• About Us
• Undergraduate Programs
• Graduate Programs
• Faculty & Staff
  • Administration
  • Department Advisory Board
• Research
• Resources
• News & Events
• About WPI
• Search
• Related Sites
  • Center for Industrial Mathematics & Statistics
  • Mathematical Problems in Industry (MPI)
• Administration
• Department Advisory Board

Faculty & Staff

Hasanjan Sayit

Assistant Professor

Faculty Listing
Office: Stratton Hall, 102
Phone: +1-508-831-6428
hs7@wpi.edu

Educational Background

• M.S./B.S, Xinjiang University, China, 1998
• M.S, Cornell University, 2004
• Ph.D, Cornell University, 2005

Research & Teaching Interests

Financial mathematics; Stochastic analysis, fractional Brownian motion and financial applications; Statistical inference for long range dependent and heavy tailed processes

Recent Publications

• (With Robert Jarrow and Philip Protter) "No Arbitrage Without Semimartingales," revision requested (Annals of Applied Probability).

• "No Arbitrage Under Transaction Costs And Stickiness," submitted.

• "Locally Sticky Processes: Arbitrage Under Transaction Costs." Preprint.

View detailed list

Maintained by webmaster@wpi.edu
Last modified: