Portrait Photo

Farid Aitsahlia

Clinical Asst Professor & Richardson Fellow
University of Florida,
Warrington College of Business
Department of Finance, Insurance & Real Estate
PO Box 117168 Gainesville FL 32611
Stuzin Hall 301F
(352) 392-5058

Education

PhD - Operations Research, Stanford University, 1995

Research Areas

Asset pricing models, computational methods in finance, market microstructure
Options on Extremes and Averages
Accepted Year: 2013
Authors: Farid AitSahlia

Selected Works of Kai Lai Chung
Published Year: 2008
Authors: E. Hsu R. Williams Farid AitSahlia

Elementary Probability Theory with Stochastic Processes and an Introduction to Mathematical Finance
Published Year: 2003
Authors: K. Chung Farid AitSahlia
Discretely monitored options
Accepted Year: 2011
Authors: R. Cont Farid AitSahlia

Stochastic Optimal Stopping: Numerical Methods
Published Year: 2009
Authors: C. Floudas P. Pardalos Farid AitSahlia

Stochastic Optimal Stopping: Problem Formulations
Published Year: 2009
Authors: C. Floudas P. Pardalos Farid AitSahlia

Optimal Execution of Time-Constrained Portfolio Transactions
Published Year: 2008
Authors: Y-C Sheu E. Konthoghiorges B. Rustem P. Winker Farid AitSahlia

American Options: A Comparison of Numerical Methods
Published Year: 1997
Authors: P. Carr Rogers D. Talay Farid AitSahlia
Information Stages in Efficient Markets
Journal: Journal of Banking and Finance
Accepted Year: 2016
Authors: Farid AitSahlia J Yoon

Optimal Crop Planting Schedules and Financial Hedging Strategies Under ENSO-based Climate Forecasts
Journal: Annals of Operations Research
Accepted Year: 2011
Authors: C. Wang V. Cabrera S. Uryasey C. Fraisse Farid AitSahlia

American Option Pricing Under Stochastic Volatility: An Efficient and Accurate Numerical Scheme
Journal: Computational Management Science
Published Year: 2010
Authors: M. Goswami S. Guha Farid AitSahlia

American Option Pricing Under Stochastic Volatility: An Empirical Evaluation
Journal: Computational Management Science
Published Year: 2010
Authors: M. Goswami S. Guha Farid AitSahlia

A Canonical Optimal Stopping Problem for American Options under a Double-Exponential Jump-Diffusion Model
Journal: Journal of Risk, The
Published Year: 2007
Authors: A. Runnemo Farid AitSahlia

Corrected Random Walk Approximations to Free Boundary Problems in Optimal Stopping
Journal: Advances in Applied Probability
Published Year: 2007
Authors: T. Lai Y. Yao Farid AitSahlia

Pricing and Hedging American Knock-In Options
Journal: Journal of Derivatives, The
Published Year: 2004
Authors: L. Imhof T. Lai Farid AitSahlia

Fast and Accurate Valuation of American Barrier Options
Journal: Journal of Computational Finance, The
Published Year: 2003
Authors: L. Imhof T. Lai Farid AitSahlia

Exercise Boundaries and Efficient Approximations to American Option Prices and Hedge Parameters
Journal: Journal of Computational Finance, The
Published Year: 2001
Authors: T. Lai Farid AitSahlia

A Canonical Optimal Stopping Problem for American Options and its Numerical Solution
Journal: Journal of Computational Finance, The
Published Year: 2000
Authors: T. Lai Farid AitSahlia

Random Walk Duality and the Valuation of Discrete Lookback Options
Journal: Applied Mathematical Finance
Published Year: 1998
Authors: T. Lai Farid AitSahlia

Valuation of Discrete Barrier and Hindsight Options
Journal: Journal of Financial Engineering
Published Year: 1997
Authors: T. Lai Farid AitSahlia

Is Concurrent Engineering Always a Sensible Proposition?
Journal: IEEE Transactions on Engineering Management
Published Year: 1995
Authors: E. Johnson P. Will Farid AitSahlia
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