Michael D. Marcozzi

Department of Mathematical Sciences

University of Nevada, Las Vegas

Las Vegas, Nevada, 89154-4020, USA

 

Office Phone:   (702) 895-0384

Fax:      (702) 895-4343

Office:   CDC 925

 

E-mail: marcozzi@unlv.nevada.edu

Center for Applied Mathematics & Statistics, Director

EDUCATION

  • Ph.D., Applied Mathematics, University of Delaware, 1994
  • M.S., Mechanical Engineering, University of Delaware, 1987
  • Diploma, Aerospace Engineering; Von Kŕrmŕn Inst. for Fluid Dynamics, Brussels, Belgium, 1985.
  • B.S., Mechanical Engineering, University of Delaware, 1984

PROFESSIONAL EXPERIENCE

  • Associate Professor, Department of Mathematical Sciences, University of Nevada, Las Vegas, 2004 – present
  • Assistant Professor, Department of Mathematical Sciences, University of Nevada, Las Vegas, 1998 - 2004
  • Visiting Assistant Professor, Department of Mathematical Sciences, University of Nevada, Las Vegas, 1997 - 1998
  • Term Assistant Professor, United States Military Academy; West Point, New York, 1994 - 1997.

RESEARCH INTERESTS

  • Control Theory
  • Mathematical Finance
  • Scientific Computing

TEACHING (Spring 2007)

  • Office Hours
    • TR 8:00am – 8:30am and 9:45 - 10:45am or by appointment
  • Classes
    • MAT 723 001 Ordinary Differential Equations
      • TR 8:30 - 9:45am
      • CBC-C120 

SELECTED PUBLICATIONS

  • M.D. Marcozzi, Extrapolation discontinuous Galerkin method for ultraparabolic equations, J. Comput. Appl. Math., 224 (2009), no. 2, 679 - 687.
  • M.D. Marcozzi, Stochastic optimal control of ultradiffusion processes with application to dynamic portfolio management, J. Comput. Appl. Math., 222 (2008), no. 1, 112 -127.
  • M.D. Marcozzi, On the approximation of infinite dimensional optimal stopping problems with application to mathematical finance, J. Sci. Comput.  34 (2008), no. 3, 287 - 307.
  • P. Kovalov, V. Linetsky, and M.D. Marcozzi, Pricing multi-asset American options: A finite element method-of-lines with smooth penalty, J. Sci. Comput. 33 (2007), no. 3, 209-237.
  • I. Sapariuc, M.D. Marcozzi, and J.E. Flaherty, A numerical analysis of variational techniques for derivative securities, Appl. Math. Comp., 159 (2004), no. 1, 171 - 198.
  • S. Choi and M.D. Marcozzi, On the application of MQ-RBF to the valuation of derivative securities, Comput. Model. Engr. Sci., 5 (2004), no. 3, 201-212. 
  • S. Choi and M.D. Marcozzi, The valuation of foreign currency options under stochastic interest rates, Comp. Math. Appl., 45 (2003), 741 - 749.
  • M.D. Marcozzi, On the approximation solvability of a class of strongly nonlinear elliptic problems on unbounded domains, Nonlinear Anal., 52 (2003), no. 2, 467 – 484.
  • M.D. Marcozzi, On the valuation of Asian options by variational methods, SIAM J. Sci. Comput., 24 (2003), no. 4, 1124 - 1140.
  • S. Choi and M.D. Marcozzi, A numerical approach to American currency option valuation, J. Derivatives, 9 (2001) no. 2, 19-29.
  • M.D. Marcozzi, S. Choi, and C.S. Chen, On the question of boundary conditions for variational formulations arising in mathematical finance, Appl. Math. Comp., 124 (2001), no. 2, 197-214.
  • M.D. Marcozzi, On the approximation of optimal stopping problems with applications to financial mathematics, SIAM J. Sci. Comput., 22 (2001), no. 5, 1865 - 1884.

GRANTS

  • First Fidelity Financial Services, “Interest Reduction Management System;” M.D. Marcozzi, $1,875, 5/28/07 - 8/8/07.
  • NSF Award No. DMI-0422985, “High-Performance Computational Methods for Continuous-time Markov Processes in Financial Engineering;” M.D. Marcozzi, $70,392, 2/15/05 - 2/30/08.
  • NSF Award No. DMS-0223374, “High-Performance Computational Methods for Continuous-time Markov Processes in Financial Engineering;” M.D. Marcozzi, $57,471, 9/15/02-2/7/05.
  • NSF Award National Partnership for Advanced Computational Infrastructure (NPACI), “Computational Methods in American Option Pricing,” M.D. Marcozzi, G. Miel, 1/00 - 12/00.

LINKS