-variance preferences, Journal of Applied Mathematics and Decision Sciences, vol. 2006, Article ID 61895, 22 pages, 2006.

· Optimal acquisition of a partially hedgeable house (joint work with Fernando Zapatero, Marshall Business School, USC); submitted for publication

· A probabilistic numerical scheme for perturbed linear quadratic regulator problems, in progress

· Asymmetric information, dynamic information production and initial public offerings, (joint work with Rafiqul Bhuyan, California State University, San Bernardino); submitted for publication, also available in SSRN database.

PhD Thesis : Backward Stochastic Differential Equations with Quadratic Growth and Their Applications

Co-advisors: Prof. Jaksa Cvitanic and Prof. Jianfeng Zhang; July 2005

Masters Thesis: Comparison Theorems for Stochastic Differential Equations and Their Applications

Advisor: Prof. Alp Eden; June 2000