Most of my interests and skiils in Statistics are in the area of statistical computing. I have solid 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. I also have much interest in time-series analysis, particularly with respect to sequential Monte Carlo methods and how they are used in statistical learning. Other areas of interest include sampling methodologies, natural language processing tools, and blockchain technologies, particularly with applications involving stablecoins.
Header photo: No, I do not code with typewriters, but, thanks to my parents, I like them a lot -- and they did, oddly, nudge me toward scientific (really, statistical) computing.
Computer code (from select research)
Below, I present links to computer code (primarily in R) that are either a by-product of my past research work or present computing interests.Â
R code to price American-style put options using sequential Monte Carlo methods in a stochastic volatility framework from B.R. Rambharat and A.E. Brockwell (2010).
Stay tuned...more to come as opportunity permits.