A main branch of my current and projected research involves the application and development of new analytical and numerical methodologies for pricing and hedging generally exotic options in multidimensional asset space. Due to the numerically intensive nature of pricing path-dependent options, particularly in many underlying dimensions, a significant part of this research involves the development of parallel algorithms to be implemented on the SHARCNET high performance computing (HPC) clusters. HPC, which is largely in its infancy with respect to its use in mathematical finance, is particularly well-suited for tackling such high dimensional simulation problems.
Dr. G. (Joe) Campolieti
Associate Professor; SHARCNET Research Chair 2002-2004,
Department of Mathematics