Yu-Jui Huang's research is focused on Mathematical Finance and Applied Probability. It involves theories and techniques from stochastic analysis, stochastic control, optimal stopping, and viscosity solutions to fully nonlinear PDEs. Current projects involve quantifying intergenerational equity, financial planning involving healthcare spending, optimization under time-inconsistent behavior, modeling student loans, and online reinforcement learning in finance.
keywords
Mathematical Finance, Mathematical Economics, Stochastic Control, Optimal Stopping, Applied Probability
APPM 1360 - Calculus 2 for Engineers
Primary Instructor
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Fall 2019
Continuation of APPM 1350. Focuses on applications of the definite integral, methods of integration, improper integrals, Taylor's theorem, and infinite series. Degree credit not granted for this course and MATH 2300.
APPM 3170 - Discrete Applied Mathematics
Primary Instructor
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Spring 2020
Introduces students to ideas and techniques from discrete mathematics that are widely used in science and engineering. Mathematical definitions and proofs are emphasized. Topics include formal logic notation, proof methods; set theory, relations; induction, well-ordering; algorithms, growth of functions and complexity; integer congruences; basic and advanced counting techniques, recurrences and elementary graph theory. Other selected topics may also be covered.
APPM 4530 - Stochastic Analysis for Finance
Primary Instructor
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Fall 2018 / Fall 2019
Studies mathematical theories and techniques for modeling financial markets. Specific topics include the binomial model, risk neutral pricing, stochastic calculus, connection to partial differential equations and stochastic control theory. Same as APPM 5530, STAT 4230 and STAT 5230.
APPM 5530 - Stochastic Analysis for Finance
Primary Instructor
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Fall 2018 / Fall 2019
Studies mathematical theories and techniques for modeling financial markets. Specific topics include the binomial model, risk neutral pricing, stochastic calculus, connection to partial differential equations and stochastic control theory. Same as APPM 4530, STAT 4230 and STAT 5230.
APPM 7400 - Topics in Applied Mathematics
Primary Instructor
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Fall 2018 / Fall 2019
Provides a vehicle for the development and presentation of new topics with the potential of being incorporated into the core courses in applied mathematics. May be repeated up to 6 total credit hours.
