Here is my CV

Office Hours spring 2014:  Monday 10-11 and Wednesday 1-2


A Trading Mechanism Contingent on Several Indices. European Journal of Operational Research, vol. 213. Issue 3 (2011).

 A Theoretical Argument why the t-Copula Explains Credit Risk Contagion better than the Gaussian Copula. Advances in Decision Sciences (2010). Co-authors: Didier Cossin, Nan Song, Satajaporn Tungsong

Optimal Changes of Gaussian Measures, with an Application to Finance.  International Journal of Information and Management Sciences. June (2009).

A Differential Tree Approach to Price Path-Dependent American Options using Malliavin CalculusIAENG Transactions on Engineering Technologies Volume II.  American Institute of Physics (2009). Second author: Hedley Morris.

A Double-Sided Multiunit Combinatorial Auction for Substitutes: Theory and       Algorithms. European Journal of Operational Research, 197, 2, 799-808 (2009)

Credit Risk in a Network Economy. Management Science, vol 53(10), 1604-1617  (2007). Co-author: Didier Cossin.

A Note on the First Moment of Makespan in an Assembly Shop. European Journal of Operational Research, 180(2), 963-968 (2007).

An Analytical Characterization for an Optimal Change of Gaussian Measures . Journal of Applied Mathematics and Decision Sciences, 10th Anniversary Special Issue (2006).

A New Simulation Approach of the LIBOR Market Model. Mathematical and     Computer Modelling (2006), 44 (3-4), 382-396,( 2006). Second author: Z. Chen.

A Reverse Convex Formulation of a Combinatorial Auction . Journal of Applied   Mathematics and Decision Sciences, 9(1), 19-33 (2005).

Variance Reduction Techniques for Large Scale Risk Management. Monte Carlo and Quasi-Monte Carlo 1998. Springer-Verlag (2000).  Second author: F. Kidani.

Combination Trading with Limit Orders . Journal of Applied Mathematics and  Decision Sciences, 1(2), 133-150 (1997).

US Patent 7010510  “Variance Reduction Technique for Large Scale Risk Management.”

Work in Progress

Proof of the Exponential Formula for Poisson Processes .