Dr. David Audley

Program Chair Financial Mathematics

Current Courses

Education History

  • BSEE Electrical Engineering, The Citadel
  • MSEE Systems Engineering, University of Southern California
  • Doctor of Philosophy Applied Mathematics and Electrical Engineering, Johns Hopkins University

Work Experience

Senior Lecturer, JHU Whiting School of Engineering

Publications

Finance (Selected)

David Audley, Richard Chin, Peter Lin, Shrikant Ramamurthy, (2012) Static Term Structure Modeling in Discrete and Continuous Time, Encyclopedia of Financial Models, entry 38, Volume III
David Audley, Richard Chin, Peter Lin, Shrikant Ramamurthy, (2012) The Dynamic Term Structure Model, Encyclopedia of Financial Models, entry 39, Volume III
David Audley, Richard Chin, and Shrikant Ramamurthy, (2005) OAS and Effective Duration, The Handbook of Fixed Income Securities by Frank Fabozzi, Editor, Seventh Edition, McGraw-Hill, New York, NY, 2005
David Audley, Richard Chin, and Shrikant Ramamurthy, (2002) Term Structure Modeling, Interest Rate, Term Structure, and Valuation Modeling by Frank Fabozzi, Editor, John Wiley, New York, 2002
David Audley, Richard Chin, and Shrikant Ramamurthy, (2002) The Effect of Mean Reversion on Option-Adjusted Spreads, Interest Rate, Term Structure, and Valuation Modeling by Frank Fabozzi, Editor, John Wiley, New York, 2002
David Audley and Richard Chin, (1996) Choosing the “Correct” Volatility for the Valuation of Embedded Options, The Handbook of Fixed Income Options – Strategies, Pricing & Applications by Frank Fabozzi, Editor, Revised Edition, Irwin Professional Publishing, Chicago, IL, 1996
David Audley, Richard Chin, and Shrikant Ramamurthy, (1996) An Intuitive Approach to Fixed-Income Option Valuation, The Handbook of Fixed Income Options – Strategies, Pricing & Applications by Frank Fabozzi, Editor, Revised Edition, Irwin Professional Publishing, Chicago, IL, 1996
David Audley, (1993) On High Performance Computing and Communication on Wall Street, Invited Presentation, Subcommittee on Science; Committee on Science, Space, and Technology; US House of Representatives; 103rd Congress, October 26, 1993

Other (Selected)

J. K. Hodge and D. R. Audley, (1986) Aerothermodynamic Parameter Estimation from Shuttle Thermocouple Data during Transient Flight Test Maneuvers, AIAA Journal of Spacecraft and Rockets, Vol 23, No. 5
D. R. Audley, S. J. Monaco, and S. Okubo, (1978) A Schuler Tuned Vertical Indicating System, AIAA Journal of Guidance and Control, Vol 1, No. 5
David Audley, (1977) A Method of Constructing Minimal Approximate Realizations of Linear Input-Output Behavior, Automatica, Vol 13, pp. 409-415
David Audley, (1977) Minimal Realizations from Data Sets – A Problem of Rational Approximation, Pade and Rational Approximation – Theory and Applications, E.B. Saff and R.S. Varga, Editors, Academic Press, 1977
Steven A. Baumgartner, David Audley, and Wilson J. Rugh, (1975) Linear System Realization Based on Data Set Representation, IEEE Trans Automat. Contr., Vol, AC-20, No. 3
David Audley and David Lee, (1974) Ill-Posed and Well-Posed Problems in System Identification, IEEE Trans Automat. Contr., Vol, AC-19, No. 6
David Audley and Wilson J. Rugh, (1973) On the H-Matrix System Representation, IEEE Trans Automat. Contr., Vol. AC-18, No. 5
David Audley, (1972) The H-Matrix Representation and System Realization, Ph.D. Dissertation, The Johns Hopkins University, Baltimore, Maryland, 1972