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Wen Cheng

Graduate Assistant

Department of Mathematics,

Penn State University , University Park

Contact Information

Office: 009 McAllister Building
E-mail: cheng@math.psu.edu
office phone: (814)863-9672
webpage: http://www.math.psu.edu/cheng

Education

2003-2007, BS, Mathemetics, Nankai University
2007-present, PhD candidate, Applied Mathematics with minor in Computational Science, Penn State University

Research

Advisors: Victor Nistor AND Anna Mazzucato
Interest: Mathematical Finance, Numerical PDE, Analysis

Teaching

Fall 2009, Math 220 syllabus
Homework(REMEMBER: Homework due on every Thursday. No late homework.)
#1:Section 1.1: (REQUIRED) 3, 5, 7, 11, 15, 17, 19, 24.(OPTIONAL) 9,13,20, 21, 22,25,26, 29
#2:Section 1.2: (REQUIRED) 1,3, 5, 13,15,17,19,21 .(OPTIONAL) 2,7,9,11,22,23
#3:Section 1.3: (REQUIRED) 1,3,5,7,8,11,15,19. (OPTIONAL) 9,13,17,,22,23,24,25
.....Section 1.4: (REQUIRED) 1,3,5,7,9,13,17,19. (OPTIONAL) 11,15, 21,23,25,28
#4:Section 1.5: (REQUIRED) 1,3,5,7,11,13,15,29. (OPTIONAL) 13,17,19,21,23,30,31
.....Section 1.7: (REQUIRED) 1,3,5,7,9,13,17,19. (OPTIONAL) 11,15,16, 18,20,21
#5:Section 1.8: (REQUIRED) 1,3,5,7,9,13,17,19. (OPTIONAL) 11,15,21.31,32,33
.....Section 1.9: (REQUIRED) 1,3,5,7,9,15,17,21. (OPTIONAL) 11,13,.23,25,27,29,31
#6:Section 2.1: (REQUIRED) 1,2,3,5,7,9,10,17,19,23,27. (OPTIONAL) 11
#7:Section 2.2: (REQUIRED) 1,3,4,5,7,13,29,31,32,35. (OPTIONAL) NONE
#8:Section 2.3: (REQUIRED) 1,3,13,15,17,33 (OPTIONAL) 5,7,11,34
.....Section 2.8: (REQUIRED) 5,6,7,9,11,13,15,17,19 (OPTIONAL) 1,2,3,4,21,27
#9:Section 3.1: (REQUIRED) 1,3,5,7,9 (OPTIONAL) 11,13,14,15,17
.....Section 3.2: (REQUIRED) 1,5,7,11,15,21,31 (OPTIONAL) 3,9,13,23,25,27,36
#10:Section 5.1: (REQUIRED) 1,5,7,9,15,17 (OPTIONAL) 3,11,13,15,19,21
.......Section 5.2: (REQUIRED) 1,5,9,11,(OPTIONAL) 3,7,13,15,17
#11:Section 5.3: (REQUIRED) 1,3,5,7,9,11,13,15,17 (OPTIONAL) 19,21
.......Section 5.5: (REQUIRED) 1,5,7,9,11,13,14(OPTIONAL) 2,10,17

Preprints/In preparation

Closed form Asymptotics for Local Stochastic Volatility Models, with N. COSTANZINO, J. LIECHTY, A. MAZZUCATO, AND V. NISTOR, Preprint. [Download PDF]
Closed Form Asymptotic Formulas for Stochastic Volatility Models with Application to SABR and Heston, with R. Constantinescu, N. COSTANZINO, A. MAZZUCATO, AND V. NISTOR, In final preparation
Free Boundary Value Problems in American Option Pricing, This draft: July 15, 2009
Approximate Solutions to Second Order Parabolic Equations III, with N. COSTANZINO, A. MAZZUCATO, AND V. NISTOR, In preparation
Approximate Solutions to Second Order Parabolic Equations II: time dependent case, with A. MAZZUCATO, AND V. NISTOR, Preliminary version. [Download PDF]

Some notes

Fundamentals of pseudodifferential operators
Semigroup theory with applications in PDE
Interpolation of Sobolev spaces

These notes aim to help my understanding during my study of the above subjects. I am still working on these notes to add some details and my own understanding. If you are a grad and never touch these subjects before, and you want to get some general ideas, you will find these notes useful. However, quality is not guaranteed. These notes, I think, will eventually go to the prelimilary part of my thesis.

Codes for Option pricing

Matlab code for Heston download
Matlab code for American option under GBM download, also available here

Other Stuff

SIAM student seminar at Penn State
Finance Journal Rating
Seminar for math finance at Penn State
Math finance conferences blog

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webpage managed by Wen Cheng. last update 10-29-2009