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Profile

College / Department

College of Arts and Sciences
Department of Mathematics and Statistics

Teaching areas

Calculus, Mathematics for Business and Actuarial Science

Research areas

Computational finance and applications, Numericalmethods applied to derivative pricing, Empirical performance of option pricing models and Nonparametric modeling

Education

BSc, University of British Columbia, Canada, 2000
MSc, University of British Columbia, Canada, 2002
PhD, University of Calgary, Canada, 2009

Professional experience

May 2006 – Aug 2006 Quantitative Analyst / Intern - Genus Capital Management•Designed quantitative equity trading strategies and evaluated their performance•Implemented Genetic Algorithm Optimization Method in MATLAB programming language
Sep 2009 – CurrentAssistant Professor, American University of Sharjah

Contact

gorosi@aus.edu
+971 6 515 2332

Dr. Gergely (Greg) Orosi

Associate Professor
PhD in Mathematical Finance, University of Calgary, Canada

Greg Orosi's areas of research include computational finance, numerical methods applied to derivative pricing, empirical performance of option pricing models and nonparametric modeling. His research has been published in leading journals such as the Journal of Derivatives and Journal of Futures Markets. He is also a regular presenter at international conferences such as the Bachelier Finance Society World and the Quantitative Methods in Finance in Sydney, Australia.

Publications

Orosi, Gergely. "The Arithmetico-geometric Sequence: An Application of Linear Algebra." International Journal of Mathematical Education in Science and Technology 47, no. 5 (2016): 766-772.
Orosi, Gergely. "Estimating Option-Implied Risk-Neutral Densities: A Novel Parametric Approach." The Journal of Derivatives 23, no. 1 (2015): 41-61.
Orosi, Gergely. "Arbitrage-Free Call Option Surface Construction Using Regression Splines." Applied Stochastic Models in Business and Industry 31, no. 4 (2015): 515-527. doi: 10.1002/asmb.2045. url: http://onlinelibrary.wiley.com/doi/10.1002/asmb.2045/abstract.
Orosi, Gergely. "Closed-Form Interpolation-Based Formulas for European Call Options Written on Defaultable Assets." Journal of Asset Management 16, no. 4 (2015): 236-242. doi: DOI: 10.1057/jam.2015.1.
Orosi, Gergely. "International Journal of Mathematical Education in Science and Technology." A Simple Derivation of Risk-Neutral Probability in the Binomial Option Pricing Model 46, no. 1 (2015): 142-147. doi: 10.1080/0020739X.2014.936979. url: http://www.tandfonline.com/doi/abs/10.1080/0020739X.2014.936979#.VGnjNSKiOas.
Orosi, Gergely. "Novel No-Arbitrage Conditions for Options Written on Defaultable Assets." Journal of Derivatives & Hedge Funds 20, no. 4 (2014): 201-205.in Science and Technology 47, no. 5 (2016): 766-772.
Orosi, Gergely. "Improved lower bounds of call options written on defaultable assets." Journal of Derivatives & Hedge Funds 20, no. 3 (2014): 127-130.
Orosi, Gergely. "Generalized Tikhonov Regularization of Thin-Plate Splines." ICIC Express Letters 7, no. 12 (2013):
Orosi, Gergely. "Empirical Performance of a Spline-Based Implied Volatility Surface." Journal of Derivatives and Hedge Funds 18 (2012): 361–376. [Comment: ISSN# 1753-9641. ]
Orosi, Gergely. "Evaluating the Performance of Structural Option Pricing Models." Mathematical Modelling and Applied Computing (MMAC) 3, no. 1 (2012): 1-9. [Comment: ISSN# 0973-6093. ]
Orosi, Gergely. "A Multi-Parameter Extension of Figlewski’s Option Pricing Formula." Journal of Derivatives 1, no. 1 (2011): 72-82.
Orosi, Gergely. "Improved Implementation of Local Volatility and its Application to S&P500 Index Options." Journal of Derivatives 17, no. 3 (2010): 53-64.
Orosi, Gergely. "Empirical Performance of Option Pricing Models with Stochastic Local Volatility." Mathematical Modelling and Applied Computing (MMAC) 1, no. 1 (2010): 49-64. [Comment: ISSN# 0973-6093. ]

Conference Presentations

Orosi, Gergely. "A Simple Implementation of Ross?s Recovery Theorem." Paper presented at the 9th World Congress of the Bachelier Finance Society, New York, July 16-20, 2016.
Orosi, Gergely. "Equity Option Implied Probability of Default and Equity Recovery Rate." Paper presented at the The Quantitative Methods in Finance - Conference in Sydney, Australia (2015), December 13-16, 2015.
Orosi, Gergely. "Estimating Option Implied Risk Neutral Densities: A Novel Parametric Approach." Paper presented at the Second International Conference on Mathematics and Statistics (AUS-ICMS '15), Sharjah, UAE, April 2-5, 2015.
Orosi, Gergely. "Estimating Option Implied Risk Neutral Densities: A Novel Parametric Approach." Paper presented at the 8th World Congress of the Bachelier Finance Society, Brussels, Belgium (2014), June 2-6, 2014.
Orosi, Gergely. "Arbitrage-Free Call Option Surface Construction Using Regression Splines." Paper presented at the Computing in Economics and Finance, 19th International Conference, June 3, 2013.
Orosi, Gergely. "A Multi-Parameter Extension of Figlewski?s Option Pricing Formula." Paper presented at the The Quantitative Methods in Finance - Conference in Sydney, Australia (2011), December 3, 2011.
Orosi, Gergely. "An Extension of Figlewski.s Option Pricing Formula." In Proceedings of the International Conference on Mathematical Finance and Economics (ICMFE 2011).
Orosi, Gergely. "Empirical Performance of a Spline-Based Representation of the Implied Volatility Surface." Paper presented at the Seventh International Conference on Applied Financial Economics, Samos, Greece, July 3, 2010.
Orosi, Gergely. "Calibration of Implied Volatility Surface Using Tikhonov Regularization." In 2010 Second International Conference on Engineering Systems Management and Its Applications (ICESMA).
Orosi, Gergely. "Empirical Performance of a Spline Based Representation of the Implied Volatility Surface." Paper presented at the The Quantitative Methods in Finance - Conference in Sydney, Australia, December 4, 2008.

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