Yuying Li
Cornell University
I am a Senior Research Associate of ComputerScience
, the Financial Industrial
Solution Center , and the
Cornell Computational Optimization Project (CCOP) .
News
A paper on American option pricing using optimization approach can be found at:
fisc
.
A paper illustrating hedging results (using a volatility surface
reconstruction) is now available:
Dynamic Hedging in a Volatile Market
.
A paper on 'volatility', presented at the Computational and Quantitative
Finance '98 conference in New York, is now available:
Reconstructing The Unknown Volatility Function
.
Research Program
My research interests include design and analysis of continuous optimization
algorithms, and more generally scientific computing. In addition, I am
interested in optimization algorithms in practical applications. One current
interest is
computational finance
.