Profile
.edu
A synopsis of my adult educational journey:
Carnegie Mellon University, Pittsburgh, PA
Ph.D. (Statistics, 2005)
M.S. (Statistics, 2001)
University of Miami, Coral Gables, FL
B.S. (Mathematics, Cum Laude, 1999)
work
A succint version of my work history since finishing my studies:
Office of the Comptroller of the Currency, Washington, DC
Applied Statistician, June 2007 - Present
Duke University, (Dept. of Statistical Science), Durham, NC
Visiting Assistant Professor, June 2005 - June 2007
computational
Most of my interests in Statistics are in statistical computing. I have experience applying Bayesian estimation methods to empirical problems in Computational Finance, specifically to early-exercise (American-style) options where I continue to study properties of the early-exercise premium.Â
I also have interest in time-series analysis, particularly with respect to particle filtering and how it is used in statistical learning. Other areas of interest include sampling methodologies and natural language processing tools, all mostly focused on regulatory applications.
Monte Carlo Methods
Markov chain Monte Carlo
Variance reduction techniques
Sequential Monte Carlo
Computational Finance
Exotic option pricing
Incomplete markets
Algorithmic trading
Statistical Sampling
Audit sampling applications
Bayesian inferential methods
Small population inference
Statistical Computing
Jackknife & Bootstrap methods
Monte Carlo optimization methods
Importance sampling
Time-Series Analysis
Non-linear time-series
Multivariate series
Sequential Monte Carlo (Particle filtering)
Natural Language Processing
Analysis of sentiments
Large language models
Topic modeling