Arash Fahim's Faculty Page
Arash FahimAssociate Professor
Ph.D., Ecole Polytechnique, France, 2010
Arash Fahim earned his PhD in Applied Mathematics in 2010 at the Centre de Mathematiques Appliquees, Ecole polytechnique, France, under the direction of Nizar Touzi. Prior to joining FSU he held a postdoctoral position at the University of Michigan in Ann Arbor.
His thesis was on 'probabilistic numerical methods (Monte Carlo) for nonlinear partial differential equations with applications to finance'. The main goal of this research is to obtain faster and more accurate algorithms for financial risk pricing and hedging in the Markovian framework, especially in the presence of several risk sources. Arash has also done research in homogenization of linear random PDEs, robust finance, financial economics, and optimal execution of large market orders.
Arash has graduated two PhD students, Wan-Yu Tsai (2017) and Hua-Yi Lin (2018) and currently has a PhD student Kangwei Xing (projected to graduate on Fall 2019). Wan-Yu worked on a Monte Carlo algorithm for singular control problems such as the optimal investment-consumption under proportional transaction cost. Hua-Yi finish his dissertation on the optimal execution problem with time-varying liquidity constraints. Kangwei is now summarizing his findings on the theoretical aspects of robust hedging under liquidity constraints in to his thesis.
Partial Differential Equations