Close Menu

Sergey Nadtochiy

Sergey Nadtochiy, Ph.D.

Associate Professor of Applied Mathematics

Phone: 

312.567.3132

Office: 

Rettaliata Engineering Center, Room 220

Office Hours: 

Thursdays 10:00 AM - 12:00 PM

Education 

Ph.D. - Princeton University
B.S. - Moscow State University

Expertise 

Financial Mathematics, Probability Theory, Partial Differential Equations, Stochastic Control and Game Theory.

Publications 

Selected Publications

  • Mean Field Systems on Networks, with Singular Interaction through Hitting Times, with M. Shkolnikov, submitted for publication, arxiv:1807.02015
  • Optimal Contract for a Fund Manager, with Capital Injections and Endogenous Trading Constraints, with T. Zariphopoulou, submitted for publication, arxiv:1802.09165
  • Control-Stopping Games for Market Microstructure and Beyond, with R. Gayduk, submitted for publication, arxiv:1708.00506
  • Endogenous Formation of Limit Order Books: Dynamics Between Trades, with R. Gayduk, SIAM Journal on Control and Optimization, 56(3), 1577-1619, 2018
  • Liquidity Effects of Trading Frequency, with R. Gayduk, Mathematical Finance, 28(3), 839-876, 2018
  • Robust Trading of Implied Skew, with J. Obloj, International Journal of Theoretical and Applied Finance, 20(2), 2017
  • Simulation of Implied Volatility Surfaces via Tangent Levy Models, with R. Carmona and Y. Ma, SIAM Journal on Financial Mathematics, 8(1), 171-213, 2017