RESEARCH: Mathematical Finance

The mathematical finance group includes probabilists and stochastic analysts working in problems directly motivated and/or applicable to finance and economics. The members’ specialized research areas include stochastic differential equations, stochastic partial differential equations, partial differential equations, stochastic control theory, nonlinear filtering, and stochastic numerics, and the research focuses include, but are not limited to, option pricing, term structure of interest rates, contract theory, recursive utility theory, portfolio/consumption optimization and control, correlated defaults and their asymptotic behavior, default analysis under incomplete information.

The faculty members in the group are also responsible for teaching and advising graduate students at both Master and Ph.D. levels. The Master program of mathematical finance at USC College, a joint venture of Mathematics department and Economics department, prepares students a careers in the quantitative finance industry. Many members of the group have been responsible for teaching courses in the program, and advising Ph.D. students specializing in mathematical finance. The biweekly Mathematical Finance Colloquium brings in experts from both academia and financial industry, providing valuable contacts and opportunities for graduate students.

 
Regular Faculty
 
Graduate Students
  • Karnam, Chandrasekhar, advisor: Ma and Zhang
  • Keller, Christian, advisor: Zhang
  • Noh, Eunjung, advisor: Ma
  • Sun, Rentao, advisor: Ma
  • Wu, Cong, advisor: Zhang
  • Xie, Weisheng, advisor: Ma
  • Xing, Xiaojing, advisor: Ma
  • Zhang, Tian Teresa, advisor: Ma
 
Recent Graduates and Doctoral Thesis Titles
  • Chen, Jianfu (Ma) 2011, Quantitative Research & Development Group, Union Bank of California Regime Switch Term Structure model with Forward-Backward Stochastic Differential Equations
  • Knape, Mathias (Mikulevicius & Zapatero) 2009, A General Equilibrium Model for Exchange Rates and Asset Prices in an Economy Subject to Jump-Diffusion Uncertainty
  • Knape, Mathias (Mikulevicius & Zapatero) 2009, A General Equilibrium Model for Exchange Rates and Asset Prices in an Economy Subject to Jump-Diffusion Uncertainty
  • Polunchenko, Aleksey (P Mikulevicius & Tartakovsky) 2009, Quickest Change Detection with Applications to Distributed Multi-Sensor Systems
  • Liu, Wei (Lototsky) 2010, Institutional Credit Oversight, American Express, New York Statistical Inference for Stochastic Hyperbolic Equations
  • Zhang, Changyong (Mikulevicius) 2010, Numerical Weak Approximation of Stochastic Differential Equations Driven by Levy Processes
  • Chen, Jianfu (Ma) 2011, Quantitative Research & Development Group, Union Bank of California Regime Switch Term Structure model with Forward-Backward Stochastic Differential Equations
  • Wang, Xinyang (Ma & Zhang) 2011, Dynamic Model for Limit Order Books and Optimal Liquidation Problems
  • Yun, Youngyun (Ma) 2011, Analysis of Correlated Defaults and Joint Default Probability in a Contagion Model
  • Kaligotla, Sivaditya (Lototsky) 2012, Asymptotic Problems in Stochastic Partial Differential Equations: A Wiener Chaos Approach
  • Du, Jie (Zhang) 2012, Guggenheim Partners Stochastic Games on Stopping Times
  • Lin, Ning (Lototsky) 2012, Estimation of Coefficients in Stochsatic Differential Equations
  • Moers, Michael (Lototsky) 2012, Statistical Inference of Stochastic Differential Equations Driven by Gaussian Noise
  • Pham, Triet (Zhang) 2013, Zero-Sum Stochastic Differential Games in Weak Formulation and Related Norms for Semi-Martingales
  • Wang, Huanhuan (Ma) 2013, Capital One Asset management with Incomplete Information
  • Wang, Xin (Ma) 2013, Nonlinear Expectations for Continuous Time Model with Jumps and Applications
  • Zhong, Jie (Lototsky) 2013, Second Order in Time Stochastic Evolution Equation and Wiener Chaos Approach
  • Xu, Li (Lototsky) 2013, Parameter Estimate for Hyperbolic SPDE's with Stochastic Coefficients
  • Bessam, Diogo (Lototsky) 2014, Large Deviations Rates in a Gaussian Setting and Related Topics
  • Ekren, Ibrahim (Zhang) 2014, Path-dependent Partial Differential Equatoins and Related Topics
  • Sokolov, Grigory (Tartakovsky/Lototsky) 2014, Multi-Population Optimal Change-Point Detection
  • Zhuo, Jia (Zhang) 2014, Probabilistic Numerical Methods for Fully Nonlinear PDEs and Related Topics