The mathematical finance group includes probabilists and stochastic analysts working in problems directly motivated and/or applicable to finance and economics, or supervising PhD students working in those problems. From mathematical side, the members’ specialized research areas include stochastic differential equations (both forward and backward, both ordinary and partial), their related areas such as stochastic control and stochastic filtering, stochastic numerics, and statistics. From the finance/economics side, several research topics include, but are not limited to: option pricing and hedging theory; financial markets with frictions (including transaction cost, liquidity cost, credit risk, and model uncertainty); utility optimization theory with portfolio/consumption control, and contract theory.

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

  • Lototsky, Sergey: Stochastic partial differential equations, optimal nonlinear filtering of diffusion processes, statistical inference for continuous-time processes.
  • Ma, Jin: Stochastic analysis, stochastic differential equations, stochastic control theory, mathematical finance and insurance.
  • Minsker, Stanislav (Stas): Statistical learning theory, non-parametric statistics, concentration inequalities, mathematical finance.
  • Zhang, Jianfeng: Stochastic analysis, backward stochastic differential equations, stochastic numerics, and mathematical finance.

EMERITUS FACULTY

  • Baxendale, Peter (emeritus): Stochastic dynamical systems; equilibrium, stability and bifurcation for solutions of stochastic differential equations; applications to stochastic neuronal models.
  • Mikulevicius, Remigijus (Remi): Stochastic differential equations, stochastic analysis.

POST DOCS and VISITORS

  • Xia, Weixuan (NTT Assistant Professor):  investment decisions under incomplete preferences, exotic derivatives, cryptocurrency markets, optimal control of set-valued stochastic processes, Lévy functionals and illiquidity measures, and neural network architectures applicable in these areas.
  • Tissot-Daguette, Valentin  (visiting Ph.D. student from Princeton University): American Options, Free boundary problems, Deep Stochastic Optimization, Monte Carlo methods, Exotic Derivatives

 

CURRENT GRADUATE STUDENTS:

  1. Atiqah Almuzaini (Ma)
  2. Thejani Gamage (Ma)
  3. Bixing Qiao (Zhang)
  4. Gaozhan Wang (Ma/Zhang)

SEMINARS

RECENT GRADUATES, THEIR ADVISORS, AND DISSERTATIONS

    2023

  • Iseri, Melih (Zhang), Set Values for Mean Field Games and Set Valued PDEs
  • Tan, Ying  (Ma), Stochastic Two-point Boundary Value Problem and Application in Kyle-Back Equilibrium Model
    2022

  • Pollok, Austin (Zhang), High-Frequency Kelly Criterion and Fat-Tails: Gambling with an Edge
    2021

  • Feng, Pengbin (Ma/Zhang), Dynamic Network Models for Systemic Risk
  • Luo, Man (Ma), Topics on Dynamic Limit Order Book and its Related Computation
  • Wu, Wenqian (Ma), Topics on Set-Valued Backward Stochastic Differential Equations
  • Zhu, Zimu (Zhang), Some Topics on Continuous Time Principal-Agent Problem
    2020

  • Phonsom, Chukiat (Mikulevicius), On Stochastic Integro-Differential Equations
  • Ruan, Jie (Zhang), Numerical Methods for High-Dimensional Path-Dependent PDEs Driven by Stochastic Volterra Equations
    2019

  • Xu, Fanhui (Mikulevicius), On the parabolic Kolmogorov integro-differential equation and its applications
    2018

  • Kim, Hyun-Jung (Lototsky), Time-Homogeneous Parabolic Anderson Model
  • Noh, Eunjung (Ma), Equilibrium Model of Limit Order Book and Optimal Execution Problem
  • Sun, Rentao (Ma), Conditional Mean-Field Stochastic Differential Equations and Their Applications
  • Wang, Jian (Lototsky), Statistical Inference For Second-Order Ordinary Differential Equation Driven by Additive Gaussian White Noise
    2017

  • Sun, Rentao (Ma), Conditional Mean-Field Stochastic Differential Equations and Their Application
  • Wu, Cong (Zhang), Controlled McKean-Vlasov Equations and Related Topics
  • Xing, Xiaojing (Ma), Optimal Investment and Dividend under Sparre Andersen Model
    2016

  • Kang, Yongjian (Lv/Zhang), Large-Scale Inference in Multiple Gaussian Graphical Models
  • Karnam, Chandrasekhar (Ma/Zhang), Dynamic Approaches for some Time Inconsistent Problems
  • Tsilifis, Panagiotis (Ghanem/Mikulevicius), Design, Adaptation and Variational Methods in Uncertainty Quantification
  • Xie, Weisheng (Ma), Stochastic Differential Equations Driven by Fractional Brownian Motion and Poisson Point Processes
    2015

  • Keller, Christian (Zhang), Pathwise Stochastic Analysis and Related Topics
  • Zhang, Tian (Ma), Optimal Investment and Reinsurance Problems and Related Non-Markovian FBSDEs With Constraints
    2014

  • Bessam, Diogo (Lototsky), Large Deviations Rates in a Gaussian Setting and Related Topics
  • Ekren, Ibrahim (Zhang), Path-Dependent Partial Differential Equations and Related Topics
  • Sokolov, Grigory (Tartakovsky/Lototsky), Multi-Population Optimal Change-Point Detection
  • Zhuo, Jia (Zhang), Probabilistic Numerical Methods for Fully Nonlinear PDEs and Related Topics
    2013

  • Pham, Triet (Zhang), Zero-Sum Stochastic Differential Games in Weak Formulation and Related Norms for Semi-Martingales
  • Wang, Huanhuan (Ma), Asset Management with Incomplete Information
  • Wang, Xin (Ma), Nonlinear Expectations for Continuous Time Model with Jumps and Applications
  • Xu, Li (Lototsky), Parameter Estimate for Hyperbolic SPDE’s with Stochastic Coefficients
  • Zhong, Jie (Lototsky), Second Order in Time Stochastic Evolution Equation and Wiener Chaos Approach
    2012

  • Du, Jie (Zhang), Stochastic Games on Stopping Times
  • Kaligotla, Sivaditya (Lototsky), Asymptotic Problems in Stochastic Partial Differential Equations: A Wiener Chaos Approach
  • Lin, Ning (Lototsky), Estimation of Coefficients in Stochsatic Differential Equations
  • Moers, Michael (Lototsky), Statistical Inference of Stochastic Differential Equations Driven by Gaussian Noise
  • Xu, Shanshan (Lototsky/Wilcox), Initiative Non-Parametric Multivariate Regression Hypothesis Testing
    2011

  • Chen, Jianfu (Ma), Regime Switch Term Structure model with Forward-Backward Stochastic Differential Equations
  • Wang, Xinyang (Ma/Zhang), Dynamic Model for Limit Order Books and Optimal Liquidation Problems
  • Yun, Youngyun (Ma), Analysis of Correlated Defaults and Joint Default Probability in a Contagion Model
    2010

  • Liu, Wei (Lototsky), Statistical Inference for Stochastic Hyperbolic Equations
  • Zhang, Changyong (Mikulevicius), Numerical Weak Approximation of Stochastic Differential Equations Driven by Levy Processes
    2009

  • Knape, Mathias (Mikulevicius/Zapatero), A General Equilibrium Model for Exchange Rates and Asset Prices in an Economy Subject to Jump-Diffusion Uncertainty
  • Polunchenko, Aleksey (Mikulevicius/Tartakovsky), Quickest Change Detection with Applications to Distributed Multi-Sensor Systems

 

THE FIRST JOB OF SOME OF OUR RECENT GRADUATES

    2023

  • Melih Iseri: Postdoc at the University of Michigan
  • Ying Tan: Postdoc at UCSB
    2022

  • Austin Pollok: Assistant Professor of Clinical Data Science and Operations, USC
    2021

  • Pengbin Feng: Research Scientist at Amazon
  • Man Luo: Quant Researcher at Guotai Junan Securities Asset Management (Shanghai, China)
  • Wenqian Wu: Quant Trader at Guotai Junan Securities (Shanghai, China)
  • Zimu Zhu: Postdoc at UCSB
    2020

  • Chukiat Phonsom: Alexandria Technology, Research and Investment
  • Jie Ruan: Facebook
    2019

  • Xu, Fanhui: Postdoc, Carnegie Mellon University
    2018

  • Hyun-Jung Kim: Postdoc, Illinois Institute of Technology
  • Eunjung Noh: Hills Assistant Professor, Rutgers University
  • Rentao Sun: Data scientist, The Data Incubator
    2017

  • Cong Wu: Quantitative Associate at Wells Fargo
  • Xiaojing Xing: Wells Fargo (Charlotte, NC)
    2016

  • Yongjian Kang: Google
  • Chandrasekhar Karnam: Morgan Stanley
  • Panagiotis Tsilifis: Postdoc in the Viterbi School of Engineering at USC
  • Weisheng Xie: Wells Fargo (Charlotte, NC)
    2015

  • Christian Keller: Postdoc at University of Michigan
  • Tian Zhang: Education Management Systems
    2014

  • Diogo Bessam: Postdoc at PUC-RJ/IMPA (Brasil)
  • Ibrahim Ekren: Postdoc at ETH Zurich
  • Grigory Sokolov: Postdoc at the SUNY Binghamton
  • Jia Zhuo: Morgan Stanley
    2013

  • Triet Pham: Postdoc at Rutgers
  • Huanhuan Wang: Capital One
  • Xin Wang: Morgan Stanley
  • Li Xu: Google
  • Jie Zhong: Postdoc at Ritsumeikan University (Japan)
    2012

  • Jie Du: Guggenheim Partners
  • Sivaditya Kaligotla: Bloomberg LP
  • Ning Lin: Citigroup
  • Michael Moers: Deutsche Bank
    2011

  • Jianfu Chen: Union Bank of California
  • Xinyang Wang: Morgan Stanley
  • Youngyun Yun: Union Bank of California
    2010

  • Wei Liu: American Express
  • Changyong Zhang: Postdoc at Salzburg University
    2009

  • Mathias Knape: Goldman Sachs
  • Aleksey Polunchenko: Postdoc at USC