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Farid Aitsahlia

Clinical Asst Professor & Richardson Fellow

University of Florida
Warrington College of Business
Finance, Insurance and Real Estate Department
Stuzin Hall 301F

Email | Homepage

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

Liquidity and Risk Management: Crossing Networks Impact'
Journal: Review of Financial Studies, The
Authors: Farid AitSahlia


American Options under Stochastic Volatility: Parameter estimation and Pricing Efficiency
Journal: Quantitative Finance
Authors: Farid AitSahlia, Manusha Goswami, Suchandan Guha


Mean-Variance Spanning Tests: The Fiduciary Case in 401(k) Plans
Journal: Journal of Banking and Finance
Year: Unknown
Authors: Farid AitSahlia, Thomas Doellman, Sabuhi Sardali


Information Stages in Efficient Markets
Journal: Journal of Banking and Finance
Accepted Year: 2016
Authors: Farid AitSahlia, J Yoon


American Option Pricing in a Jump-Diffusion Model with Stochastic Volatility
Journal: Unknown
Authors: M. Goswami, S. Guha, Farid AitSahlia


Discretely Monitored Look-Back Option Prices and their Sensitivities in Lévy Models
Journal: Management Science
Authors: G. Gylfadóttir, Farid AitSahlia


Efficient Pricing of Discretely Monitored Barrier Options in Lévy Models
Journal: Unknown
Authors: G. Gylfadóttir, Farid AitSahlia


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. Uryasev, C. Fraisse, Farid AitSahlia


Quantile Approximations for Average Options'
Journal: Unknown
Authors: G. Gylfadóttir, Farid AitSahlia


Spline Approximations for Efficient American Option Pricing in a Jump-Diffusion Model'
Journal: Management Science
Authors: 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