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Daniel N. Ostrov
Daniel N. Ostrov is a Professor of Mathematics and Computer Science at Santa Clara University. He holds a PhD in Applied Mathematics and a MS in Engineering from Brown University. His research area is Mathematical Finance, with an emphasis on using techniques from control theory and partial differential equations to analyze questions concerning optimal investment and personal finance. He has written articles on optimal investing in the presence of transaction costs and taxes, as well as valuing derivatives near expiration. He has also served as a consultant on derivative valuation and retirement savings.
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Articles by Daniel N. Ostrov
Efficient trading in taxable portfolios
This paper determines life-cycle trading strategies for portfolios subject to the US tax system.