Students

I have had the privilege of working some very talented students over the years. Below you will find some brief information on my current and past students, as well as something about the research they are working on.
Clink on their name/image to be taken to their own website or LinkedIn page.

PhotoNameThesisResearch Interests
Arvind ShrivatsSREC Markets, 2020 (expected)Arvind is developing the theory of how to endogenize prices in Solar Renewable Energy Certificate markets.
Farshid ZoghalchiStochastic Games in Market-Making and Execution, 2019 (expected)Farshid is developing the theory of how market makers and agency traders interact to set prices and execute trading actions.
Ali Al-AradiPortfolio Allocation using Stochastic Portfolio Theory, 2019 (expected)Ali focuses on using stochastic portfolio theory (SPT) to pose and solve long term optimal portfolio allocation problems.
Philippe CasgrainLatent Alpha in Algorithmic Trading, 2018 (expected)Philippe’s work looks at how to trade optimally when there are hidden underlying factors driving the dynamics of asset prices.
David FarahanyMixing PDE and Monte Carlo methods, 2018 (expected)David is developing efficient methods for valuing path-dependent options using mixed PDE and Monte-Carlo methods.
Tianyi JiaAlgortihmic Trading in Foreign Exchange Markets, 2017 (expected)Tianyi’s work looks at foreign exchange markets. He is developing algorithmic trading schemes for triplets of FX pairs and accounting for order-flow uncertainty.
Zhen QinModel Uncertainty in Commodity and Energy Markets, 2017 (expected)Zhen’s work focuses on developing commodity models for derivative valuation and trading when the agent accounts for model uncertainty.
Xuancheng (Bill) HuangMean-Field Games with Ambiguity Aversion, 2017Bill is developing the theory of incorporating ambiguity aversion (model uncertainty) into mean-field games.
Luhui GanDynamic Trading in a Limit Order Book: Co-Integration, Option Hedging and Queueing Dynamics, 2017Luke solved several algorithmic trading problems: trading co-integrated assets, using limit and market orders to hedge options, and valuing queue position.
Ryan DonnellyAmbiguity Aversion in Algorithmic and High Frequency Trading, 2014Ryan studied how model uncertainty (ambiguity aversion) modifies the trading strategies of algorithmic traders.
Jason RicciApplied Stochastic Control in High Frequency and Algorithmic Trading, 2014Jason investigated high-frequency algorithmic trading problems (market making and trading strongly co-dependent assets) using stochastic control techniques.
Eddie NgKernel-based Copula Processes, 2010Eddie introduced the notation of kernel-based coupla processes, extending the notion of Gaussian process in machine learning to account for general marginals and co-dependence structure.
Georg SiglochUtility Indifference Pricing of Credit Instruments, 2009Georg developed a utility indifference approach to valuing credit risk and accounting for model uncertainty.
pic hereAngel ValovFirst Passage Times: Integral Equations, Randomization and Analytical Approximations, 2009Angel investigated variations of the Skorhod embedding problem, where the goal is to match a given distribution by the distribution of a stopped Brownian motion.
Vladimir SurkovOption Pricing using Fourier Space Time-stepping Framework, 2009Vlad developed an efficient numerical scheme for valuing options with path-dependent features, such as Barrier and American options, using Fourier techniques.
Samuel HikspoorsMulti-Factor Energy Price Models and Exotic Derivatives Pricing, 2008Sam worked on projects related to commodity and energy markets. In particular he was intereted in option pricing with stochastic volatility using singular perturbation theory techniques.

PhotoNameResearch Interests
Omid Namvar GharehshiranOmid is working on using stochastic approximations to solve, in a model free manner, for how to optimally trade assets that exhibit co-integration.
Damir KinzebulatovDamir developed a number of algorithmic trading strategies which incorporated both limit and market orders, as well as developed a new class of models based on randomized pinned measures.
Mojtaba NourianMojtaba’s interest lie in mean-field games (MFGs) when there is one large player and a sea of many small players — called a major-minor MFG. We studied how major-minor MFGs can be used to solve the problem of a large institutional investor who is executing an order in an environemnt where there are a number of intelligent HFTs operating.