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
Post-Doctoral Fellows
  • Hong Yin (Financial Mathematics and Fluid Mechanics)
Graduate Students
  • Jianfu Chen (Ma)
  • Jie Du (Zhang)
  • Triet Minh Pham (Zhang)
  • Huanhuan Wang (Ma)
  • Xin Wang (Ma)
  • Xinyang Wang (Ma)
  • Youngyun Yun (Ma)
Recent Graduates and Doctoral Thesis Titles
  • Jose Villalobos, Ph.D. (2006, Zhang) : Numerical Experiments of FBSDE'S in High Dimensions
  • Yuegang Zhou, Ph.D. (2008, Zhang): Credit Risk of a Leveraged Firm in a Controlled Optimal Stopping Framework