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- Mathematics of Finance
I would say that my primary job is to find patterns and creating meaning out of data. Some call this data analytics, others call it behavioral mathematics. Right now, I am working on several projects, including a portfolio optimization model that accounts for tail risk (the risk of extreme events occurring); a model for trading foreign exchange; and a few more. My doctoral dissertation was about examining the optimality of risk-taking, and that is still a current research interest. Larry and myself devised a numerical technique to solve a wide variety of stochastic control problems which I applied to infighting, risk-taking and misallocation of cash flows in firms.