# Norman Josephy

Associate Professor, Mathematical SciencesPh.D., Univ of Wisconsin-Madison, 1979

Office: Morison Hall 333 | 781.891. 2223 | njosephy@bentley.edu

Department Phone: 781.891. 2702

### Bio

Research and teaching interests include probability theory and discrete options pricing models. Recent publications have appeared in Quantitative Finance and the International Journal of Theoretical and Applied Finance

### Teaching Interests

Mathematics of Options Pricing; Mathematical Finance; Numerical Methods; Linear Algebra

### Research Interests

Financial asset valuations in incomplete markets

### Consulting/Practice Interests

Mathematical Software Usage; Mathematical Model Building in R

### Publications

**Journal Article(s)**

Kimball, L., Josephy, N., Steblovskaya, V. (2017). On The Numerical Aspects Of Optimal Option Hedging With Transaction Costs. *International Journal of Theoretical and Applied Finance**, 20* (1), 1750002 (22 pages).
(link)

Steblovskaya, V. R., Josephy, N. H., Kimball, L. M. (2015). Optimal Hedging in an Extended Binomial Market under Transaction Costs. *Quantitative Finance**, 16* (5, May 2016), 763-776.

Woolford, S. W., Josephy, N. H. (2013). A note on the asymptotic behavior of a nonlinear system of stochastic difference equations. *Advances and Applications in Statistics**, 33* (1), 23-35.

Josephy, N. H., Kimball, L. M., Steblovskaya, V. R. (2013). Alternative Hedging in a Discrete Time Incomplete Market. *Journal of Risk*.

Josephy, N. H., Predescu, M., Woolford, S. W. (2011). A note on the global behavior of a nonlinear system of difference equations. *Australian Journal of Mathematical Analysis and Applications**, 8* (1), 1-19.

Josephy, N. H., Kimball, L. M., Steblovskaya, V. R. (2011). Optimal Hedging and Pricing of Equity-Linked Life Insurance Products in a Discrete Time Incomplete Market. *Journal of Probability and Statistics**, 2011*, 23 pages.
(link)

Josephy, N. H., Predescu, M., Woolford, S. W. (2011). Parameter Estimation in a System of Stochastic Difference Equations. *Advances and Applications in Statistics**, 24* (1), 49-66.

Josephy, N. H., Kimball, L. M., Steblovskaya, V. R. (2008). Optimal Hedging of Path Dependent Options in a Discrete Time Incomplete Market. *Communications on Stochastic Analysis**, 2* (3), 385-404.

Josephy, N. H., Kimball, L. M., Steblovskaya, V. R. (2008). A Time-Series Approach to Non-Self-Financing Hedging in a Discrete-Time Incomplete Market. *Journal of Applied Mathematics and Stochastic Analysis**, 2008*.
(link)

Josephy, N. H., Kimball, L. M., Steblovskaya, V. R., Nagaev, A., Pasniewski, M. (2007). An algorithmic approach to non-self-financinghedging in a discrete-time incomplete market. *Discrete Mathematics and Applications**, 17* (2), 189-207.

Josephy, N. H., Kunsch, H., Aczel, A. (1993). Bootstrap estimates of the sample bivariate autocorrelation and partial autocorrelation distribution. *Journal of Statistical Computation and Simulation**, 46*, 235-249.

Josephy, N. H., Aczel, A. (1993). A statistical optimal estimator of semivariance. *European Journal of Operations Research**, 67*, 267-271.

Roth, E. J., Josephy, N. H. (1993). A Relaxation Time Heuristic for Exponential-Erlang Queueing Systems. *Computers & Operations Research**, 20*, 293-301.

Josephy, N. H., Aczel, A. (1992). Using the bootstrap for improved ARIMA model identification. *Journal of Forcasting**, 11*, 71-80.

Josephy, N. H., Aczel, A. (1990). A note on the journal selection problem. *ZOR-Methods and Models in Operations Research**, 34*, 469-476.

### Conference Presentations

Steblovskaya,
V.
R., Kimball,
L.
M., Josephy,
N.
H. (2018).
"Optimal Hedging in an Extended Binomial Market with Transaction Costs."
Presented at the
Monash University Business School, Australia's
*The 4th Symposium on Quantitative Finance and Risk Analysis (QFRA 2018)*,
Mykonos, Greece.

Steblovskaya,
V.
R., Kimball,
L.
M., Josephy,
N.
H. (2018).
"Optimal Hedging in an Extended Binomial Market with Transaction Costs."
Presented at the
Cardiff University 's
*Research seminar at the Mathematics Department of Cardiff University*,
Cardiff, Wales, UK.

Steblovskaya,
V.
R., Josephy,
N.
H., Kimball,
L.
M. (2013).
"Optimal Hedging under Proportional Transaction Costs."
Presented at the
American Mathematical Society's
* AMS Eastern Sectional Meeting, special section on Financial Mathematics*,
Boston College, Chestnut Hill, MA.

Josephy,
N.
H., Kimball,
L.
M., Steblovskaya,
V.
R. (2006).
"Risk Management in Incomplete Markets."
Presented at the
*Hawaii International Conference on Statistics, Mathematics and Related Fields*,
Honolulu, Hawaii.

Kimball,
L.
M., Josephy,
N.
H., Steblovskaya,
V.
R. (2006).
"Optimal Hedging in Incomplete Markets."
Presented at the
*SIAM Conference on Financial Mathematics and Engineering*,
Boston, MA.

### Service

**Department Service**

Committee Member for P&T, 1992 - Present