I received my PhD from McGill University in 1989. Upon completing my PhD, I was a Natural Sciences and Engineering Research Council postdoctoral research fellow and later a university research fellow at the University of Toronto until 1997.
In 1998, I joined the Masters in Mathematical Finance as an instructor and later as an adjunct professor in financial mathematics until 2002. I also founded a financial software and consulting company in 1998.
I joined Laurier in 2002 as associate professor of Mathematics and as SHARCNET chair in Financial Mathematics.
My research focuses on mathematical and computational finance by combining various areas of applied mathematics, probability theory, stochastic modeling, simulation methods and high performance computing. A main aspect of my research is the development of analytically solvable models and other alternative stochastic models for financial asset price dynamics and the implementation of such models to important problems in quantitative finance. Areas of application include pricing and hedging of various standard and complex (path dependent) financial derivatives for single and multi-asset contracts, the development of credit-risk models, the calculation of distributions of various quantities associated to the paths of stochastic processes such as first-passage times, occupation times and other quantities of interest to option pricing and risk modeling.
I have research assistantship opportunities for undergraduate and graduate students. You may contact me for more information.
I am willing to supervise as well as co-supervise graduate students whose research interests lie in mathematical or computational finance.
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