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Sergey Nadtochiy

Sergey Nadtochiy, Ph.D.

Associate Professor of Applied Mathematics

Phone: 

312.567.3132

Office: 

Rettaliata Engineering Center, Room 234B

Office Hours: 

Thursdays 4:30 - 5:30 PM
Thursdays 11:15 AM - 12:15 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 

  • Mean Field Systems on Networks, with Singular Interaction through Hitting Times (with M. Shkolnikov). Submitted, 2018. arXiv:1807.02015
  • Optimal Contract for a Fund Manager, with Capital Injections and Endogenous Trading Constraints (with T. Zariphopoulou). Submitted, 2018. arXiv:1802.09165
  • Control-Stopping Games for Market Microstructure and Beyond (with R. Gayduk). Submitted, 2017. 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.