School of Electrical and Electronics Engineering, University of Adelaide, Adelaide, 5005, SA, Austra
September 2004
to August 2008
Complex systems studies, financial engineering, derivatives, quantum field theory, game theory.
Telecommunication, Electrical engineering.
Research in financial engineering using methods in HPC and a direct application of quantum field theory.
This is done using path integrals to contribute to financial mathematics to evaluate a fair price for diverse option such as European, Exotic and American options.
Details and Extracurriculars
Analytical derivation and calculation of path integrals using Gaussian and non-Gaussian stochastic processes to evaluate a fair price of the option for European, Exotic and American options.
Evaluation of the Greeks (Delta, Vega, Theta, Rho and Gamma) Using the Black-Scholes Model to evaluate the risk (risk management).
Derivation of stochastic processes using real data coming from financial markets and stock prices:
. Use of numerical methods (The Euler-Marayama, Milstein, the order 1.5 strong Taylor scheme, the Runge-Kutta scheme) to solve numerically stochastic differential equations.
Use of stochastic volatility models, mean reverting, Heston models. Also use of stochastic models of the Hull-White and Vasicek models and extraction of the probability distribution functions from these models.
Ito Calculus, Ito Lemma and use of the Fokker-Planck equation.
Development of codes en f90, Perl, MatLab, Mathematica, Maple, R:
. Use of the R packages to extract distributions from real data coming from financial markets and stock prices and establish statistical models of type GARCH.
. Development of routines and methods in f90 to calculate numerical partial differentiation and perform numerical integration.
Research project construction in collaboration with other researchers.
Light teaching duties within the Electrical and Electronics Engineering department for engineering students:
. Tutoring for the subject « communication systems and signal processes » within the School of Electrical and Electronics Engineering at the University of Adelaide.
Establish international collaborations with my field of research.