the application front, my current research is directed at
computing volatility for financial derivative pricing and hedging.
Senior Research Associate
PhD Waterloo, 1988
My general research interests are in numerical optimization and scientific computation. In addition, I am interested in the application of optimization methods to medical, engineering, and financial problems. My current interests include generalizing the trust region theory for
unconstrained minimization to nonlinearly constrained minimization using an affine scaling and trust region minimization approach. My research focus is on both theoretical analysis and computational performance. On
Exploiting structure of large QPs arising in
statistical learning theory. Applications of
Large-Scale Optimization, 1998 SIAM
Annual Meeting, Toronto, CA, July
Optimization in Support Vector
Regression: A Financial Application.
International Conference on Nonlinear
Programming and Variational Inequality.
Dec. 15-18, 1998.
Reconstructing the Unknown Local
Volatility Function, The Journal of
Computational Finance 2, 3 (1999), 77-102 (with T. Coleman and Arun Verma).