Rice University’s Guodong Pang has been working with Tomoyuki Ichiba of the UC Santa Barbara and Murad S. Taqqu of Boston University to study semimartingale properties for generalized fractional Brownian motion (GFBM) and its mixtures with applications in asset pricing. Recent work under this title has been accepted in the journal Finance and Stochastics.
Pang, a professor of computational applied mathematics and operations research, has introduced the new GFBM process with Taqqu, a self-similar Gaussian process with non-stationary increments. The process can be used to model long-range dependent, high-frequency financial data and rough volatility in asset pricing and portfolio optimization.
Several courses at Rice introduce methods and techniques in financial engineering, quantitative finance and risk management. Pang teaches CMOR 451/551 Simulation Modeling and Analysis in the fall semester and CMOR 455/555 Stochastic Control and Applications in the spring. STAT 650 Stochastic Calculus with Applications in Finance, taught by Statistics Professor Frederi Viens, is also offered in the spring semester.
Pang is a member of the CoFES external advisory board and a member of the Ken Kennedy Institute.
- Shawn Hutchins, Communications and Marketing Specialist
