I am interested in algorithms, complexity, and scientific computing. I am working with Prof. J.F. Traub in quasi-Monte Carlo methods, which use low discrepancy sequences instead of random numbers, for the valuation of financial derivatives and risk management.
I have undertaken the development of FinDer, a software system that generates and uses low discrepancy sequences to carry out simulations for problems in finance.
Recently, I’ve been also working in quantum computation.
Columbia University now holds patents for:
- An estimation method and system for complex securities using low discrepancy deterministic sequences.
- Portfolio structuring using low discrepancy sequences.