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.

## Post-Docs

Photo | Name | Research Interests |
---|---|---|

Omid Namvar Gharehshiran | Omid is working on using stochastic approximations to solve, in a model free manner, for how to optimally trade assets that exhibit co-integration. | |

Damir Kinzebulatov | Damir 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 Nourian | Mojtaba’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. |

## Students

Photo | Name | Thesis | Research Interests |
---|---|---|---|

Farshid Zoghalchi | Stochastic Games in Market-Making and Execution, 2018 (expected) | Farshid is developing the theory of how market makers and agency traders interact to set prices and execute trading actions. | |

Ali Al-Aradi | Portfolio Allocation using Stochastic Portfolio Theory, 2018 (expected) | Ali focuses on using stochastic portfolio theory (SPT) to pose and solve long term optimal portfolio allocation problems. | |

Philippe Casgrain | Latent 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 Farahany | Mixing 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 Jia | Algortihmic 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. | |

Xuancheng (Bill) Huang | Mean-Field Games with Ambiguity Aversion, 2017 (expected) | Bill is developing the theory of incorporating ambiguity aversion (model uncertainty) into mean-field games. | |

Luhui Gan | Dynamic Trading in a Limit Order Book: Co-Integration, Option Hedging and Queueing Dynamics, 2017 (expected) | Luke solved several algorithmic trading problems: trading co-integrated assets, using limit and market orders to hedge options, and valuing queue position. | |

Zhen Qin | Model 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. | |

Ryan Donnelly | Ambiguity Aversion in Algorithmic and High Frequency Trading, 2014 | Ryan studied how model uncertainty (ambiguity aversion) modifies the trading strategies of algorithmic traders. | |

Jason Ricci | Applied Stochastic Control in High Frequency and Algorithmic Trading, 2014 | Jason investigated high-frequency algorithmic trading problems (market making and trading strongly co-dependent assets) using stochastic control techniques. | |

Eddie Ng | Kernel-based Copula Processes, 2010 | Eddie 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. | |

pic here | Georg Sigloch | Utility Indifference Pricing of Credit Instruments, 2009 | Georg developed a utility indifference approach to valuing credit risk and accounting for model uncertainty. |

pic here | Angel Valov | First Passage Times: Integral Equations, Randomization and Analytical Approximations, 2009 | Angel 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 Surkov | Option Pricing using Fourier Space Time-stepping Framework, 2009 | Vlad developed an efficient numerical scheme for valuing options with path-dependent features, such as Barrier and American options, using Fourier techniques. | |

Samuel Hikspoors | Multi-Factor Energy Price Models and Exotic Derivatives Pricing, 2008 | Sam 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. |