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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 Sircar
Research 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