Financial Mathematics

Financial mathematics concerns mathematical models and problems arising in financial markets and applies tools from probability, optimization, stochastic analysis and statistics. Specific areas of research include risk management, pricing and hedging in incomplete markets, stochastic volatility models, markets with transaction costs, energy markets, credit risk, portfolio optimization, utility indifference valuation, and stochastic differential games.

Research Area Faculty and Interests

  • rcarmona's picture
    Research Interests:
    Stochastic analysis (SPDEs, BSDEs, FBSDEs, stochastic control and large stochastic differential games such as mean field games), high frequency markets, energy and commodity markets, environmental finance and financial mathematics models.
  • jqfan's picture
    Research Interests:
    High-dimensional statistics, Machine Learning, financial econometrics, computational biology, biostatistics, graphical and network modeling, portfolio theory, high-frequency finance, time series.
  • eh3988's picture
    Research Interests:
    Financial Math and Probability
  • mulvey's picture
    Research Interests:
    Financial optimization models and associated algorithms, asset management strategies for global pension plans, (re)insurance companies, and other long-term investors, dynamic portfolio tactics for hedge funds, replicating performance of active managers
  • mykhaylo's picture
    Research Interests:
    Financial mathematics (stochastic portfolio theory, optimal investment, systemic risk), probability theory (interacting particle systems, random matrix theory, and their applications to finance, neuroscience, and physics), partial differential equations (parabolic PDEs/SPDEs, free boundary problems, probabilistic representations, renormalization)
  • sircar's picture
    Research Interests:
    Financial mathematics, stochastic models, especially for market volatility, optimal investment and hedging strategies, analysis of financial data, credit risk; employee stock options, dynamic game theory, energy and commodities markets
  • soner's picture
    Research Interests:
    Decisions under uncertainty, Knigthian uncertainty, stochastic optimal control, financial mathematics, robust techniques in quantitative finance.
  • ndounkeu's picture
    Research Interests:
    Financial mathematics (risk management, model uncertainty, optimal investment); Stochastic analysis (stochastic control, SDEs, BSDEs, FBSDEs, probabilistic representations of parabolic/elliptic PDEs); Probability theory (optimal transportation, functional inequalities)
  • rvdb's picture
    Research Interests:
    Interior-point methods for linear, convex, nonconvex, semidefinite optimization, robust optimization, the parametric simplex method, and constraint matrix sparsification (e.g. fast Fourier optimization). Applications include high-contrast imaging (to design a NASA space telescope), finding new stable periodic solutions to the n-body problem, Machine Learning, portfolio selection, option pricing, and least-absolute-deviation statistics. Related side activities include algorithms to address grade inflation, quantifying climate change, and making Purple America maps.