Teaching

For official course descriptions, please see the UCSB Catalog.

Current (Spring 2008):

• 170

Previous quarters:

• Lower-division courses:
  1. 5E (Statistics for Economics and Business): Summer B 2006
• Upper-division courses:
  1. 120A (Calculus-based Probability): Winter 2006, Spring 2006, Fall 2006, Winter 2007 [Substitute instructor], Spring 2007 [Instructor], Summer B 2007 [Instructor], Fall 2007, Winter 2008
  2. 170 (Introduction to Mathematical Finance): Spring 2008
• Graduate courses:
  1. 210 (Measure Theory): Fall 2006
  2. 213A (Non-Measure-Theoretic Probability): Fall 2006
  3. 213B (Measure-Theoretic Probability): Winter 2006, Winter 2007
  4. 223A (Financial Modeling - Equity and Foreign Exchange Markets): Fall 2006, Fall 2007
  5. 223B (Financial Modeling - Fixed Income and Credit Markets): Winter 2007, Winter 2008

Seminar

I am the organizer for the Mathematical Finance Student Seminar, a weekly seminar where students interested in mathematical finance can interact, discuss papers, and present research.

Research

Most of my research focuses on credit derivatives, including: modeling, pricing, and developing numerical techniques.

Papers

• Modeling Correlated Defaults: First Passage Model under Stochastic Volatility, to appear in Journal of Computational Finance. With J.P. Fouque and X. Zhou. (PDF)

Contact Information

• Email: wignall@pstat.ucsb.edu
• Mailing address:
  Brian Wignall
  Department of Statistics and Applied Probability
  University of California
  Santa Barbara, CA 93106

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