Ph.D. Job Placement

Graduating Year: 2015

  • Name: Yao, Jiawei
    Advisor(s): Fan
    Thesis Title: Factor Models; Testing and Forecasting
    First Position Title: Quantitative Researcher
    Employer: Citadel LLC
  • Name: Xia, Lu
    Advisor(s): Fan/Rigollet
    Thesis Title: Statistical Methods for Complex Datasets
    First Position Title: Stein Fellow/Lecturer
    Employer: Stanford University
  • Name: Sepin, Tardu
    Advisor(s): Cheridito
    Thesis Title: Studies on Optimal Trade Execution
    First Position Title: Credit Derivatives Quant
    Employer: Bank of America Merrill Lynch
  • Name: Furger, Alexander
    Advisor(s): Fan
    Thesis Title: High Frequency Asset Factor Models: Application to Covariance Estimation and Risk Management
    First Position Title: Trade Logic Developer
    Employer: Transmarket Group in Chicago, IL
  • Name: Ararat, Cagin
    Advisor(s): Rudloff
    Thesis Title: On Set-Valued Functionals: Multivariate Risk Measures and Aumann Integrals
    First Position Title: Assistant Professor
    Employer: Bilkent University
  • Name: Lacker, Daniel
    Advisor(s): Carmona
    Thesis Title: Stochastic Differential Mean Field Game Theory
    First Position Title: NSF Postdoctoral Fellow
    Employer: Division of Applied Mathematics at Brown University
  • Name: Ulus, Firdevs
    Advisor(s): Rudloff
    Thesis Title: Algorithms for Vector Optimization Problems
    First Position Title: Assistant Professor
    Employer: Bilkent University

Graduating Year: 2014

  • Name: Ma, Yi
    Advisor(s): Carmona
    Thesis Title: Implied Volatility Surface Simulation with Tangent Levy Models
    First Position Title: Senior Investment Manager
    Employer: Baidu
  • Name: Shi, Xiaofeng
    Advisor(s): Fan
    Thesis Title: Large Portfolios Risks and High-Dimensional Factor Models
    First Position Title: Investment Associate
    Employer: Vertex Venture Management, Temasek Group
  • Name: Feinstein, Zachary
    Advisor(s): Rudloff
    Thesis Title: Set-Valued Risk Measures
    First Position Title: Assistant Professor
    Employer: Washington University, St. Louis
  • Name: Mehta, Chintan
    Advisor(s): Fan/Hallin
    Thesis Title: Rank Based Inference for Independent Component Analysis
    First Position Title: Post Doc
    Employer: Yale University
  • Name: Wan, Ke
    Advisor(s): Kornhauser
    Thesis Title: Estimation of Travel Time Distribution and Travel Time Derivatives
    First Position Title: Quantitative Associate
    Employer: JP Morgan
  • Name: Ke, Zheng
    Advisor(s): Fan
    Thesis Title: Inference on Large-Scale Structures
    First Position Title: Assistant Professor
    Employer: University of Chicago, Department of Statistics
  • Name: Mincheva, Martina
    Advisor(s): Fan
    Thesis Title: High-Dimensional Structured Covariance Matrix Estimation with Financial Applications
    First Position Title: Assistant Professor
    Employer: Temple Business School
  • Name: Berthet, Quentin
    Advisor(s): Rigollet
    Thesis Title: Statistical and Computational Tradeoffs in High-dimensional Problems
    First Position Title: Lecturer
    Employer: University of Cambridge
  • Name: Webster, Kevin
    Advisor(s): Carmona
    Thesis Title: The Thermodynamics of High Frequency Markets
    First Position Title: Research Associate
    Employer: Deutsche Bank
  • Name: Luo, Haifeng
    Advisor(s): Carmona
    Thesis Title: Optimal Execution in a Limit Order Book: A Stochastic Control Approach
    First Position Title: Associate
    Employer: Bank of America Merrill Lynch
  • Name: Rebeschini, Patrick
    Advisor(s): van Handel
    Thesis Title: Nonlinear Filtering in High Dimension
    First Position Title: Post-Doc
    Employer: Yale University
  • Name: Dai, Wei
    Advisor(s): Fan
    Thesis Title: Statistical Methods in Finance
    First Position Title: Research Associate
    Employer: Dimensional Fund Advisors

Graduating Year: 2013

  • Name: Reus, Lorenzo
    Advisor(s): Mulvey
    Thesis Title: Robust Portfolio Optimization with Applications in Currencies and Private Equity
  • Name: Barut, Ahmet Emre
    Advisor(s): Fan
    Thesis Title: Variable Selection and Prediction in High Dimensional Problems
    First Position Title: Post Doc
    Employer: IBM Research
  • Name: Tong, Xin (Thomson)
    Advisor(s): van Handel
    Thesis Title: Filter Stability in Infinite Dimensional Systems
    First Position Title: Post Doc
    Employer: Courant Institute for Mathematical Sciences (NYU)
  • Name: Li, Tianhui
    Advisor(s): Carmona
    Thesis Title: Dynamic Programming and Trade Execution
    First Position Title: Data Scientist
    Employer: Foursquare
  • Name: Pender, Jamol
    Advisor(s): Massey
    Thesis Title: Dynamic Rate Queues: Estimation, Statbilization, and Control
    First Position Title: Post Doc
    Employer: Columbia IEOR

Graduating Year: 2012

  • Name: Kim, Jae Ho
    Advisor(s): Powell
    Thesis Title: Pricing and Trading in Energy Markets
    First Position Title: Analyst
    Employer: Hedge fund
  • Name: Scott, Warren
    Advisor(s): Powell
    Thesis Title: Energy Storage Application of the Knowledge Gradient for Calibrating Continuous Parameters, Approximate Policy Iteration using Bellman Error Minimization with Instrumental Variables, Covariance Matrix Estimation using an Error-in-Variables Factor Model
    First Position Title: Post Doc Researcher
    Employer: Energy trading (self employed)
  • Name: Choi, Edmond
    Advisor(s): Sircar
    Thesis Title: An Estimation of the Systematic Risks in the Multi-Name Credit and Equity Markets
    First Position Title: Sr. Quantitative Analyst
    Employer: TD Securities
  • Name: Stein, Michael
    Advisor(s): Sircar
    First Position Title: Associate Consultant
    Employer: Dean Ventures
  • Name: Gu, Weijie
    Advisor(s): Fan
    Thesis Title: Estimating False Discovery Proportion Under Covariance Dependence
    First Position Title: Associate
    Employer: Barclays Capital
  • Name: Tong, Xin
    Advisor(s): Fan/Rigollet
    Thesis Title: Learning with Asymmetry, High Dimension and Social Networks
    First Position Title: Statistics Instructor
    Employer: MIT, Department of Mathematics

Graduating Year: 2011

  • Name: Sun, YouHong
    Advisor(s): Carmona
    Thesis Title: Spread Options, Implied Correlation and Local Correlation
    First Position Title: Quantitative Research Associate
    Employer: Goldman Sachs
  • Name: Klyman, Jared
    Advisor(s): Cheridito
    Thesis Title: Systemic Risk Measures: DistVaR and Other "Too Big to Fail" Risk Measures
    First Position Title: Associate, Asset Management
    Employer: Goldman Sachs
  • Name: Prajogo, Astrid
    Advisor(s): Mulvey
    Thesis Title: Analyzing Patterns in the Equity Market: ETF Investor Sentiment and Corporate Cash Holding
    First Position Title: Manager
    Employer: Ernst & Young
  • Name: Wugalter, Alexander
    Advisor(s): Cheridito
    Thesis Title: Pricing and Hedging in Affine Models with Possibility of Default and Characteruistic Functions of Log Stock Prices
    First Position Title: Associate Sales Trading
    Employer: Citigroup
  • Name: Krishnamurthy, Vijay
    Advisor(s): d'Aspremont
    Thesis Title: Convex Optimization with Applications in Sparse Multivariate Statistics
    First Position Title: Sr. Investment Analyst
    Employer: LL Funds LLC
  • Name: Qi, Lei
    Advisor(s): Fan
    Thesis Title: Essays on the Estimation of Time Series Models
    First Position Title: Quantitative Analyst
    Employer: Athena Capital Research
  • Name: Ledvina, Andrew
    Advisor(s): Sircar
    Thesis Title: Differential Games in Oligopolistic Markets
    First Position Title: Post Doc
    Employer: California Institute of Technology
  • Name: Ryzhov, Ilya
    Advisor(s): Powell
    Thesis Title: Information Collection in Stochastic Optimization
    First Position Title: Assistant Professor
    Employer: University of Maryland, Robert H. Smith School of Business
  • Name: Bradic, Jelena
    Advisor(s): Fan
    Thesis Title: Sparse Estimation and Oracle Properties of Regularized Regression with Non-Polynomial Dimensional Covariates
    First Position Title: Assistant Professor, Tenure Track
    Employer: Mathematics Dept. University of California at San Diego
  • Name: Ma, Jun
    Advisor(s): Powell
    Thesis Title: Approximate Policy Iteration Algorithms for Continuous, Multi-Dimensional Applications and Convergence Analysis
    First Position Title: Jr. Trader
    Employer: Parhelion Ltd.

Graduating Year: 2010

  • Name: Yang, Zhou
    Advisor(s): Carmona
    Thesis Title: A Study on Differential Games with Applications to Asset Management and Market-Liquidity Research
    First Position Title: Junior Portfolio Manager
    Employer: Goldman Sachs, Asset Management, Capital Market Investment Management
  • Name: Feng, Yang
    Advisor(s): Fan
    Thesis Title: High-Dimensional Statistical Learning and Nonparametric Modeling
    First Position Title: Assistant Professor
    Employer: Columbia University, Department of Statistics
  • Name: Yu, Ke
    Advisor(s): Fan
    Thesis Title: High Frequency Data Based Asset Allocation and Dynamic Covariance Matrix Modeling
    First Position Title: Associate
    Employer: J.P. Morgan, NY Commodities Group
  • Name: Hannah, Lauren
    Advisor(s): Powell
    Thesis Title: Stochastic Search, Optimization and Regression with Energy Applications
    First Position Title: Assistant Professor
    Employer: Columbia University, Department of Statistics
  • Name: Ling, Lee
    Advisor(s): Mulvey
    Thesis Title: Portfolio Management for Private and Illiquid Investments
    First Position Title: Consultant
    Employer: Oliver Wyman, NYC

Graduating Year: 2009

  • Name: Zhang, Jingjin
    Advisor(s): Fan
    Thesis Title: Asset Allocation with Gross Exposure Constraints and Factor Selection
    Employer: Barclays Capital
  • Name: Frazier, Peter
    Advisor(s): Powell
    Thesis Title: Knowledge-Gradient Methods for Statistical Learning
    First Position Title: Assistant Professor
    Employer: Cornell University, Rhodes Hall, Ithaca, NY 14853
  • Name: Niu, Yue
    Advisor(s): Fan
    Thesis Title: Validations Tests and Genewise Variance Estimation for Microarray Data
    First Position Title: Post Doc
    Employer: University of Arizona, Mathematics Department
  • Name: Kim, Woo Chang
    Advisor(s): Mulvey
    Thesis Title: Re-engineering Financial Planning for Institutional Investors
    First Position Title: Assistant Professor
    Employer: Korean Advanced Institute of Science and Technology (KAIST)
  • Name: Stadje, Mitja
    Advisor(s): Cheridito
    Thesis Title: Dynamic Risk Measures and Backward Stochastic Differential Equations: From Discrete to Continuous Time
    First Position Title: Assistant Professor
    Employer: Tilburg University
  • Name: Luss, Ronnie
    Advisor(s): d'Aspremont
    Thesis Title: Mathematical Programming for Statistical Learning with Applications in Biology and Finance
    First Position Title: Post Doc
    Employer: Tel Aviv University, School of Mathematical Sciences
  • Name: Yamazaki, Kazutoshi
    Advisor(s): Dayanik-Powell
    Thesis Title: Essays on sequential Analysis: Multi-Armed Bandit with Availability Constraints And Sequential Change Detection and Identification
    First Position Title: Assistant Professor
    Employer: Osaka University, Center for the Study of Finance and Insurance
  • Name: Bilgili, Mehmet
    Advisor(s): Mulvey
    Thesis Title: Clustering Techniques and Multi-Regime Stochatic Optimization with Applications in Finance
    First Position Title: Quantitative Associate
    Employer: Alliance Bernstein, Verition Fund Management
  • Name: Nadtochiy, Sergey
    Advisor(s): Carmona
    Thesis Title: Market Models for European Options: Dynamic Local Volatility and Tangent Levy Models
    Employer: Oxford Man Institute, University of Oxford

Graduating Year: 2008

  • Name: Enders, Johannes
    Advisor(s): Powell
    Thesis Title: Mitigating Failure Risk in an Aging Electric Power Transmission System
    First Position Title: Associate
    Employer: Louis Dreyfus Highbridge Energy
  • Name: Nascimento, Juliana
    Advisor(s): Powell
    Thesis Title: Approximate Dynamic Programming for Complex Storage Problems
    First Position Title: Research & Development
    Employer: McKinsey Co
  • Name: Kaya, Hakan
    Advisor(s): Mulvey
    Thesis Title: Applying Statistical Learning Theory: Agricultural Commodities and Weather Risks
    First Position Title: Research & Development
    Employer: Lehman Brothers
  • Name: Saksena, Nitin
    Advisor(s): Carmona
    Thesis Title: Relative Entropy Calibration of Point Process Models for Multi-name Credit Derivatives
    First Position Title: Research Associate
    Employer: Merrill Lynch, Associate-Equity Derivatives Research
  • Name: Lam, Wai Fung
    Advisor(s): Fan
    Thesis Title: High-Dimensional Profile Likelihood Inference and Covariance Matrices Estimation
    First Position Title: Lecturer
    Employer: London School of Economics
  • Name: Leung, Siu Tang
    Advisor(s): Sircar
    Thesis Title: Accounting for Risk Aversion in the Valuation of Employee Stock Options and Credit Derivitives
    First Position Title: Assistant Professor
    Employer: Johns Hopkins University, Department of Appplied Mathematics & Statistics

Graduating Year: 2007

  • Name: Hampshire, Robert
    Advisor(s): Massey
    Thesis Title: (2 Volumes) Dynamic Queueing Models for the Operations Management of Communication Services
    First Position Title: Assistant Professor
    Employer: University of Michigan
  • Name: Lv, Jinchi
    Advisor(s): Fan
    Thesis Title: High-dimensional variable selection and covariance matrix estimation
    First Position Title: Assistant Professor
    Employer: University of California, Marshall School of Business
  • Name: Fan, Yingying
    Advisor(s): Fan
    Thesis Title: Volatility Matrix Estimation and High Dimensional Classification
    First Position Title: Lecturer
    Employer: Harvard University, Statistics Department
  • Name: Papageorgiou, Evangelos
    Advisor(s): Sircar
    Thesis Title: Single-Name and Multi-Name Credit Derivatives: Pricing and Calibration Using Multiscale Asymptotic Methods
    First Position Title: Consultant
    Employer: Citigroup
  • Name: Godfrey, Gregory A.
    Advisor(s): Powell
    Thesis Title: A Nonlinear Approximation Method for Solving Stochastic, Dynamic Resource Allocation Problems
    First Position Title: Senior Engineeer
    Employer: Metron Inc.
  • Name: Toussaint, Antoine
    Advisor(s): Sircar
    Thesis Title: Hedging and Pricing with L2 Convex Risk Measures in Incomplete Markets
    First Position Title: Professor
    Employer: Stanford University

Graduating Year: 2006

  • Name: Erkan, H. Gaye
    Advisor(s): Mulvey
    Thesis Title: Decentralized Enterprise Risk Management for Global Companies
    First Position Title: Strategists/Assoc Level
    Employer: Goldman Sachs
  • Name: Zhang, Zhuojuan
    Advisor(s): Mulvey
    Thesis Title: Stochastic Optimization for Enterprise Risk Management
    First Position Title: Associate
    Employer: Blackrock
  • Name: Sezer, Semih
    Advisor(s): Dayanik
    Thesis Title: Bayesian Sequential Change-Point Detection and Hypotheses Testing Problems for Compound Poisson and Wiener Processes
    First Position Title: Assistant Professor
    Employer: University of Michigan, Mathematics Department
  • Name: Thompson, Allan J.
    Advisor(s): Mulvey
    Thesis Title: A Levy Model for Default Dependence
    First Position Title: Quantitative Analyst
    Employer: King Street Capital Management
  • Name: Bicer, Batur
    Advisor(s): Mulvey
    Thesis Title: Stock Valuation for Investment and Corporate Decisions
    First Position Title: Quantitative Associate
    Employer: Barclays Capital
  • Name: Ural, Cenk
    Advisor(s): Mulvey
    Thesis Title: A Modeling Framework for Multi-Strategy Hedge Funds
    First Position Title: Associate
    Employer: Lehman Brothers

Graduating Year: 2005

  • Name: Darius, Dries
    Advisor(s): Sircar
    Thesis Title: The Constant Elasticity of Variance Model in the Framework of Optimal Investment Problems
    First Position Title: Associate
    Employer: Citigroup
  • Name: Sen, Arun
    Advisor(s): Vanderbei
    Thesis Title: An Optimization Approach to Economic Equilibrium
    First Position Title: Consultant
    Employer: National Economic Research Associates, NY
  • Name: Egami, Masahiko
    Advisor(s): Dayanik
    Thesis Title: Contributions to Stochastic Optimization Applied to Financial Engineering
    First Position Title: Assistant Professor
    Employer: University of Michigan, Math Department
  • Name: Wu, Tongqiang
    Advisor(s): Powell
    Thesis Title: The Optimizing Simulator for the Military Airlift Problem
    First Position Title: Post doctoral researcher
    Employer: Lawrence Livermore National Lab
  • Name: George, Abraham
    Advisor(s): Powell
    Thesis Title: Optimal Learning Strategies for Multi-Attibute Resource Allocation Problems
    First Position Title: Research Associate
    Employer: AT&T Bell Laboratories
  • Name: Danilova, Albina
    Advisor(s): Carmona
    Thesis Title: Emergence of Stochastic Volatility from Informational Heterogeneity
    First Position Title: Post Doc
    Employer: Oxford University
  • Name: Ludkovski, Michael
    Advisor(s): Carmona
    Thesis Title: Optimal Switching with Applications to Energy Tolling Agreements
    First Position Title: Assistant Professor
    Employer: University of Michigan, Math Department

Graduating Year: 2004

  • Name: Simsek, Koray D.
    Advisor(s): Mulvey
    Thesis Title: Stochastic Programming in Multistage Financial Planning
    First Position Title: Assistant Professor
    Employer: EDHEC Business School, France
  • Name: Wang, Lixin
    Advisor(s): Carmona
    Thesis Title: Malliavin Calculus and Applications to Sensitivity Analysis of Stochastic Partial Differential Equations
    First Position Title: Senior Associate
    Employer: Lehman Brothers
  • Name: Durrleman, Valdo
    Advisor(s): Carmona
    Thesis Title: From Implied to Spot Volatilities
    First Position Title: Assistant Professor
    Employer: Stanford University
  • Name: Ilhan, Aytac
    Advisor(s): Sircar
    Thesis Title: Hedging Exotic Options in Incomplete Markets
    First Position Title: Post Doc
    Employer: Oxford University

Graduating Year: 2003

  • Name: Diko, Pavel
    Advisor(s): Carmona
    Thesis Title: Pricing Precipitation Based Derivatives
    First Position Title: Quantitative Trader
    Employer: Electrabel, Bruxelles, Belgium

Graduating Year: 2002

  • Name: Papadaki, Katerina
    Advisor(s): Powell
    Thesis Title: Structural Adaptive Dynamic Programming for a Stochastic Multidimensional Aging and Replenishment Problem
    First Position Title: Lecturer
    Employer: London School of Economics
  • Name: Marar, Arun
    Advisor(s): Powell
    Thesis Title: Information Representation in Large-Scale Resource Allocation Problems: Theory, Algorithms and Applications
    First Position Title: Consultant
    Employer: Amaranth Advisors

Graduating Year: 2001

  • Name: Spivey, Michael Z.
    Advisor(s): Powell
    Thesis Title: The Dynamic Assignment Problem
    First Position Title: Assistant Professor
    Employer: Math Department, Samford College
  • Name: Topaloglu, Huseyin
    Advisor(s): Powell
    Thesis Title: Dynamic Programming Approximations for Dynamic Resource Allocation Problems
    First Position Title: Asssistant Professsor
    Employer: Cornell University, OR & IE Department
  • Name: Benson, Hande Y.
    Advisor(s): Vanderbei
    Thesis Title: Interior-Point Methods for Nonlinear, Second-Order Cone, and Semidefinite Programming
    First Position Title: Assistant Professor
    Employer: United States Naval Academy
  • Name: Morrison, Julia E.
    Advisor(s): Smith
    Thesis Title: Extreme Value Statistics with Applications In Hydrology and Financial Engineering
    Employer: McKinsley and Co