My research is focused on the efficient pricing of multidimensional credit derivatives. In a collaborative effort with both my advisor, Jean-Pierre Fouque and Rene Carmona, we are looking at ways to improve the accuracy of rare event probabilities for calculating CDO tranche spreads.

[1] Interacting Particle Systems for the Computation of CDO Tranche Spreads with Rare Defaults. (with R. Carmona and J.P. Fouque), submitted.

[1] Financial Modeling Case Study