Ph.D. Job Placement

Graduating Year: 2021
Name Advisor(s) Thesis Title First Position Title Employer
Avanesyan, Levon Shkolnikov, Sircar Optimal Investment in Incomplete Markets with Multiple Brownian Externalities Quantitative Strategist Ergoteles Capital LLC
Cho, Woon Sang Wang Multi-Source Text Generation and Beyond using Reinforcement Learning Quantitative Researcher Citadel
Gong, Hao Wang Primal-Dual Method for Reinforcement Learning and Markov Decision Processes Quantitative Researcher Two Sigma
Hervieux-Moore, Zachary Kornhauser Modern Reinforcement Learning Techniques to Deal with Large Action Spaces Postdoctoral Reseacher Harvard University
Lu, Hao Wang Machine Learning for Decision Making: Applications to Off-Policy Learning and Combinatorial Optimization Quantitative Researcher Susquehanna International Group
Lu, Kun Mulvey Statistical and Machine Learning Methods for Financial Data Quantitative Trader Tower Research Capital LLC
Uysal, Ayse Sinem Mulvey Risk Budgeting Portfolios Under a Modern Optimization and Machine Learning Lens Research Analyst MarketAxess
Xue, Lirong Fan Big Data in Financial Economics Quantitative Researcher Jane Street
Zhang, Jiacheng Shkolnikov Topics in McKean-Vlasov Equations: Rank-Based Dynamics and Markovian Projection with Applications in Finance and Stochastic Control Post Doctoral Researcher Department of Industrial Engineering and Operations Research, University of California, Berkeley
Zhou, Yifeng Fan Mean-Variance Functional Estimation for Optimal Portfolios Quantitative Trader Tower Research
Graduating Year: 2020
Name Advisor(s) Thesis Title First Position Title Employer
Ekwedike, Emmanuel Massey, Liu Optimal Decision Making via Stochastic Modeling and Machine Learning: Applications to Resource Allocation Problems an Sequential Decision Problems Research Scientist Perspecta Labs
El Khadir, Bachir Ahmadi Semidefinite Representations in Semialgebraic Optimization and Dynamics-Oriented Learning Herman H. Goldstine Memorial Post Doc Fellow IBM
Fu, Guanghong Fan Predicting Credit Risk inMSE Thesis- Consumer Loan: A Machine Learning Approach Using Multimodal Features Financial Analyst Goldman Sachs
Gaudreau-Lamarre, Pierre Yves Shkolnikov Semigroups for One-Dimensional Schrodinger Operatiors with Mutliplicative Gaussian Noise William H. Kruskal Instructor University of Chicago
Gong, Wenyan Fan Sparse Estimation for High-Dimensional Statistical Problems Quantitative Researcher Two Sigma Investment, LP
Joseph, Joane Vanderbei An Efficient Row Reduction Algorithm for Solving Fourier-Constrained Linear Programs Using the Simplex Method Data Scientist BuzzFeed Inc.
Li, Nongchao Mulvey A New Generation of Risk Management System for Global FinTech Enterprises Quantitative Researcher Quantitative Brokers LLC
Li, Zongxi Sircar Games on Portfolio Optimization and Bitcoin Mining Quantitative Trader Barclays Investment Bank
Ma, Cong Y. Chen, J. Fan Statistics Meets Nonconvex Optimization: Computational Efficiency and Uncertainty Quantification Assistant Professor University of Chicago, Department of Statistics
Pumir, Thomas Fan On the Geometric Structure of Problems in Statistics and Optimization Researcher The Voleon Group
Shenfeld, Yair van Handel The Alexandrov-Fenchel Inequality and It's Extremal Structures C.L.E. Moore Instructor and NSF postdoc MIT, Department of Mathematics
Wang, Kaizheng Fan Latent Variable Models: Spectral Methods and Non-Convex Optimization Assistant Professor Columbia University, IEOR Department
Zhang, Jeff Ahmadi Complexity Aspects of Fundamental Questions in Polynomial Optimization Visiting Professor Carnegie Mellon, Mathematical Sciences Department
Graduating Year: 2019
Name Advisor(s) Thesis Title First Position Title Employer
Cerenzia, Mark Carmona Intergrable Models, Coulomb Interactions, and Mean Field Game Theory Instructor University of Chicago
Eisenach, Carson Liu, Fan Modern Optimization for Statistics and Learning Data Scientist ACE Research
Ge, Jian Wang Statistical Optimization for High Dimensional Machine Learning with Privacy and Sparsity Constraints Researcher Snark AI, Inc
Han, Weidong Powell Lookahead Approximations for Online Learning with Nonlinear Parametric Belief Models Quantitative Researcher Two Sigma Investments
Hao, Han Mulvey A Regime-Aware Agent Based Framework for Financial Planning Quantitative Associate JP Morgan Chase
Huang, Tiange Fan MSE Thesis: An Analysis of Merton-KMV Model and Machine Learning in Default Prediction in China Data Scientist Harvest Fund Management
Liu, Jun Kornhauser MSE Thesis: Sensitivity of Departure Delay on Vehicle Mile Traveled to Serve Everyone's Mobility Need on a Typical Day in the USA Engineer SenseSim Incorporated
Naghib, Elahesadat Vanderbei High Dimensional Optimzation Problems in Decision-making and Discrete Geometry Data Scientist Convoy, Incorporated
Wang, Peiqi Carmona Finite State Mean Field Games Credit Algorithmic Trading Quant Bank of America, Merrill Lynch
Zhong, Yiqiao Fan Spectral Methods and MLE: A Modern Statistical Perspective Post Doc Stanford University
Graduating Year: 2018
Name Advisor(s) Thesis Title First Position Title Employer
Aboagye, Nana Powell Knowledge Gradient for Expensive Locally Quadratic Functions and Stochastic Optimization of Aid Allocation Research Scientist Air Liquide
Bose, Koushiki Fan Robust Dependence-Adjusted Methods for High Dimensional Data Quantitative Research Analyst Prudential Financial
Hall, Georgina Ahmadi Optimization over Nonnegative and Convex Polynomials With and Without Semidefinite Programming Assistant Professor INSEAD Business School
Lu, Junwei Liu Combinatorial Inference for Large-Scale Analysis Assistant Professor Harvard University
Perkins, Raymond Powell Multistage Stochastic Programming with Parametric Cost Function Approximations Researcher T. Rowe Price
Wang, Zhaoran Liu Nonconvex Statistical Optimizaiton Assistant Professor Northwestern University
Ye, Jing Mulvey Portfolio Optimization with mean-reverting Assets: Combining Theory with Deep Learning Finance Morgan Stanley
Zhu, Xiuneng Carmona Mean Field Games With Major and Minor Players Trader Goldman Sachs
Zhu, Ziwei Fan Distributed and Robust Statistical Learning Assistant Professor University of Michigan
Graduating Year: 2017
Name Advisor(s) Thesis Title First Position Title Employer
Funk, Jacob Sircar Game Theoretic and Financial Models for Energy Commodities and Futures Prices Trader Jane Street
Liu, Che Yu Bubeck Thompson Sampling for Bandit Problems Quantitative Researcher Two Sigma Investments, LP
Zhao, Tianqi Liu Statistical Inference for Big Data Quantitative Trader Barclays Capital
Graduating Year: 2016
Name Advisor(s) Thesis Title First Position Title Employer
Chen, Chenyi Kornhauser Extracting Cognition out of Images for the Pupose of Autonomous Driving Engineer Nvidia Corporation
Fang, Xingyuan Liu Some Interactions of Modern Optimization and Statistics Asssistant Professor Penn State
Jiang, Daniel Powell Risk-Neutral and Risk-Averse Approximate Dynamic Programming Methods Assistant Professor University of Pittsburgh
Li, Yan Powell Optimal Learning in High Dimension Post Doc IBM Watson Research Center
Lin, Changle Mulvey Integrated Asset Allocation Strategies: Application to Institutional Investors Robo Quant Advisor Merrill Lynch
Sagredo, Juan Cheridito Existance Results in General Equilibrium Theory Post Doc ETH, Zurich Switzerland
Wang, Weichen Fan High Dimensional Covariance Learning Quantitative Researcher Two Sigma Investments, LP
Wang, Yuyan Fan Robust High-Dimensional Regression and Factor Models Data Scientist II Uber Technologies
Graduating Year: 2015
Name Advisor(s) Thesis Title First Position Title Employer
Ararat, Cagin Rudloff On Set-Valued Functionals: Multivariate Risk Measures and Aumann Integrals Assistant Professor Bilkent University
Furger, Alexander Fan High Frequency Asset Factor Models: Application to Covariance Estimation and Risk Management Trade Logic Developer Transmarket Group in Chicago, IL
Goer, Maximilian Mulvey Synthetic Diversification, Smart Randomization, and Commodity Indexing Trader D.E. Shaw
Lacker, Daniel Carmona Stochastic Differential Mean Field Game Theory Assistant Professor Columbia University
Sepin, Tardu Cheridito Studies on Optimal Trade Execution Credit Derivatives Quant Bank of America Merrill Lynch
Ulus, Firdevs Rudloff Algorithms for Vector Optimization Problems Assistant Professor Bilkent University
Xia, Lu Fan/Rigollet Statistical Methods for Complex Datasets Stein Fellow/Lecturer Stanford University
Yao, Jiawei Fan Factor Models; Testing and Forecasting Quantitative Researcher Citadel LLC
Zhu, Zhikai Cheridito Currency Crashes, Tail Risk and Contingent Capital Associate AQR Capital management
Graduating Year: 2014
Name Advisor(s) Thesis Title First Position Title Employer
Berthet, Quentin Rigollet Statistical and Computational Tradeoffs in High-dimensional Problems Lecturer University of Cambridge
Dai, Wei Fan Statistical Methods in Finance Research Associate Dimensional Fund Advisors
Feinstein, Zachary Rudloff Set-Valued Risk Measures Assistant Professor Washington University, St. Louis
Ke, Zheng Fan Inference on Large-Scale Structures Assistant Professor University of Chicago, Department of Statistics
Luo, Haifeng Carmona Optimal Execution in a Limit Order Book: A Stochastic Control Approach Associate Bank of America Merrill Lynch
Ma, Yi Carmona Implied Volatility Surface Simulation with Tangent Levy Models Senior Investment Manager Baidu
Mehta, Chintan Fan/Hallin Rank Based Inference for Independent Component Analysis Post Doc Yale University
Mincheva, Martina Fan High-Dimensional Structured Covariance Matrix Estimation with Financial Applications Assistant Professor Temple Business School
Rebeschini, Patrick van Handel Nonlinear Filtering in High Dimension Associate Professor Oxford University
Shi, Xiaofeng Fan Large Portfolios Risks and High-Dimensional Factor Models Investment Associate Vertex Venture Management, Temasek Group
Wan, Ke Kornhauser Estimation of Travel Time Distribution and Travel Time Derivatives Quantitative Associate JP Morgan
Webster, Kevin Carmona The Thermodynamics of High Frequency Markets Research Associate Deutsche Bank
Graduating Year: 2013
Name Advisor(s) Thesis Title First Position Title Employer
Barut, Ahmet Emre Fan Variable Selection and Prediction in High Dimensional Problems Post Doc IBM Research
Li, Tianhui Carmona Dynamic Programming and Trade Execution Data Scientist Foursquare
Pender, Jamol Massey Dynamic Rate Queues: Estimation, Statbilization, and Control Post Doc Columbia IEOR
Reus, Lorenzo Mulvey Robust Portfolio Optimization with Applications in Currencies and Private Equity
Tong, Xin (Thomson) van Handel Filter Stability in Infinite Dimensional Systems Assistant Professor National University of Singapore
Graduating Year: 2012
Name Advisor(s) Thesis Title First Position Title Employer
Choi, Edmond Sircar An Estimation of the Systematic Risks in the Multi-Name Credit and Equity Markets Sr. Quantitative Analyst TD Securities
Gu, Weijie Fan Estimating False Discovery Proportion Under Covariance Dependence Associate Barclays Capital
Scott, Warren Powell 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 Post Doc Researcher Energy trading (self employed)
Stein, Michael Sircar Associate Consultant Dean Ventures
Tong, Xin Fan/Rigollet Learning with Asymmetry, High Dimension and Social Networks Statistics Instructor MIT, Department of Mathematics
Graduating Year: 2011
Name Advisor(s) Thesis Title First Position Title Employer
Bradic, Jelena Fan Sparse Estimation and Oracle Properties of Regularized Regression with Non-Polynomial Dimensional Covariates Assistant Professor, Tenure Track Mathematics Dept. University of California at San Diego
Klyman, Jared Cheridito Systemic Risk Measures: DistVaR and Other "Too Big to Fail" Risk Measures Associate, Asset Management Goldman Sachs
Krishnamurthy, Vijay d'Aspremont Convex Optimization with Applications in Sparse Multivariate Statistics Sr. Investment Analyst LL Funds LLC
Ledvina, Andrew Sircar Differential Games in Oligopolistic Markets Post Doc California Institute of Technology
Ma, Jun Powell Approximate Policy Iteration Algorithms for Continuous, Multi-Dimensional Applications and Convergence Analysis Jr. Trader Parhelion Ltd.
Prajogo, Astrid Mulvey Analyzing Patterns in the Equity Market: ETF Investor Sentiment and Corporate Cash Holding Manager Ernst & Young
Qi, Lei Fan Essays on the Estimation of Time Series Models Quantitative Analyst Athena Capital Research
Ryzhov, Ilya Powell Information Collection in Stochastic Optimization Assistant Professor University of Maryland, Robert H. Smith School of Business
Sun, YouHong Carmona Spread Options, Implied Correlation and Local Correlation Quantitative Research Associate Goldman Sachs
Wugalter, Alexander Cheridito Pricing and Hedging in Affine Models with Possibility of Default and Characteruistic Functions of Log Stock Prices Associate Sales Trading Citigroup
Graduating Year: 2010
Name Advisor(s) Thesis Title First Position Title Employer
Feng, Yang Fan High-Dimensional Statistical Learning and Nonparametric Modeling Assistant Professor Columbia University, Department of Statistics
Hannah, Lauren Powell Stochastic Search, Optimization and Regression with Energy Applications Assistant Professor Columbia University, Department of Statistics
Ling, Lee Mulvey Portfolio Management for Private and Illiquid Investments Consultant Oliver Wyman, NYC
Yang, Zhou Carmona A Study on Differential Games with Applications to Asset Management and Market-Liquidity Research Junior Portfolio Manager Goldman Sachs, Asset Management, Capital Market Investment Management
Yu, Ke Fan High Frequency Data Based Asset Allocation and Dynamic Covariance Matrix Modeling Associate J.P. Morgan, NY Commodities Group
Graduating Year: 2009
Name Advisor(s) Thesis Title First Position Title Employer
Bilgili, Mehmet Mulvey Clustering Techniques and Multi-Regime Stochatic Optimization with Applications in Finance Quantitative Associate Alliance Bernstein, Verition Fund Management
Frazier, Peter Powell Knowledge-Gradient Methods for Statistical Learning Assistant Professor Cornell University, Rhodes Hall, Ithaca, NY 14853
Kim, Woo Chang Mulvey Re-engineering Financial Planning for Institutional Investors Assistant Professor Korean Advanced Institute of Science and Technology (KAIST)
Luss, Ronnie d'Aspremont Mathematical Programming for Statistical Learning with Applications in Biology and Finance Post Doc Tel Aviv University, School of Mathematical Sciences
Nadtochiy, Sergey Carmona Market Models for European Options: Dynamic Local Volatility and Tangent Levy Models Associate Professor University of Michigan
Niu, Yue Fan Validations Tests and Genewise Variance Estimation for Microarray Data Post Doc University of Arizona, Mathematics Department
Stadje, Mitja Cheridito Dynamic Risk Measures and Backward Stochastic Differential Equations: From Discrete to Continuous Time Assistant Professor Tilburg University
Yamazaki, Kazutoshi Dayanik-Powell Essays on sequential Analysis: Multi-Armed Bandit with Availability Constraints And Sequential Change Detection and Identification Assistant Professor Osaka University, Center for the Study of Finance and Insurance
Zhang, Jingjin Fan Asset Allocation with Gross Exposure Constraints and Factor Selection Barclays Capital
Graduating Year: 2008
Name Advisor(s) Thesis Title First Position Title Employer
Enders, Johannes Powell Mitigating Failure Risk in an Aging Electric Power Transmission System Associate Louis Dreyfus Highbridge Energy
Kaya, Hakan Mulvey Applying Statistical Learning Theory: Agricultural Commodities and Weather Risks Research & Development Lehman Brothers
Lam, Wai Fung Fan High-Dimensional Profile Likelihood Inference and Covariance Matrices Estimation Lecturer London School of Economics
Leung, Siu Tang Sircar Accounting for Risk Aversion in the Valuation of Employee Stock Options and Credit Derivitives Assistant Professor Johns Hopkins University, Department of Appplied Mathematics & Statistics
Nascimento, Juliana Powell Approximate Dynamic Programming for Complex Storage Problems Research & Development McKinsey Co
Saksena, Nitin Carmona Relative Entropy Calibration of Point Process Models for Multi-name Credit Derivatives Research Associate Merrill Lynch, Associate-Equity Derivatives Research
Graduating Year: 2007
Name Advisor(s) Thesis Title First Position Title Employer
Fan, Yingying Fan Volatility Matrix Estimation and High Dimensional Classification Lecturer Harvard University, Statistics Department
Godfrey, Gregory A. Powell A Nonlinear Approximation Method for Solving Stochastic, Dynamic Resource Allocation Problems Senior Engineeer Metron Inc.
Hampshire, Robert Massey (2 Volumes) Dynamic Queueing Models for the Operations Management of Communication Services Assistant Professor University of Michigan
Papageorgiou, Evangelos Sircar Single-Name and Multi-Name Credit Derivatives: Pricing and Calibration Using Multiscale Asymptotic Methods Consultant Citigroup
Toussaint, Antoine Sircar Hedging and Pricing with L2 Convex Risk Measures in Incomplete Markets Professor Stanford University
Graduating Year: 2006
Name Advisor(s) Thesis Title First Position Title Employer
Bicer, Batur Mulvey Stock Valuation for Investment and Corporate Decisions Quantitative Associate Barclays Capital
Erkan, H. Gaye Mulvey Decentralized Enterprise Risk Management for Global Companies Strategists/Assoc Level Goldman Sachs
Sezer, Semih Dayanik Bayesian Sequential Change-Point Detection and Hypotheses Testing Problems for Compound Poisson and Wiener Processes Assistant Professor University of Michigan, Mathematics Department
Thompson, Allan J. Mulvey A Levy Model for Default Dependence Quantitative Analyst King Street Capital Management
Ural, Cenk Mulvey A Modeling Framework for Multi-Strategy Hedge Funds Associate Lehman Brothers
Zhang, Zhuojuan Mulvey Stochastic Optimization for Enterprise Risk Management Associate Blackrock
Graduating Year: 2005
Name Advisor(s) Thesis Title First Position Title Employer
Danilova, Albina Carmona Emergence of Stochastic Volatility from Informational Heterogeneity Post Doc Oxford University
Darius, Dries Sircar The Constant Elasticity of Variance Model in the Framework of Optimal Investment Problems Associate Citigroup
Egami, Masahiko Dayanik Contributions to Stochastic Optimization Applied to Financial Engineering Assistant Professor University of Michigan, Math Department
George, Abraham Powell Optimal Learning Strategies for Multi-Attibute Resource Allocation Problems Research Associate AT&T Bell Laboratories
Ludkovski, Michael Carmona Optimal Switching with Applications to Energy Tolling Agreements Assistant Professor University of Michigan, Math Department
Sen, Arun Vanderbei An Optimization Approach to Economic Equilibrium Consultant National Economic Research Associates, NY
Wu, Tongqiang Powell The Optimizing Simulator for the Military Airlift Problem Post doctoral researcher Lawrence Livermore National Lab
Graduating Year: 2004
Name Advisor(s) Thesis Title First Position Title Employer
Durrleman, Valdo Carmona From Implied to Spot Volatilities Assistant Professor Stanford University
Ilhan, Aytac Sircar Hedging Exotic Options in Incomplete Markets Post Doc Oxford University
Simsek, Koray D. Mulvey Stochastic Programming in Multistage Financial Planning Assistant Professor EDHEC Business School, France
Wang, Lixin Carmona Malliavin Calculus and Applications to Sensitivity Analysis of Stochastic Partial Differential Equations Senior Associate Lehman Brothers
Graduating Year: 2003
Name Advisor(s) Thesis Title First Position Title Employer
Diko, Pavel Carmona Pricing Precipitation Based Derivatives Quantitative Trader Electrabel, Bruxelles, Belgium
Graduating Year: 2002
Name Advisor(s) Thesis Title First Position Title Employer
Marar, Arun Powell Information Representation in Large-Scale Resource Allocation Problems: Theory, Algorithms and Applications Consultant Amaranth Advisors
Papadaki, Katerina Powell Structural Adaptive Dynamic Programming for a Stochastic Multidimensional Aging and Replenishment Problem Lecturer London School of Economics
Graduating Year: 2001
Name Advisor(s) Thesis Title First Position Title Employer
Benson, Hande Y. Vanderbei Interior-Point Methods for Nonlinear, Second-Order Cone, and Semidefinite Programming Professor Drexel University
Morrison, Julia E. Smith Extreme Value Statistics with Applications In Hydrology and Financial Engineering McKinsley and Co
Spivey, Michael Z. Powell The Dynamic Assignment Problem Assistant Professor Math Department, Samford College
Topaloglu, Huseyin Powell Dynamic Programming Approximations for Dynamic Resource Allocation Problems Asssistant Professsor Cornell University, OR & IE Department