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In its broadest sense, my research program involves
the determination of sequential and optimal decisions in uncertain
environments. I am
particularly interested in the pricing and hedging of derivatives with
complex payoffs and American-style (early) exercise. These types of problems do not generally
lend themselves to closed-form solutions and therefore require efficient numerical methods as an
alternative. In the course of my
research, and over an extensive industrial career, I have come to focus on
the interplay between continuous and discrete models. With the help of certain
probabilistic properties, the former can lead to substantive
characterizations, which in turn set the stage for efficient numerical
implementations.
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“
American Option Pricing Under Stochastic
Volatility: An Efficient Numerical Approach (with M. Goswami and S.
Guha),
Computational Management Science,
to appear.
“
American Option Pricing Under Stochastic
Volatility: An Empirical Evaluation" (with M. Goswami and S.
Guha),
Computational Management Science,
to appear.
“
Corrected Random Walk Approximations to Free Boundary Problems in Optimal Stopping" (with T. L. Lai
and Y. C. Yao), Advances in Applied Probability, vol. 39, 3 (2007), 753-775.
“
A Canonical Optimal Stopping Problem for American Options Under a Double-Exponential
Jump-Diffusion Model" (with A. Runnemo), Journal
of Risk, Vol. 10, 2007, pp.
85-100.
“
Pricing and Hedging American Knock-In Options,” F. AitSahlia, L. Imhof and T.
L. Lai, J. of Derivatives, Vol.
11, 2004, pp 44-50.
“
Fast and Accurate Valuation of American Barrier Options,” F. AitSahlia, L.
Imhof and T. L. Lai, J. Computational Finance, Vol. 7, 2003, pp 129-145.
“
Exercise Boundaries and Efficient Approximations to American Option Prices
and Hedge Parameters,” F. AitSahlia and T. L. Lai, J.
Computational Finance, Vol. 4, 2001, pp 85-103.
“
A Canonical Optimal Stopping Problem for American Options and its Numerical
Solution,” F.
AitSahlia, and T. L. Lai, J. Computational Finance, Vol. 3, Winter 1999/2000, pp 33-52.
“
Random Walk Duality and the Valuation of Discrete Lookback Options,” F. AitSahlia and T. L.
Lai, Applied Mathematical Finance,
Vol. 5, 1998, pp 277-340.
“Valuation of Discrete
Barrier and Hindsight Options,” F. AitSahlia and T. L. Lai, J.
Financial Engineering, Vol. 6,
1997, pp 169-177.
“American Options: A Comparison of Numerical
Methods,” F. AitSahlia and P. Carr, in Numerical Methods in
Finance, C. Rogers and D. Talay (eds.), Cambridge
University
Press, 1997.
“Is Concurrent
Engineering Always a Sensible Proposition?,” F. AitSahlia, E. Johnson
and P. Will, IEEE Transactions on Engineering Management, Vol. 42, 1995, pp 166-170.
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