| Welcome |
|
My name is Vladimir Surkov and I used to be a Postdoctoral Fellow at the Department of Applied Mathematics, University of Western Ontario and the Fields Institute, University of Toronto. My supervisors were Matt Davison and Mark Reesor. Recently, I moved to the industry and am no longer involved in academic research.
My research interests lie in quantitative finance: computational methods for derivatives pricing, hedging and risk management; stochastic optimal control problems with applications to finance, such as optimal portfolio allocation and option pricing in incomplete markets; utilizing high-performance architectures to increase performance of computational methods in finance. Visit my SSRN author page for my publications. I completed my Ph.D. studies at the Department of Computer Science, University of Toronto under the supervision of Ken Jackson and Sebastian Jaimungal. My thesis is available at SSRN and the subject matter of my doctoral dissertation is elaborated upon in the Fourier Space Time-stepping section. For more details on my research see papers and presentations. |