“Financial Engineering in Wonderland: An Adventure with Riemann, Lisa, and Dickens” by Steven KOU
This talk will give an overview of the following four research topics: (1) Using compound Poisson processes to model asset prices (e.g. stocks, bonds, etc.) and credit risk. (2) Using birth-death and diffusion processes to model growth stocks (e.g. biotechnology and internet stocks). (3) Using renewal theory to price discrete path-dependent options, such as discrete barrier and lookback options. (4) Using financial engineering in revenue management. The unusual connections in the title will be revealed during the course of the talk.