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 2014)

·         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, 4th 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.

 

A Robust and Efficient Approximation for American Option Pricing in a Stochastic Volatility Model(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.