| Name | Advisor(s) | Thesis Title | First Position Title | Employer |
|---|---|---|---|---|
| Chandak, Rajita | Cattaneo | Adaptive Nonparametric Statistical Theory and Implementation | Bernoulli Instructor | École Polytechnique fédérale de Lausanne |
| Chaudhry, Abraar | Ahmadi/Rebrova | Algebraic Methods in Convex Geometry, Nonlinear Optimization, and Learning Dynamical Systems | Posdoctoral Fellow | Georgia Institute of Technology |
| Sambharya, Rajiv | Stellato | Learning to Accelerate Optimization Algorithms With Guarantees | Postdoctoral Fellow | University of Pennsylvania |
| Tissot-Daguette, Valentin | Soner | Free Boundaries, Functional Expansions, and Occupied Processes | Quantitative Researcher | Bloomberg LP |
| Underwood, William | Cattaneo | Estimation and Inference in Modern Nonparametric Statistics | Post Doctoral Research Associate in Statistics | Cambridge University |
| Name | Advisor(s) | Thesis Title | First Position Title | Employer |
|---|---|---|---|---|
| Aydinhan, Onat | Mulvey | Essays on Advanced Methods in Portfolio Optimization | Quantitative Researcher | RBC Capital Markets |
| Bayle, Pierre | Fan | Survival Analysis in Distributed and High-Dimensional Environments and Theory of Cross-Validation | Quantitative Researcher | Tower Research |
| Duzgun, Ahmet Cagri | Powell | From Learning to Optimal Learning: Understanding the Impact of Overparameterization on Features of Neural Networks to Optimal Learning of Expensive, Noisy Functions Using Low-Dimensional Belief Models | Quantitative Researcher | Squarepoint Capital |
| Jelassi, Samy | Hanin | Algorithmic and Architectural Implicit Biases in Deep Learning | Postdoctoral Researcher | Harvard University |
| Lin, Mingqian | Mulvey | Essays on Applications of Networks and Discrete Optimization | ||
| Luo, Xiaohe | Powell | Entropic Stochastic Search for Expensive, Unimodal Functions and its Application to Stochastic Gradient Algorithms and the Optimazation of Parameterized Policies for Supply Chain Planning | Quantitative Researcher | Schonfeld Strategic Advisors LLC |
| Rigobon, Daniel | Racz | Collective Good and Optimization in Socioeconomic Systems | ||
| Wang, Bingyan | Fan | Statistical Analysis on Convex and Nonconvex Methods in Low-Rank Matrix Recoveries | Quantitative Analyst | D.E. Shaw Group |
| Yan, Yuling | Fan/Y. Chen | Statistical Learning and Optimal Decision Making Under Uncertainty | Assistant Professor | University of Wisconsin at Madison |
| Yu, Mengxin | Fan | High-Dimensional Robust Statistical Inference | Postdoctoral Researcher | University of Penn, Wharton School |
| Zhou, Xuchen | Tangpi | Utility Maximization in a Market with Competitive Heterogenous Agents: Backward Propagation of Chaos and Learning | Quantitative Research Associate | J.P. Morgan Chase |
| Name | Advisor(s) | Thesis Title | First Position Title | Employer |
|---|---|---|---|---|
| Dayanikli, Gokce | Carmona | Mean Field Models with Heterogenous Agents: Extensions and Learning | Term Assistant Professor | Columbia University |
| Duan, Yaqi | Wang | Policy Evaluation in Batch Reinforcement Learning | Assistant Professor | New York University |
| Gitelman, Daniel | Fan | Tensor Methods for Network Analysis | Quantitative Strategist | Goldman Sachs |
| Guo, Yongyi | Fan | Computationally and Statistically-Efficient Methods in Data Science | Assistant Professor | University of Wisconsin at Madison |
| Leal, Laura | Carmona | Topics in High Frequency Optimal Execution and Microstructure of Produce Repricings | Associate | Goldman Sachs |
| Li, Xiaoyue (Lexie) | Mulvey | Portfolio Management under Multi-Period Frameworks with Modern Approaches | Quantitative Research Analyst | Citadel |
| Liu, Suqi | Racz | Geometry of Random Graphs | Post Doctoral Research Fellow | Harvard University |
| Silin, Igor | Fan | High Dimensional Statistics Under Covariance Eigenvalue Decay | Quantitative Researcher | Two Sigma Investments |
| Tang, Francesca | Fan | Statistical Machine Learning Meets Social Science | Post Doctoral Research Associate | Princeton University |
| Tian, Peter | Klusowski | Statistical Guarantees for Adaptive Recursive Partitioning Based Estimators | Quantitative Researcher | Two Sigma Investments |
| Yang, Zhuoran | Fan | Topics in the Statistical and Computational Complexities of Modern Machine Learning | Assistant Professor | Yale University |
| Yu, Zheng | Wang | Decision-Making with Non-Markovian Rewards: Multi-Agent Learning and Applications to Medical Diagnostics | Algorithm Engineer | Alibaba Inc. |
| 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 |
| Dibek, Cemil | Ahmadi, Chudnovsky | Perfect Graphs and Sums of Squares | Post Doctoral | Princeton University |
| 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 |
| Martinet, Guillaume | Englehardt | Invariant Mechanisms in Transfer Learning and Causal Inference: Some Theoretical Perspectives and Algorithms | TBA | TBA |
| 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 |
| Ye, Zhi Jiang (Tony) | Cattaneo | Essays in Micro Finance and Statistics | Consultant | L.EK. Consulting |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| 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 |
| Name | Advisor(s) | Thesis Title | First Position Title | Employer |
|---|---|---|---|---|
| Diko, Pavel | Carmona | Pricing Precipitation Based Derivatives | Quantitative Trader | Electrabel, Bruxelles, Belgium |
| 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 |
| 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 |