Adam P. Tashman, PhD

Transcription

1 Adam P. Tashman, PhD South Hall 5517 Department of Statistics and Applied Probability University of California, Santa Barbara Santa Barbara, CA Citizenship: USA Date of Birth: January 2, 1977 Education PhD - Applied Mathematics and Statistics, 2006 Dissertation Title: Modeling Risk in Arbitrage Strategies Using Finite Mixtures Dissertation Advisor: Robert J. Frey MS - Applied Mathematics and Statistics, 2004 Columbia University MA - Mathematics with Specialization in Mathematics of Finance, 2000 University of Virginia BA - Mathematics, 1999 Positions : Visiting Assistant, Statistics and Applied Probability Department (PSTAT), Center for Research in Financial Mathematics and Statistics (CRFMS), UC Santa Barbara : Postdoctoral Scholar, PSTAT, CRFMS, UC Santa Barbara present: Statistical Consultant, Renal Research Institute, New York, NY : Assistant Vice President, Risk Management and Quantitative Research, Ivy Asset Management, New York, NY. 2005, Summer: Lecturer for Educational Opportunities Program (EOP), Mathematics Department, Suffolk County Community College (SCCC), Selden, NY : Adjunct instructor, Mathematics Department, SCCC, Selden & Brentwood, NY. 2004, Summer: Intern, Citigroup Asset Management, Stamford, CT : Mathematics and science teacher, Intermediate School 230, Jackson Heights, NY. 2002: Financial Engineer, Patriarch Partners, New York, NY : Research Analyst, Merrill Lynch, High Yield Strategy, New York, NY. 1

2 Honors and Awards Recipient of Travel Grant for 11th International Conference on Dialysis, Las Vegas, NV. Winter Recipient of Travel Grant for NSF/CBMS Conference on Convex Duality Methods in Mathematical Finance, Santa Barbara, CA. Summer Recipient of Travel Grant for ICIAM Conference, Zurich, Summer Outstanding Student Teacher Award, AMS Dept., Stony Brook, Spring Outstanding Student Teacher Award, AMS Dept., Stony Brook, Fall Outstanding Student Teacher Award, AMS Dept., Stony Brook, Spring Outstanding Student Teacher Award, AMS Dept., Stony Brook, Fall Outstanding Student Teacher Award, AMS Dept., Stony Brook, Spring Outstanding Student Teacher Award, AMS Dept., Stony Brook, Fall GAANN fellowship, VIGRE fellowship, Pi Mu Epsilon National Mathematics Honor Society, Paul B. Barringer Scholarship for undergraduate academic excellence, Refereed Publications Fouque, J.-P., Tashman A. Option Pricing Under a Stressed-Beta Model. Accepted by Annals of Finance. Tashman A., Frey R. J. (2009). Modeling Risk in Arbitrage Strategies Using Finite Mixtures. Quantitative Finance, 9(5), p Kotanko P., Thijssen S., Usvyat L., Tashman A., Kruse A., Huber C., Levin N. W. (2009). Temporal Evolution of Clinical Parameters Before Death in Dialysis Patients: a New Concept. Blood Purif, 27(1), p Yang Y., Tashman A. P., Lee J., Yoon S., Mao W., Ahn K., Kim W., Mendell N., Gordon D., Finch S. (2007). Mixture Modeling of Microarray Gene Expression Data. BMC Proceedings, 1 (Suppl 1):S50. Non-Refereed Publications Tashman A. (2005). Survey of Probability and Statistics. National Archive Publishing Company. Ann Arbor, MI. Submitted Papers Tashman A. A Regime-Switching Approach to Model-Based Stress Testing. Tashman A. Dynamic Risk Management of a Hedge Fund in a Regime-Switching Environment. Working Papers Tashman A., Gordon D., Mendell N.R., Chen P., Bierut L., Johnson E.O., Breslau N., Hatsukami D., Saccone N., Finch S.J. Testing Homogeneity in the Time to Onset of Regular Smoking. 2

3 Presentations and Invited Lectures Invited speaker at Third Western Conference in Mathematical Finance. Santa Barbara, CA. November Invited speaker at CRFMS Seminar. UC Santa Barbara. October Invited speaker at Quantitative Finance Seminar Series.. Stony Brook, NY. April Research presented at 11th International Conference on Dialysis. Temporal Evolution of Clinical Parameters Before Death in Dialysis Patients: a New Concept. Kotanko P., Thijssen S., Usvyat L., Tashman A., Kruse A., Huber C., Levin N. W. Advances in CKD Las Vegas, NV. January Research presented at XIXth Danube Symposium of Nephrology. Ominous Signs 52 Weeks Prior to Death: Evolution of Systolic Pressure, Serum Albumin, and Body Weight in Hemodialysis Patients. Kotanko P., Usvyat L., Thijssen S., Tashman A., Levin N. W. Krems, Austria. August Invited speaker at the Renal Research Institute. Workshop on Longitudinal Data Analysis and Linear Mixed Effects Models. New York, NY. July Invited speaker at CRFMS Seminar. UC Santa Barbara. March Poster presentation at International Congress of Industrial and Applied Mathematics (ICIAM 07). Modeling Risk in Arbitrage Strategies Using Finite Mixtures. Tashman, A. Zurich, Switzerland. July Invited speaker at the Mathematics of Finance Program Practitioner s Conference. Columbia University. New York, NY. June Poster presentation at Eleventh Laurence Baxter Memorial Symposium. Mixture Modeling of Microarray Gene Expression Data. Yang Y., Tashman A., Lee J. Y., Yoon S., Mao W., Ahn K., Kim W., Mendell N. R., Gordon D., Finch S. J. Stony Brook, NY. May Poster presentation at Eleventh Laurence Baxter Memorial Symposium. Restricted Linear Mixture Regression Models and their Application Studies. Yang Z., Tashman A., Finch S. J., Mendell N. R. Stony Brook, NY. May Invited speaker at the Mathematics of Finance Program Practitioner s Seminar. Columbia University. New York, NY. May Poster presentation at Genetic Analysis Workshop 15. Mixture Modeling of Microarray Gene Expression Data. Yang Y., Tashman A., Lee J., Yoon S., Mao W., Ahn K., Kim W., Mendell N., Gordon D., Finch S. J. St. Pete s Beach, FL. November Poster presentation at Tenth Lawrence Baxter Memorial Symposium. Testing Homogeneity of Onset of Regular Smoking to First Exposure and Ethnicity. Tashman A., Finch S. J., Gordon D., Chase G., Yang Z., Lee J., Mendell N., Bierut L., Johnson E., Breslau N., NY. May Teaching PSTAT 5E: Statistics With Economics And Business Applications, UC Santa Barbara, Fall PSTAT 170: Introduction to Mathematical Finance, UC Santa Barbara, Spring PSTAT 171: Mathematics of Fixed Income Markets, UC Santa Barbara, Fall

4 AMS 310: Survey of Probability and Statistics, Stony Brook, Spring AMS 310: Survey of Probability and Statistics, Stony Brook, Fall AMS 310: Survey of Probability and Statistics, Stony Brook, Summer AMS 310: Survey of Probability and Statistics, Stony Brook, Spring AMS 310: Survey of Probability and Statistics, Stony Brook, Fall AMS 102: Elements of Statistics, Stony Brook, Summer AMS 310: Survey of Probability and Statistics, Stony Brook, Spring AMS 102: Elements of Statistics, Stony Brook, Fall Service Referee, Quantitative Finance. Directed Undergraduate Honors Projects Directing Member of Honors Section for PSTAT 5E, UC Santa Barbara, Fall Adi Dror, UC Santa Barbara, Fall 2008 (PSTAT 171), Spring 2009 (PSTAT 170). Lisa Griffin, UC Santa Barbara, Fall 2008 (PSTAT 171). Michelle Hilberry, UC Santa Barbara, Fall 2008 (PSTAT 171). Professional Memberships American Statistical Association (2006- ) Society for Industrial and Applied Mathematics (2006- ) Programming/Database Skills C, C++, C#.NET, L A TEX, Maple, Mathematica, Matlab, R, SAS, SAS/IML, SPSS, Visual Basic, MS SQL Server, MS Access References Stephen J. Finch, PhD Phone: (631) finch@notes.cc.sunysb.edu 4

5 Jean-Pierre Fouque, PhD Director of Center for Research in Financial Mathematics and Statistics University of California, Santa Barbara Department of Statistics and Applied Probability Santa Barbara, CA Phone: (805) Robert J. Frey, PhD Research Phone: (631) Nancy R. Mendell, PhD Phone: (631) Alan Tucker, PhD Distinguished Teaching Phone: (631)