Boeing Endowed Chair Professor, Applied Mathematics (AMATH), University of Washington, Seattle
Director, Computational Finance & Risk Management (CFRM) Program
Faculty, Quantitative Ecology & Resource Management (QERM) Program, Center for Quantitative Science
[MS Degree] [courses] inquiry: compfin@uw.edu
The Husky Math Academy (HMA) is a program on UW campus designed for motivated students in grades 7-9 who want to deepen their understanding of mathematics through rigorous problem-solving.
Volunteer instructors help students develop a strong foundation in mathematics beyond the standard school curriculum. Our classes cover topics in algebra, geometry, number theory, combinatorics, and mathematical proof. This will prepare them for advanced mathematical work in the future.
Research in the Press:
Is Crypto About to Go Extinct? - Interviewed by Al Jazeera English
Books:
Leveraged ETFs - Price Dynamics & Options Valuation
Optimal Mean Reversion Trading: Mathematical Analysis & Practical Applications
Employee Stock Options — Exercise Timing, Hedging, and Valuation
Stochastic Control Approach to Futures Trading
Pairs Trading with Optimized Positions & Exit Rules
Dynamic Estimation of Stochastic Gold Exposure
Encoding Market View via a Randomized Brownian Bridge
New execution algos show complexity is not to be feared
Dynamic Futures Portfolio in a Regime-Switching Market
Dynamic Futures Portfolio Under a Multifactor Gaussian Framework
Multiscale Financial Signal Processing
Multiscale Decomposition and Analysis of Sector ETF Price Dynamics
Python Package for Mean Reversion Trading
Pairs Trading ADRs and SPY
Optimal Trading along a Randomized Brownian Bridge
Mean Reversion Trading Strategies with Deadlines and Transaction Costs
Stochastic Storage Cost Model for Grains Futures
Index Tracking — Mind the Gap!
