## Faculty

Rene Carmona Research Interests: Stochastic processes, financial mathematics, stochastic partial differential equations, signal processing (time frequency analysis, wavelets) and image analysis. |

Bill Massey Research Interests: Performance and pricing models for telecommunications systems. Asymptotic analysis and stochastic bounds for queueing networks. Special interests in the theories of queues with time-varying rates and stochastic networks. |

Birgit Rudloff Research Interests: Hedging in incomplete markets, convex and coherent risk measures, Convex Analysis, mathematical finance, risk-management. |

Ronnie SircarResearch Interests: Financial Mathematics, stochastic volatility models, credit risk, asymptotic and computational methods, portfolio optimization and stochastic control problems, utility indifference valuation. Stochastic differential games. |

## Postdoctoral Associates (current & former)

Michael Coulon Research Interests: Financial Mathematics, energy and commodities markets. |

Stephan Sturm Research Interests: Financial Mathematics, stochastic volatility, large deviations. |

Maxim Bichuch Research Interests: Financial Mathematics, transaction cost models. |

Andrew Papanicolaou Research Interests: Filtering, Financial Mathematics, Computational Statistics. |

Matt Lorig Research Interests: Financial Mathematics, stochastic volatility, spectral methods. |

## Ph.D. Students (current)

Yidong Dong Research Interests: Mathematical Finance, time inconsistency, state-dependent risk aversion and multiscale stochastic volatility. |

Zachary Feinstein Research Interests: Mathematical Finance, time consistency of dynamic set-valued risk measures, markets with transaction costs. |

Cagin Ararat Research Interests: Mathematical Finance, set-valued entropic risk measure, divergence risk measure, shortfall risk. |

Firdevs Ulus Research Interests: Approximation algorithms for convex vector optimization, indifference pricing for incomplete preference relation. |

Nana Aboagye Research Interests: Queueing Theory and Stochastic processes. |

Daniel Lacker Research Interests: Mean field games. |

Kevin Webster Research Interests: Mathematical Finance, order book models. |

Xiuneng Zhu Research Interests: Mathematical Finance, price impact modeling, stochastic control and stochastic games. |

## Ph.D. Students (former)

Jamol Pender Research Interests: Queueing Theory, Stochastic Processes, Dynamical Systems, Partial Differential Equations. |

Tianhui Li Research Interests: Dynamic Programming and Trade Execution. |

Edmond Choi Research Interests: Mathematical finance, credit risk, stochastic volatility, probability theory, Levy processes. |

Haifeng Luo Research Interests: Mathematical Finance. |

Yi Ma Research Interests: Jump-diffusion model and stochastic volatility. |

Michael Stein Research Interests: Financial Mathematics, Environmental Economics. |

Andrew Ledvina, Postdoctoral Scholar in Mathematical Finance, Caltech Research Interests: Stochastic Differential Games, Mathematical Finance. |

YouHong Sun Research Interests: Spead option valuation and correlation theory. |

Yang Zhou Research Interests: Quantitative Finance, Market Microstructures, Optimal Execution Strategies, Stochastic Optimal Control, and Differential Games. |

Sergey Nadtochiy, Assistant Professor, Department of Mathematics, University of Michigan Research Interests: Market Models for European Options: Dynamic Local Volatility and Tangent Lévy Models |