## 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 and 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

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.

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