information and resources for the Johns Hopkins University community
Dr. Moustapha Pemy
Applied and Computational Mathematics
- 625.641.81 Mathematics of Finance (Summer 2020)
- 625.641.82 Mathematics of Finance (Summer 2020)
- 625.641.83 Mathematics of Finance (Summer 2020)
- Ph.D. Applied Mathematics, University of Georgia
Professor, Towson University
PublicationsOptimal Extraction and Taxation of Strategic Natural Resources: A Differential Game Approach, to appear in the Journal of Energy Markets.
Optimal Oil Production and Taxation in Presence of Global Disruptions, Proceedings of the SIAM Conference on Control and its Applications, 2017, pp.70-77
Optimal Oil Production under Mean Reverting Levy Models with Regime Switching, Journal of Energy Markets, Volume 10, Issue 2, (June 2017), pp. 1-15.
Optimal Stopping of Markov Switching Lévy Processes, Stochastics; An International Journal of Probability and Stochastic Processes, Vol. 89 (2), 2014, pp. 341 - 369.
Optimal Algorithms for Trading Large Positions, Automatica, Volume 48, Issue 7, (July 2012), pp. 1353-1358.
Viscosity Solution of Optimal Stopping Problem for Stochastic Systems with Bounded Memory, with Mou-Hsiung Chang and Tao Pang, Stochastic Analysis and Applications, Volume 30, Issue 6, (November 2012), pp. 1102 - 1135.
Optimal Selling Rule in a Regime Switching Lévy Market, International Journal of Mathematics and Mathematical Sciences, Volume 2011, No. 264603, 28 pages.
An Approximation scheme for Black-Scholes equations with delays, with Mou-Hsiung Chang and Tao Pang, Journal of System Science and Complexity, Volume 23, No. 3, (June 2010), pp. 438-455.
Liquidation of a Large Block of Stock under Regime Switching Model, with Qing Zhang and George Yin, Mathematical Finance: An International Journal of Mathematics, statistics, and Financial Economics, Volume 18 Issue 4 (October 2008), pp. 629-648.
Optimal Control of Stochastic Functional Differential Equations with a Bounded Memory, with Mou-Hsiung Chang and Tao Pang, Stochastics: An International Journal of Probability and Stochastic Processes Volume 80, Issue 1, (November 2008), pp. 69-96.
Finite Difference Approximation for Stochastic Optimal Stopping Problems with Delays, with Mou-Hsiung Chang and Tao Pang, Journal of Industrial and Management Optimization. Volume 4, Issue 2, (May 2008), pp.227-246.
Finite Difference Approximations for Stochastic Control System with Delay, with Mou-Hsiung Chang and Tao Pang, Stochastic Analysis and Applications, Volume 26, Issue 3, (May 2008), pp. 451-470.
Liquidation of a large block of stock: A stochastic Control Approach with State Constraints, with George Yin and Qing Zhang, Communications in Information and Systems, Volume 7, No. 1, (2007) pp.93-110.
Liquidation of a large block of stock, with George Yin and Qing Zhang, Journal of Banking and Finance Volume 31, Issue 5, (May 2007) pp. 1295-1305.
Optimal stock liquidation in a regime switching model with finite time horizon, with Qing Zhang, Journal of Mathematical Analysis and Application, Volume 321, Issue 2, 15 September 2006, pp 537-552.
Honors and Awards
- Henry C. Welcome Fellowship Grant, MHEC (2006)
- William Armor Wills Memorial Scholarship, University of Georgia (2003)
- Diploma Program Fellowship, International Center of Theoretical Physics (2000)