Sergey Nadtochiy

Education

• Princeton University Ph.D. in Operations Research & Financial Engineering, 2009. Advisor: R. Carmona. 

• Princeton University M.A. in Operations Research & Financial Engineering, 2008. Advisor: R. Carmona. 

• Moscow State University Specialist (M.Sc.) in Mathematics, 2005. Summa cum laude. Advisor: A. Shiryaev.

Research Interests

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

Awards

Award for excellence (honorific fellowship). Moscow State University, 2001–2005

Publications

• S. Nadtochiy “A simple microstructural explanation of concave price impact.” Submitted for publication 
• I. Ekren and S. Nadtochiy “Utility-based hedging and indifference price of contingent claims in Almgren-Chriss model with temporary impact.” Submitted for publication 
• F. Delarue, S. Nadtochiy and M. Shkolnikov “Global Solution to Super-cooled Stefan Problem with Blow-ups: Regularity and Uniqueness.” Submitted for publication, arXiv:1902.05174 
• S. Nadtochiy and M. Shkolnikov “Mean Field Systems on Networks, with Singular Interaction through Hitting Times.” To appear in Annals of Probability 
• S. Nadtochiy and T. Zariphopoulou “Optimal Contract for a Fund Manager with Capital Injections and Endogenous Trading Constraints.” SIAM Journal on Financial Mathematics, 10(3) (published online), 2019 
• R. Gayduk and S. Nadtochiy “Control-Stopping Games for Market Microstructure and Beyond.” To appear in Mathematics of Operations Research 
• S. Nadtochiy and M. Shkolnikov “Particle Systems with Singular Interaction through Hitting Times: Application in Systemic Risk Modeling.” Annals of Applied Probability, 29(1):89–129, 2019 
• R. Gayduk and S. Nadtochiy “Endogenous Formation of Limit Order Books: Dynamics Between Trades.” SIAM Journal on Control and Optimization, 56(3):1577–1619, 2018 
• R. Gayduk and S. Nadtochiy “Liquidity Effects of Trading Frequency.” Mathematical Finance, 28(3):839–876, 2018 
• S. Nadtochiy and J. Obloj “Robust Trading of Implied Skew.” International Journal of Theoretical and Applied Finance, 20(2), 2017 
• R. Carmona, Y. Ma and S. Nadtochiy “Simulation of Implied Volatility Surfaces via Tangent Lévy models.” SIAM Journal on Financial Mathematics, 8(1):171–213, 2017 
• E. Bayraktar and S. Nadtochiy “Weak Reflection Principle for Lévy processes.” Annals of Applied Probability, 25(6):3251–3294, 2015 
• S. Nadtochiy and M. Tehranchi “Optimal Investment for All Time Horizons and Martin Boundary of Space-time Diffusions.” Mathematical Finance, 27(2):438–470, 2017 
• P. Carr and S. Nadtochiy “Local Variance Gamma and Explicit Calibration to Option Prices.” Mathematical Finance, 27(1):151–193, 2017 

Grants

• NSF CAREER Grant DMS-1855309, 2017–2022, single PI. 

• NSF Grant DMS-1411824, 2014–2017, single PI. 

• SIAG/FME Junior Scientist Prize. SIAM, 2012. 

• Charlotte Elizabeth Procter Honorific Fellowship. Princeton University, 2008–2009. 

• Gordon Y.S. Wu Honorific Fellowship. Princeton University, 2005–2009. 

Expertise

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