Sergey Nadtochiy, Ph.D.

Associate Professor of Applied Mathematics

Phone:

312.567.3132

Rettaliata Engineering Center, Room 234B

Thursdays 10:00 AM - 12:00 PM

Ph.D. - Princeton University

B.S. - Moscow State University

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

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