Mathematical Finance
Professors Professors Chadam, Chen, and Caginalp
MATHEMATICAL FINANCE AND ECONOMICS (PUBLISHED PAPERS)
A. Duran and G. Caginalp “Overreaction Diamonds: Precursors and Aftershocks for Significant Price Changes,” Quantitative Finance 7,321-342 (2007).
G. Caginalp and H. Merdan, “Asset Price Dynamics with Heterogeneous Groups,” Physica D 225, 43-54, 2007.
X. Chen and J. Chadam, (2007) A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options. SIAM Journal on Mathematical Analysis 38, 1613
G. Caginalp, “Nonlinear Price Evolution,” Quarterly of Applied Mathematics 63, 715-720, (2005).
G. Caginalp, “SIAM Review: Stochastic Calculus for Finance I – The Binomial Asset Pricing Model,” SIAM Review 47, 375-377 (2005) (Book review)
G. Caginalp and D. Balenovich, “A theoretical foundation for technical analysis,” Journal of Technical Analysis, Winter/Spring 59, 5-22 (2003).
G. Caginalp, D. Porter and K. McCabe, “The foundations of experimental economics and applications to behavioral finance: the contributions of Nobel Laureate Vernon Smith,” Journal of Behavioral Finance 4, 3-6, (2003).
G. Caginalp, V. Ilieva, D. Porter and V. Smith, “Derivation of asset price equations through statistical inference,” The Journal of Behavioral Finance 4, 217-224 (2003).
G. Caginalp and H. Merdan, “Decay of solutions to nonlinear parabolic equations: renormalization and rigorous results,'' Discrete and Continuous Systems Series B 3, 565 - 588 (2003).
G. Caginalp, “Does the market have a mind of its own, and does it get carried away with excess cash?” J. Psychology and Financial Markets 3, 72-75 (2002).
G. Caginalp, D. Porter and V. Smith, “Asset Markets,” Transcript of lecture at Inst. for Psychology and Financial Markets June 2001 J. Psychology and Financial Markets 3, 37-43 (2002).
G. Caginalp, V. Ilieva, D. Porter and V. Smith, “Do speculative stocks lower prices and increase volatility for value stocks?” J. Psychology and Financial Markets 3, 118-132 (2002).
G. Caginalp “The real year 2000 problem: investor psychology” J. Psychology and Financial Markets 2, 2-3 (2001).
G. Caginalp, D. Porter and V. Smith, “Financial Bubbles: Excess Cash, Momentum and Incomplete Information,” J. Psychology and Financial Markets 2, 80-99 (2001).
G. Caginalp, D. Porter and V. Smith, “Overreactions, momentum, liquidity and price bubbles in laboratory and field stock markets,” J. Psychology and Financial Markets 1, 24-48 (2000).
G. Caginalp and D. Balenovich, “Asset flow and momentum: deterministic and stochastic equations,” Phil. Trans. Proc. Royal Soc. A, 357, 2119-2113 (1999).
G. Caginalp, D. Porter and V. Smith, “Experimental asset markets,” The Elgar Companion to Consumer Research and Economic Psychology (eds. P. E. Earl and S. Kemp) 215-222 (1999).
G. Caginalp, D. Porter and V. Smith, “Momentum and overreaction in experimental asset markets,” Int. J. Ind. Org. 18, 187-204 (2000).
G. Caginalp, D. Porter and V. Smith, “Initial cash/asset ratio and asset prices: an experimental study,” Proceedings of the National Academy of Sciences 95, 756-761, (1998).
G. Caginalp and H. Laurent, “The predictive power of price patterns,” Applied Mathematical Finance 5, 181-206 (1998).
G. Caginalp and G. Constantine, “Statistical inference and modeling of momentum in stock prices,” Applied Mathematical Finance 2, 225-242 (1995).
G. Caginalp and D. Balenovich, “Trend based asset flow in technical analysis and securities marketing,” Psychology and Marketing 53, 407-444 (1996).
G. Caginalp and D. Balenovich, “Market oscillations induced by the competition between value-based and trend-based investment strategies,” Applied Mathematical Finance 1, 129-164 (1994).
G. Caginalp and D. Balenovich, “Mathematical Models for the Psychology of Fluctuations in Financial Markets,” proc. of Pittsburgh Conference on Modeling and Simulation (eds. W. G. Vogt and M. H. Mickle) (1992).
G. Caginalp and B. Ermentrout, “Numerical studies of differential equations related to theoretical financial markets,” Applied Math Letters 4, 35-38 (1991).
G. Caginalp and B. Ermentrout, “A kinetic thermodynamics approach to the psychology of fluctuations in financial markets,” Applied Math Letters 4, 17-19 (1990).