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
| 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
| Edmond Choi
Research Interests: Mathematical finance, credit risk, stochastic volatility, probablility theory, Levy processes. |
| Haifeng Luo
Research Interests: Mathematical Finance. |
| Yi Ma
Research Interests: Jump-diffusion model and stochastic volatility. |
| Jamol Pender
Research Interests: Queueing Theory, Stochastic Processes, Dynamical Systems, Partial Differential Equations. |
| Michael Stein
Research Interests: Financial Mathematics, Environmental Economics. |
Former Ph.D. Students
| 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. |