Farid AitSahlia

Ph.D., Stanford University
Risk management, financial engineering, stochastic control, sequential analysis

Contact Information
	472 Weil Hall (352) 392-1464 ext. 2054
Links
	· Biographical sketch · Curriculum vitae · Past courses · Current course (Spring 2009) · Risk Management and Quantitative Finance Conference (Spring 2005) · International Conference on Financial Engineering (Spring 2006) · Workshop on New Directions in Quantitative Finance (Spring 2008)

Research Interests

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.

Books

Selected Works of Kai Lai Chung , F. AitSahlia, E. Hsu, and R. Williams, World Scientific Press, October 2008.

Options on Extremes and Averages, , World Scientific Press,  to appear (2009).

Elementary Probability Theory with Stochastic Processes and an Introduction to Mathematical Finance, 4^th edition, K. L. Chung and F. AitSahlia, Springer-Verlag, March, 2003. Russian edition appeared in 2007.

Selected Articles

“ 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.

“ Optimal Crop Planting Schedules and Financial Hedging Strategies Under ENSO-based Climate Forecasts" (with C-J Wang, V. E. Cabrera, S. Uryasev, and C. W. Fraisse), Annals of Operations Research, 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.