Stratton Hall, 102
- Assistant Professor, Mathematical Sciences
The financial mathematics program at WPI is rigorous and quantitatively focused. We train our students with strong quantitative skills. We also lead them to accomplish real-world projects as applications of the theory that they learn in lectures. I enjoy teaching in this project-based environment and getting our students involved with both theory and applications in mathematical finance.
My research is the study of arbitrage and hedging problems in frictionless markets, which has attracted more and more attention in recent years. Although the literature on models with friction is rapidly growing, arbitrage theory for markets with frictions still needs further research.
- Arbitrage theory in markets with friction
- Stochastic optimization problems in finance
- Optimal stopping and free boundary problems
- Fractional Brownian motion and applications in finance
- Statistical inference on stochastic processes
- BS/MS, Xinjiang University, China, 1998
- PhD, Cornell University, 2005
- H. Sayit. Absence of Arbitrage in a General Framework, Accepted to Annals of Finance.
- H. Sayit and F.Viens. Arbitrage-free models in markets with transaction costs. Electronic Communications in probability, (2011), 16, pp. 614-622.
- E. Bayraktar and H. Sayit. No arbitrage conditions for simple trading strategies. Annals of Finance, (2010), 6(1), pp. 147-156.
- E.Bayraktar and H. Sayit. On the stickiness property. Quantitative Finance, (2010), 10(10), pp. 1109-1112.
- R. Jarrow, P. Protter, and H. Sayit. No arbitrage without semimartingales, The Annals of Applied Probability, (2009), 19(2), 596-616.