Harris & Harris Group Professor
Director, Laboratory for Financial Engineering
(LFE)
| Email: | alo@mit.edu | |
| Telephone: | (617) 253-0920 | |
| Facsimile: | (617) 863-9695 | |
| Mailing Address: |
MIT Sloan School 50 Memorial Drive, E52-454 Cambridge, MA 02142-1347 |
| RECENT RESEARCH PAPERS: |
Optimal Control of Execultion Costs, with Dimitris Bertsimas
[abstract ] |
| Nonparametric Estimation of State-Price Densities Implicit
in Financial Asset Prices, with Yacine Ait-Sahalia
[abstract ] |
| Trading Volume: Definitions, Data Analysis, and Implications
of Portfolio Theory, with Jiang Wang
[abstract ] |
| Pricing and Hedging Derivative Securities in Incomplete
Markets: An Epsilon-Arbitrage Approach, with Dimitris Bertsimas and
Leonid Kogan
[abstract ] |
| When Is Time Continuous?, with Dimitris Bertsimas and
Leonid Kogan
[abstract ] |
| Nonparametric Risk Management and Implied Risk Aversion
[abstract ] |