Projects

Estimation and Management of Stable-distributed Risk: Link to heading

The lion’s share of my PhD research was concerned with how to model, estimate and manage risk modeled by Stable distributions. I was particularly concerned with the case of jointly distributed idiosyncratic and systematic risk (think the CAPM or delta hedging). Stables as a family of distributions are quite beautiful and elegant and have many desirable properties for risk modeling but they lack closed form pdfs and can be challenging to handle computationally. My goal in these papers was to bridge the gap between theory and application.

FIA return modeling: Link to heading

  • 🚧 under Construction 🚧

Ergodicity Economics Link to heading

I’ve had to shelve my EE research the past couple years (defending my PhD, job hunting, moving etc). But during the pandemic I became quite passionate about Ergodicity Economics. You can see some conference talks I gave to that effect below. After sorting out some of my PhD papers I’ll finish my EE and ruin paper.

Non-probabilistic, tree-based, option pricing: Link to heading

My work (joint with Sebastian Ferrando) can be found here:

Dr. Ferrando has since taken these ideas in some pretty sophisticated directions. Please do check out some of his work in particular this collaborationn with Christian Bender.

Long term yield curve modeling: Link to heading

I was incredibly fortunate enough to be invited to participate in a research project with the distinguished Ecology and Limnology Lab at YorkU. Studying the economic impact of climate change means discounting cash flows back from far in the future and in this project we studied the effects of lake ice loss on the order of a century. I was responsible for creating a reasonable yield curve to discount these losses with.