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Doug Vestal

Department of Statistics and Applied Probability, University of California
Santa Barbara, CA 93117

Email: vestal@pstat.ucsb.edu
Office Phone: (805) 252-8415
Office Hours: MW 1-2, South Hall 5431Q

Welcome

I am a PhD student at the Department of Statistics and Applied Probability at UCSB, concentrating on numerical methods in credit derivatives pricing.

My Research Interests

  • Default Risk Modeling and Credit Derivatives Pricing
  • Monte Carlo Variance Reduction Methods
  • Financial Mathematics

What are my current activities?

  • I successfully defended my dissertation on January 29, 2008.
  • Working to extend the results in my dissertation.
  • Working on a variance reduction technique I started when visiting Taiwan with Chuan-Hsiang(Sean) Han .