Charles Tier, Ph.D.
Senior Lecturer of Applied Mathematics
Rettaliata Engineering Center, Room 212
Mondays, Wednesdays, Fridays 12:45 - 1:45 PM
or by appointment
Ph.D. in Applied Mathematics - Courant Institute at New York University
Asymptotic and singular perturbation methods, applied stochastic modelling, queueing theory, computational finance, mathematical biology.
- R. Jordan and C. Tier. Asymptotic Approximations for Pricing Derivatives under Mean-Reverting Processes. International Journal of Theoretical and Applied Finance (2016), Vol. 19, No. 5, 1650030.
- R. Jordan and C. Tier. Asymptotic Approximations to Deterministic and Stochastic Volatility Models. SIAM Journal on Financial Mathematics (2011), Vol. 2, No. 1, pp. 935–964.
- R. Jordan and C. Tier. The Variance Swap Contract under the CEV Process. International Journal of Theoretical and Applied Finance (2009), Vol. 12, No. 5, pp. 708–743.
- R. Jordan and C. Tier. Asymptotic Approximations in Financial Mathematics. Frontiers in Applied and Computational Mathematics (D. Blackmore, A. Bose and P. Petropoulis, eds.), Springer-Verlag, Berlin, 2008, pp. 248-255.
- D. I. Choi, C. Knessl, and C. Tier. A Dynamic Priority Queue Model for Simultaneous Service of Two Traffic Types. SIAM Journal of Applied Mathematics (2002), Vol. 62, No. 2, pp. 398-422,