Sergey Nadtochiy, Ph.D.
Associate Professor of Applied Mathematics
Phone:
312.567.3132
Email:
Office:
Rettaliata Engineering Center, Room 234B
Office Hours:
Thursdays 10:00 AM - 12:00 PM
Website:
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.