Dear Dr. Roger Lautzenheiser:
I wish that my article entitled, "Mathematical methods for
modelling price
fluctuations of financial time series" be considered for publication in
the Fall
2002 edition of your journal.
This work was done in the Summer 2001 REU program at Indiana
University Mathematics
Department. At that time (and currently), I was an undergraduate at
Princeton
University. Currently, I am a rising senior (in the fall 2002) at
Princeton University.
I am mainly interested in working on problems in applied
mathematics. During the
latter parts of my high school and initial parts of my undergraduate
years, I worked
on a problem in mathematical biology. I worked on studying the
information content
calculations for different types of DNA based sequences across all
three domains of
life. I have published a paper on this work in Physica D: Nonlinear
Phenomenon Journal
(http://www.elsevier.nl/PII/S0167278900001536). Currently, I am at Cornell
University
for an NSF REU in Dynamical Systems. I am working with Professor
Guckenheimer in
the mathematics
department here at Cornell. We are studying the forced van der Pol
equation as a starting point to explore dynamical systems with
multiple
time scales. I am studying the possibility of the existence of a
horseshoe map when one performs a certain mapping in the full system
3-D
system for the forced van der Pol equation.
I intend to go to graduate school in applied mathematics. I plan to
pursue
a Ph.D. in a problem in financial mathematics. I believe that there
are a lot of
possibilities of using methods in classical physics and mathematics
to attack
challenging problems in quantitative finance. I hope that I will be
given an
opportunity to work on this.
Professor Joseph Stampfli of Indiana University Mathematics
Department
who will be acting as the mathematician for my reference. I believe
that he
has already sent in his letter for this paper. You will find
attached a gzipped
tar file which has the original LaTeX file (financepaper.tex), along
with
accompanying figures (*.eps files) and a pdf, ps and dvi version of
the paper.
I hope that this paper will be accepted for publication in your
Fall 2002
issue. Please let me know by email if there is anything else that
you will be
needing.
Sincerely yours,
Sabyasachi Guharay
1) Saby was part of the Indiana Univ REU project i summer 2001.
I was his advisor on a project that looked at Math and Finance.
2) Saby is bright ,curious and hard working.The paper reflects all
these traits.
It makes some significant progess on a difficult problem and I
believe a wide
audience will find it interesting and provocative.It is well
written.
3) Saby did the work as an undergraduate.
4) Joseph Stampfli -Indiana Univ and Yeshiva Univ.
Sincerely - Joseph Stampfli