Karatzas DMS-9704505 We propose to train a Post-Doctoral Research Associate, for two years, in the various mathematical and computational aspects of modern Finance, combining the strength of Morgan-Stanley's fixed income research group with the mathematical ewxpertise of the Columbia University faculty. The Post-Doctoral Fellow will be able to benefit from the expertise of both groups, and will act as catalyst for transfer of knowledge between them. The Post-Doctoral Fellow will be expected to help develop a mathematical framework for the valuation of American-style derivative securities on interest-sensitive (fixed-income) instruments, and to develop accurate and fast numerical techniques. The problem is of considerable practical importance, and requires advanced mathematical tools, such as stochastic differential equations, martingales and optimal stopping, partial differential equations and Monte-Carlo simulations. Department of Mathematics, Columbia University, New York, NY Morgan-Stanley & Co., Incorporated, New York, NY This project is jointly supported by the MPS Office of Multidisciplinary Activities (OMA) and the Division of Mathematical Sciences (DMS)
