Farid AitSahlia

Ph.D., Stanford University

Contact Information
	472 Stuzin Hall 306 (352) 392-5058 farid1@ufl.edu farid.aitsahlia@warrington.ufl.edu
Links
	· Biographical sketch · Curriculum vitae · Current courses (Spring 2013) · Past courses · The Journal of Risk
Research Interests
Asset pricing models, computational methods in finance, risk management, financial engineering, market microstructure.
Books
Options on Extremes and Averages, , World Scientific Press,  to appear. Selected Works of Kai Lai Chung , F. AitSahlia, E. Hsu, and R. Williams, World Scientific Press, October 2008.
Elementary Probability Theory with Stochastic Processes and an Introduction to Mathematical Finance, 4^th edition, K. L. Chung and F. AitSahlia, Springer-Verlag, March, 2003. Russian edition appeared in 2007.
Selected Articles
“ Information Stages in Efficient Markets” (with Joon-Hui Yoon), under review. “ Are There Critical Levels of Stochastic Volatility for Early Option Exercise?” (with M. Goswami and S. Guha), under review. “ Optimal Crop Planting Schedules and Financial Hedging Strategies Under ENSO-based Climate Forecasts" (C-J Wang, V. Cabrera, S. Uryasev, and C. Fraisse), Annals of Operations Research, vol. 190 (2011), pp. 201-220. “ American Option Pricing Under Stochastic Volatility: An Efficient Numerical Approach (with M. Goswami and S. Guha), Computational Management Science, vol. 7, 2 (2010), 171-187. “ American Option Pricing Under Stochastic Volatility: An Empirical Evaluation" (with M. Goswami and S. Guha), Computational Management Science, vol. 7, 2 (2010), 189-206. “ Corrected Random Walk Approximations to Free Boundary Problems in Optimal Stopping" (with T. L. Lai and Y. C. Yao), Advances in Applied Probability, vol. 39, 3 (2007), 753-775. “ A Canonical Optimal Stopping Problem for American Options Under a Double-Exponential Jump-Diffusion Model" (with A. Runnemo), Journal of Risk, Vol. 10, 2007, pp. 85-100. “ Pricing and Hedging American Knock-In Options,” F. AitSahlia, L. Imhof and T. L. Lai, J. of Derivatives, Vol. 11, 2004, pp 44-50. “ Fast and Accurate Valuation of American Barrier Options,” F. AitSahlia, L. Imhof and T. L. Lai, J. Computational Finance, Vol. 7, 2003, pp 129-145. “ Exercise Boundaries and Efficient Approximations to American Option Prices and Hedge Parameters,” F. AitSahlia and T. L. Lai, J. Computational Finance, Vol. 4, 2001, pp 85-103. “ A Canonical Optimal Stopping Problem for American Options and its Numerical Solution,” F. AitSahlia, and T. L. Lai, J. Computational Finance, Vol. 3, Winter 1999/2000, pp 33-52. “ Random Walk Duality and the Valuation of Discrete Lookback Options,” F. AitSahlia and T. L. Lai, Applied Mathematical Finance, Vol. 5, 1998, pp 277-340. “Valuation of Discrete Barrier and Hindsight Options,” F. AitSahlia and T. L. Lai, J. Financial Engineering, Vol. 6, 1997, pp 169-177. “American Options: A Comparison of Numerical Methods,” F. AitSahlia and P. Carr, in Numerical Methods in Finance, C. Rogers and D. Talay (eds.), Cambridge University Press, 1997. “Is Concurrent Engineering Always a Sensible Proposition?,” F. AitSahlia, E. Johnson and P. Will, IEEE Transactions on Engineering Management, Vol. 42, 1995, pp 166-170.