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Srdjan Stojanovic
Professor
605C Old Chemistry Building
513-556-4064
srdjan.stojanovic@uc.edu
http://math.uc.edu/~srdjan/
Research Interests
computational finance and nonlinear partial differential equations
Research Support
DARPA, (1868-A037-A1); Funded 1988 to 1990.
NSF , (DMS-91-11794); Funded 1991 to 1993.
Taft Foundation . Funded 1993 to 1994.
CNR , Funded 1995
The Academy of Finland , Funded 1996
Taft Foundation . Funded 1997
Fudan University . Funded 1998
Birkhäuser Boston . Funded 2000
NSF. Funded 2004
Peer Reviewed Publications
(2005). Optimal portfolio series formula under dynamic appreciation rate uncertainty. Journal for Computational Finance, 8(2).
(2005). Risk premium and fair option prices under stochastic volatility: the HARA solution. C. R. Acad. Sci. Paris Ser. I, 340, 551-556.
(2004). Optimal momentum hedging via Monge–Ampère PDEs and a new paradigm for pricing options. SIAM J. Control & Optimization, 43, 1151-1173.
(2001). Implied volatility for American options via optimal control and fast numerical solutions of obstacle problems. Differential Equations and Control Theory 277-294.
Books
(2003). Computational Financial Mathematics using Mathematica : optimal trading in stocks and options. Boston, MA: Birkhäuser.
Paper Presentations
Risk Premium, pricing, and hedging of financial contracts: the case of agricultural (seasonal) commodity futures. Faculty of Agriculture, University of Belgrade, Serbia. 12/06/2006.
Neutral derivative pricing and hedging under multi-dimensional risks in incomplete markets: theory and applications. AMS Special Session on Financial and Actuarial Mathematics, Cincinnati OH. 10-2006.
Derivative pricing and partial hedging under multi-dimensional risks in incomplete markets: theory and applications. Department of Mathematics, Tongji University, Shanghai, China. 08/26/2006.
Higher dimensional fair option pricing and hedging under HARA and CARA utilities. 4th World Congress of Bachelier Finance Society, Tokyo, Japan. 08-2006.
The dividend puzzle unpuzzled. International Conference on Mathematical Finance and Related Topics, Kanazawa, Japan. 08-2006.
Pricing and Hedging in Multidimensional Incomplete Markets under Stochastic Interest Rates. Department of Mathematics, Ohio University, Athens, OH. 06/02/2006.
Pricing and Hedging in Multidimensional Incomplete Markets under Stochastic Interest Rates. Department of Mathematics and Statistics, Wright State University, Dayton, OH. 05/19/2006.
PDE Methods in Financial Modeling. 25th Annual SEARCDE , Dayton, Ohio. 10-2005.
Risk premium and fair option prices under stochastic volatility. GARP’s 6th Annual Risk Management Convention & Exhibition, New York City. 02-2005.
Pricing options under stochastic volatility: the complete solution. Sixth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing and Second International Conference on Monte Carlo and Probabilistic Methods for Partial Differential Equations, Juan-les-Pins, France. 06-2004.
Optimal portfolio series formula under dynamic appreciation rate uncertainty. IMA, University of Minnesota. 05/19/2004.
Pricing options under stochastic volatility: complete solution. IMA Workshop 8: Model Implementation, Algorithms and Software Issues, University of Minnesota. 05-2004.
Options Pricing, Portfolio Hedging, and Data Analysis, Part 1, 2, 3, and 4, IMA Short Course: Tools for Modeling and Data Analysis in Finance/Asset Pricing. Institute for Mathematics and Its Applications (IMA), University of Minnesota, Minneapolis, MN . 04-2004.
Mathematical aspects of financial portfolio optimization. Colloquium, Department of Mathematics, University of Dayton. 01/15/2004.
AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance. Snowbird, Utah. 06-2003.
. AMS Special Session on Stochastic Analysis with Applications, Bloomington, Indiana. 04-2003.
. Computational Finance Seminar, Purdue University, West Lafayette, Indiana . 02/28/2003.
On some Monge–Ampère and hypoelliptic equations in finance. Colloquium, Department of Mathematical Sciences, University of Cincinnati, Cincinnati, Ohio. 11/07/2002.
Numerical hypoelliptic obstacle problems and optimal momentum trading. Probability Seminar, Department of Mathematics, Purdue University, West Lafayette, Indiana . 01/14/2002.
Fast numerical solutions and optimal control of obstacle problems in finance. PDE Seminar, Department of Mathematics, Purdue University, West Lafayette, Indiana . 09/18/2001.
Optimal portfolios of stocks and options via symbolic and numerical solutions of Monge–Ampère type pde's: Optimal Hedging Rules. Conference on Mathematical Finance, University of Konstanz, Konstanz, Germany. 10-2000.
Optimal Options via Numerical Solutions of Monge–Ampère PDEs. Quantitative Risk Management in Finance, Carnegie Mellon University, Pittsburgh, PA . 08-2000.
Optimal portfolios of stocks and options via numerical solutions of Monge–Ampère type pde's. International Conference on Monte Carlo and Probabilistic Methods for PDE's, Monte Carlo, Monaco. 07-2000.
Implied volatility for American options via optimal control of obstacle problems. Optimale Steurung komplexer dynamischer strukturen, Matematisches Forschunsinstitut Oberwolfach, Oberwolfach, Germany. 06-2000.
Implied volatility for European options via optimal control of pde's. International Workshop on Diff. Equations ond Optimization Problems, Ohio University, Athens, Ohio. 05-2000.
