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Research Interests
I am interested in Statistical Models for
Financial data. This includes the application of wide-tail alternatives
to the normal distribution such as stable processes, and the consequences
for derivatives and Asset pricing. The application of Monte Carlo
techniques, variance reduction, etc. and stochastic calculus to
problems in finance are also of interest. Particularly, involving
estimating the sensitivity of a simulation to the choice of underlying
parameters and Missing and Incomplete Data problems in Finance.
My interest in Finance helped lead to the creation of the collaborative
Master's Program
in Finance and the Center
for Advanced Studies in Finance and the text Monte Carlo Simulation
and Finance, Wiley, 2005.
I have an interest in statistical inference,
particularly applications of inference or estimating functions
and related Hilbert space and projection methods in Statistics.
These have many interesting applications from problems involving
with nuisance parameters, missing and censored data problems,
inference for stochastic processes to the building of analogues
of likelihood methods even when lack of a dominating measure make
maximum likelihood impossible. These interests led to the book
and monograph written jointly with
Christopher Small .
I continue to work on some problems of
interest in biostatistics, bioassay and experimental design, particularly
sequential design for estimating extreme quantiles in bioassay
and missing data problems in Regression. Past work includes Central
Limit Theorems and Invariance Principles for martingales, mixing
sequences of random variables, and other dependent variables as
well as Martingales, their applications and Inference for stochastic
processes.
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Degrees 