Yan Zeng

Yan Zeng,
Graduate student

Department of Mathematics
Cornell University
Ithaca, NY 14853
Phone: (607) 255 8664
Fax: (607) 255 7149
Email: yanzeng@math.cornell.edu

Welcome.

I am a graduate student in the Math Department at Cornell Universiy.

Curriculum Vitae

Education

Ph.D. (expected 2005) Department of Mathematics, Cornell University.
Thesis: Compensators of Stopping Times
Advisor: Philip Protter

B.S. (1999) Department of Mathematics, Peking University, P. R. China.

Research

My area of research is in the theory of stochastic processes and its applications. In particular, I'm interested in problems arising from mathematical theory of finance. My thesis work studies compensators of stopping times under various filtrations, and its application to the credit risk theory of finance.

1. Information Reduction in Credit Risk Models (with X. Guo and R. Jarrow), submitted.

2. Modelling the Recovery Rate in a Reduced Form Model (with X. Guo, R. Jarrow), in preparation.

Teaching

Teaching Statement

Math 418 Function Theory (Spring 03, Archive)
Math 321 Manifolds and Differential Forms (II) (Fall 02, Archive)
Math 418 Function Theory (Spring 01, Archive)