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Ruoting Gong

Ruoting Gong, Ph.D.

Assistant Professor of Applied Mathematics

Phone: 

312.567.8986

Fax: 

312.567.3135

Office: 

Rettaliata Engineering Center, Room 116B

Office Hours: 

Tuesdays 9:00 - 10:00 AM, Thursdays 10:00 - 11:00 AM

Education 

Ph.D. in Mathematics, Georgia Institute of Technology (2012)
M.S. in Statistics, Georgia Institute of Technology (2010)
B.A. in Pure and Applied Mathematics, Tsinghua University (2006)

Research & Accomplishments 

Mathematical Finance: Small-Time Asymptotics of Option Prices, with Emphasis on Lévy-Based Models, Stochastic Volatility Models, and General Jump-Diffusion Models.
 
Probability and Stochastic Processes: Random Sequence Alignments, Lévy Processes, Stochastic Control, Stochastic Differential Equations, Feynman-Kac Formula, Stochasitc Partial Differential Equations. 

Awards 

Top Graduate Student Award, School of Mathematics, Georgia Institute of Technology, 2012
Scholarship for Excellent Students, Tsinghua University, 2003-2006

Publications 

SELECTED PUBLICATIONS

Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility (with J. E. Figueroa-López and M. Lorig). Submitted, 2017. arXiv:1608.07863v1. 
 
A Central Limit Theorem for the Optimal Alignments Score in Multiple Random Words (with C. Houdré and U. Islak). Submitted, 2017. arXiv: 1512.05699v2.
 
Lower Bounds on the Generalized Central Moments of Optimal Alignments Score of Random Sequences (with C. Houdré and J. Lember), To appear in Journal of Theoretical Probability, 2017. 
DOI:10.1007/s10959-016-0730-4
 
Trajectory Fitting Estimators for SPDEs Driven by Additive Noise (with I. Cialenco and Y. Huang). To appear in Statistical Inference for Stochastic Processes, 2017. DOI:10.1007/s11203-016-9152-2
 
High-Order Short-Time Expansions for ATM Option Prices of Exponential Lévy Models (with J. E. Figueroa-López and C. Houdré), Mathematical Finance, Vol. 26, No. 3, pp. 516-557, 2016. DOI:10.1111/mafi.12064 
 
Small-Time Expansions of the Distributions, Densities, and Option Prices of Stochastic Volatility Models with Lévy Jumps (with J. E. Figueroa-López and C. Houdré)Stochastic Processes and Their Applications, Vol. 122, Issue 4, pp. 1808-1839, 2012. DOI:10.1016/j.spa.2012.01.013

Professional Societies 

American Mathematical Society (AMS): www.ams.org
Institute of Mathematical Statistics (IMS): www.imstat.org