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