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 Nicolas
Diener
Email: nd65  cornell.edu
Research Interests:
-Reflected Backward Stochastic Differential Equations: numerical techniques
for solving RBSDEs and application to pricing and hedging of Swing
Options.
-Residential Mortgage Back Securities: a new Intensity Model.
-Local Martingales, Asset Price Bubbles and Incomplete Market.
Office phone: 5-4195
Advisor: Philip
Protter
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