Nikolaos Halidias
Department of Statistics and Actuarial-Financial Mathematics
Karlovassi, Samos, 83 200,
Greece
e-mail: nick@aegean.gr
phone: +30 22730 82321
Teaching Courses
Stochastic Processes, Financial Mathematics.
Research Interests
My research interests are in the field of ''Stochastic Differential Equations and applications'' and ''Computational Finance''. My recent work are the following papers,
1. N. Halidias, Semi-discrete approximations for stochastic differential equations and applications, Int. J. Computer Mathematics, Vol. 89, 6, (2012)
2. N. Halidias, A novel approach to construct numerical methods for stochastic differential equations, Numerical Algorithms, Springer, (6), 79-87, (2014).
3. N. Halidias, Construction of positivity preserving numerical schemes for multidimensional stochastic differential equations, Discrete and Continuous Dynamical Systems, Series B, 20, 153-160, (2015)
4. N. Halidias-I. Stamatiou, On the numerical solution of some nonlinear stochastic differential equations using the semi discrete method, Computational Methods in Applied Mathematics, 16(1):105–132, (2016)
5. N. Halidias, A new numerical scheme for the CIR process, Monte Carlo Methods and Applications, 21, Issue 3, pp. 245-253, (2015)
6. N. Halidias, Constructing positivity preserving numerical schemes for the two factor CIR model, Monte Carlo Methods and Applications, 21(4):313–323, (2015)
7. N. Halidias, An explicit and positivity preserving numerical scheme for the mean reverting CEV model, Japan Journal of Industrial and Applied Mathematics, Springer, 32, 545-552, (2015)
8. N. Halidias-I. Stamatiou, Approximating explicitly the mean-reverting CEV process, Journal of Probability and Statistics, 20 pages, (2015)
9. N. Halidias, An elementary approach to the option pricing problem, arXiv:1510.05875
10. N. Halidias, On construction of boundary preserving numerical schemes,arXiv:1601.07864
PhD Student: Σταματίου Ιωάννης
Member of Editorial Board
Pioneer Journal of Theoretical and Applied Statistics
BIOINFO Computational Mathematics
Books
Stochastic Differential Equations
Last update
15/09/2013