Office: VC 6-285
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Phone: +1 (646) 312-4168
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My research interests are in numerical analysis and scientific computing. I focus on spectral methods and operator splitting methods for partial differential equations, such as the Black-Scholes equation for the pricing of American options and the Navier-Stokes equation in computational fluid dynamics. Recently, I have also been working on differential equations of fractional order. You can find more information about my research on my Google Scholar Page
and Research Information.
Course Information – Fall 2019
Research Information – Fall 2019
Sit-in – Fall 2019
- Funding proposal: Higher-order and High Performance Operator Splitting Methods for Fractional Linear Complementarity Problems on the Pricing of American Options
- Project 1: Efficient Spectral Methods for Option Pricing Under the Time-space Fractional Black-Scholes Model.
- Project 2: Stable Algorithms for Computing Implied Volatilites and Intersection Prices Under the Merton Jump Diffusion Model and the Fractional Black-Scholes Model.