My academic background is in Algorithms Theory and Abstract Algebra.
My current academic interests lie in the broad space of A.I. for Sequential Decisioning under Uncertainty.
I am particularly interested in Deep Reinforcement Learning applied to Financial Markets and to Retail Businesses.
More details on my background and work are described on my LinkedIn page.
I'm teaching CME 241 (Reinforcement Learning for Stochastic Control Problems in Finance) next in Winter 2021.
My Fall Office Hours for MCF students are: Fri 2-4pm (or by appointment) on Zoom.
Latest Content of the book I am currently writing with my co-author Tikhon Jelvis:
Git Repo for the code in our book (under development)
Links to Individual Chapters below:
Module I: Processes and Planning Algorithms
Module II: Modeling Financial Applications
Module III: Reinforcement Learning Algorithms
- Moment-Generating Function and it's Applications
- Function Approximations as Vector Spaces
- Portfolio Theory (Lecture Slides)
- Introduction to and Overview of Stochastic Calculus Basics (Lecture Slides)
- The Hamilton-Jacobi-Bellman (HJB) Equation
- Black-Scholes Equation and it's Solution for Call/Put Options