Srdjan Stojanovic , PhD
S. Stojanovic, “Neutral and Indifference Portfolio Pricing, Hedging and Investing”, Springer, New York (2011; paperback 2014);
S. Stojanovic, "Computational Financial Mathematics using Mathematica", Birkhauser, Boston (2003; paperback 2013); http://www.amazon.com/dp/146126586X/.
Ph.D.: Northwestern University Evanston, Illinois, 1986 (Mathematics)
M.S.: University of Belgrade Belgrade, Serbia, 1982 (Mathematics)
Nonlinear PDE/stochastic control based Financial Mathematics
(2003) Computational Financial Mathematics using Mathematica, Boston, MA: Birkhäuser.
(2012) Neutral and Indifference Portfolio Pricing, Hedging and Investing, Springer, New York
Peer Reviewed Publications
(2005). Optimal portfolio series formula under dynamic appreciation rate uncertainty. Journal for Computational Finance, 8(2).
(2005). Risk premium and fair option prices under stochastic volatility: the HARA solution. C. R. Acad. Sci. Paris Ser. I, 340, 551-556.
(2004). Optimal momentum hedging via Monge–Ampère PDEs and a new paradigm for pricing options. SIAM J. Control & Optimization, 43, 1151-1173.
(2001). Implied volatility for American options via optimal control and fast numerical solutions of obstacle problems. Differential Equations and Control Theory 277-294.
(2013). Any-utility neutral and indifference pricing and hedging, Risk and Decision Analysis, 4, 103-118.
(2012). Equity valuation under stock dilution and buyback, Discr. Cont. Dyn. Syst. B 17, 1809-1829 (with Y. Cui)
(2010). Interest rate risk premium and equity valuation, J. Systems Sci & Comp 23 484-498 (with Z. Kang)
(2006). Pricing and hedging of multi type contracts under multidimensional risks in
incomplete markets modeled by general Itô SDE systems, Asia-Pacific Financial Markets, 13, 345-372.
(1997). Modeling and minimization of extinction in Volterra-Lotka type equations
with free boundaries, J. Differential Equations, 134, 320-342.
(1997). Perturbation formula for regular free boundaries in elliptic and parabolic
obstacle problems, SIAM J. Control & Optimiz., Vol. 35, No. 6. 2086-2100
(1996). Insights on the effect of land use choice: The perpetual option on the best of
two underlying assets, J. Urban Economics, 39, 20-50 (with D. Geltner and
(1995). Nonsmooth Analysis and Free Boundary Problems for Potential Flow,
Flow Control, M. Gunzburger, Editor, Springer-Verlag, New York, 275-295.
(2014) Pricing portfolios of contracts on cumulative temperature with risk premium determination, Risk and Decision Analysis, 5, 75-98 (w. A. Goncu).
(2014) Optimal portfolio formulas for some mean-reverting price models, Journal of Financial Engineering, Vol. 01, No. 02.
(2016) Interest Rates Risk-Premium and Shape of the Yield Curve, Discrete and Continuous Dynamical Systems - Series B (DCDS-B), (Vol. 21, No. 5).
Peer Reviewed Conference/Workshop Proceedings
(2007). Stochastic control approach to derivative pricing and hedging in incomplete
markets modeled by general Itô SDE systems: an overview and an application in FX
derivatives, Proc. of the American Control Conference, IEEE Omnipress, 1115-1119.
(1999). Multivariate constrained portfolio rules: derivation of Monge-Ampere
equations, Control of Distributed Parameter and Stochastic Systems, S. Chen, X. Li,
J. Yong, and X.Y. Zhou Editors, Kluwer Academic Publishers.
(1997). Perturbation formula for regular free boundaries in periodic-parabolic equations
and minimization of extinction, Proceedings of the 36th IEEE Conf. on Decision
(2007). Risk premium, pricing and hedging for variance swaps, a chapter in “Volatility
as an Asset Class”, edited by I. Nelken, Risk Books, London, 259 – 285.
Srdjan Stojanovic (12-2010. ) Any-utility neutral and indifference pricing and hedging .International Research Forum, Hong Kong Polytechnic University, Hong Kong. Conference. . Level:International
Srdjan Stojanovic (07-2010. ) Neutral and indifference pricing, hedging, and investing in incomplete markets―a blueprint for systemic financial engineering .Quant Congress, The Westin New York at Times Square , New York City. Conference. . Level:International
Srdjan Stojanovic (12-2009. ) Interest rate risk premium and equity valuation .Joint Meeting of KMS and AMS, Spec. Session on Fin. Math, Seoul, Korea. Conference. . Level:International
Srdjan Stojanovic (05-2009. ) 4. Stochastic control approach to financial derivative pricing and hedging in incomplete markets .Chinese Academy of Sciences, Beijing, China. Conference. . Level:International
Srdjan Stojanovic (12-20-2012. ) Neutral and indifference portfolio pricing and hedging in incomplete markets with applications in equity and energy trading . Chinese Academy of Sciences, Academy of Mathematics and Systems Science, Beijing, China.
Srdjan Stojanovic (12-05-2012. ) Analytic and symbolic financial engineering in incomplete markets with applications in equity valuation and investing .Xian Jiaotong-Liverpool University, Suzhou, China.
Srdjan Stojanovic (10-2012. ) Symbolic financial engineering in incomplete markets and equity valuation .Guiyang, China. Level:International
Srdjan Stojanovic (12-24-2013. ) Commodities and Commodity Futures: modeling, pricing, hedging and optimal trading .Soochow Futures Ltd. Co.,
Srdjan Stojanovic (06-05-2013. ) Neutral and Indifference Portfolio Pricing, Hedging and Investing .National Bank of Serbia, Research Seminar,
Srdjan Stojanovic (01-02-2014. ) Commodities and Commodity Futures: modeling, pricing, hedging and optimal trading .Department of Mathematics, Tongji University, Shanghai, Colloquium,
Srdjan Stojanovic (03-15-2014. ) General Theory of Pricing and Hedging in Incomplete Markets and its Symbolic Implementation: Automated Financial Engineering .2014 International Conference on Financial Engineering & Innovation (2014ICFE), Tongji University, Shanghai. Level:International
Srdjan Stojanovic (07-12-2016. ) Financial Mathematics for Incomplete Markets: general theory, computer implementations, and applications .Serbian Academy of Scinces and Arts, Mathematics Institute, Belgrade, Serbia.
Srdjan Stojanovic (10-06-2017. ) General theory of pricing and hedging in incomplete markets, its symbolic implementation, and applications .Forthcoming Presentation: S. Stojanovic, Colloquium, Department of Mathematics, University of Pittsburgh,
(12-06-2006. ) Risk Premium, pricing, and hedging of financial contracts: the case of agricultural (seasonal) commodity futures .Serbia.
(10-2006. ) Neutral derivative pricing and hedging under multi-dimensional risks in incomplete markets: theory and applications .Cincinnati OH.
(08-26-2006. ) Derivative pricing and partial hedging under multi-dimensional risks in incomplete markets: theory and applications .Shanghai, China.
(08-2006. ) Higher dimensional fair option pricing and hedging under HARA and CARA utilities .Tokyo, Japan.
(08-2006. ) The dividend puzzle unpuzzled .Kanazawa, Japan.
(06-02-2006. ) Pricing and Hedging in Multidimensional Incomplete Markets under Stochastic Interest Rates .Athens, OH.
(05-19-2006. ) Pricing and Hedging in Multidimensional Incomplete Markets under Stochastic Interest Rates .Dayton, OH.
(10-2005. ) PDE Methods in Financial Modeling .Dayton, Ohio.
(02-2005. ) Risk premium and fair option prices under stochastic volatility .New York City.
(06-2004. ) Pricing options under stochastic volatility: the complete solution .Juan-les-Pins, France.
(05-19-2004. ) Optimal portfolio series formula under dynamic appreciation rate uncertainty .University of Minnesota.
(05-2004. ) Pricing options under stochastic volatility: complete solution .University of Minnesota.
(04-2004. ) Options Pricing, Portfolio Hedging, and Data Analysis, Part 1, 2, 3, and 4, IMA Short Course: Tools for Modeling and Data Analysis in Finance/Asset Pricing .Minneapolis, MN .
(01-15-2004. ) Mathematical aspects of financial portfolio optimization .University of Dayton.
(06-2003. ) AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance .Snowbird, Utah.
(04-2003. ) Bloomington, Indiana.
(02-28-2003. ) Purdue University, West Lafayette, Indiana .
(11-07-2002. ) On some Monge–Ampère and hypoelliptic equations in finance .Cincinnati, Ohio.
(01-14-2002. ) Numerical hypoelliptic obstacle problems and optimal momentum trading .West Lafayette, Indiana .
(09-18-2001. ) Fast numerical solutions and optimal control of obstacle problems in finance .West Lafayette, Indiana .
(10-2000. ) Optimal portfolios of stocks and options via symbolic and numerical solutions of Monge–Ampère type pde's: Optimal Hedging Rules .University of Konstanz, Konstanz, Germany.
(08-2000. ) Optimal Options via Numerical Solutions of Monge–Ampère PDEs .Carnegie Mellon University, Pittsburgh, PA .
(07-2000. ) Optimal portfolios of stocks and options via numerical solutions of Monge–Ampère type pde's .Monte Carlo, Monaco.
(06-2000. ) Implied volatility for American options via optimal control of obstacle problems .Matematisches Forschunsinstitut Oberwolfach, Oberwolfach, Germany.
(05-2000. ) Implied volatility for European options via optimal control of pde's .Ohio University, Athens, Ohio.