Scholarly activity

(1)Author of  textbook “Introduction to Financial Mathematics with computer applications” (joint work with Prof. Donald Chambers), 2021, CRC press.

(2)CFA (Chartered Financial Analyst) charter holder.

(By passing three rigid tests during three year period)

(3) Project NExT fellow.


(1)Ryan Barnett, honors thesis, May 2020, “LIBOR Transition: Estimating Forward-Looking Term Rates for SOFR” (joint with Prof. Michael Kelly.)

(2)My Bui, honors thesis, May 2017, “Stochastic Volatility Option-pricing Models and Bayesian Parameter Estimation”(joint with Prof. Jeffrey Liebner.)

(3)Jawad Awan, honors thesis, May 2016, “Volatility surface” (joint with Prof. Donald Chambers.).

(4)Lihn Nguyen from 2012-2013, EXCEL, led to paper “Estimating Heston’s and Bates’ models parameters using Markov Chain Monte Carlo simulation”, mentioned in the publication list.

(5)EXCEL advisor for Matthew Foy, May 2012.
Paper title “put option puzzle” (joint with Prof. Donald Chambers)

(6) Honors thesis advisor for Qi Sun, May 2011,“ Copula Correlation, Default Correlation and Copula Method with Mixture Normal Model on Asset-Backed Security” (joint with Prof. Donald Chambers)

(7)Honors thesis advisor for Ying Quan(Amy), Dec 2008, “A Tree Model for Pricing Mortgage with Prepayment and Default Options” (Joint with Prof. Donald Chambers)

(8)Honors thesis advisor for Jinjin Qian, May 2008, “Analysis of correlation in Copula’s model of pricing CDO” (joint with Prof. Donald Chambers)

(9) Honors thesis advisor for Lindsay Bryant, May 2007, “Price CDO by copula method” (joint with Prof. Michael Kelly)

(10) Honors thesis advisor for Usman Khan, May 2005,“Price convertible bond”

(11) Honors thesis advisor for Katharine Wolchik, May 2005, “Monte Carlo simulation on continuous trading strategy for stock portfolio”

(12) Honors thesis advisor for Lindsay Carifi, May 2002, “Markowitz Model: Finding the Efficient Frontier Using the Current Stock Market” (joint work with Prof. Handy)

(13) Honors thesis advisor for Mark Coslette, May 2001, “The Magic Behind the Black-Scholes Option Pricing Model”

NSF REU advisor:

(1)Title “Quantifying Options Implications”, June and July 2014

(2)Title “model implied risk adjusted ratios”, June and July 2012

(3)Title ” Analysis on CDOs Price and risk”, June and July, 2009

(4) Title “Analysis on Markowitz Frontier”, June and July, 2002

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