Select interviews
To see a selection of short interviews with some recent alumni, go to our Interviews Page.
Information about Recent Financial Mathematics alumni
Select recent publications of research with graduate students Details
(For more complete listing, see the Affiliated Faculty web pages and the Department's e-print archive.)
| Authors | Title | Journal | Year |
|---|---|---|---|
| A. Kercheval and P. Garreau | A structural jump threshold framework for credit risk | SIAM Journal on Financial Mathematics, 7:1, 642-673 | 2016 |
| A. Kercheval and Y. Zhang | Modeling high-frequency limit order book dynamics with support vector machines | Quantitative Finance | 2015 |
| L. Xu and G. Okten | High Performance Financial Simulation Using Randomized Quasi-Monte Carlo Methods | Quantitative Finance | 2015 |
| W. Yuan, A. Goncu, and G. Okten | Estimating Sensitivities of Temperature Based Weather Derivatives | Applied Economics, 47:19, 1942-1955. | 2015 |
| A. Goncu and G. Okten | Uniform point sets and the collision test | Journal of Computational and Applied Mathematics, 259, 798-804. | 2015 |
| P. Beaumont, Y. Guan, A. Kercheval | Complex Dynamics in Equilibrium Asset Pricing Models with Boundedly Rational, Heterogeneous Agents | Complexity, 19:3, 38-55 | 2014 |
| P. Garreau and D. Kopriva | A spectral element framework for option pricing under general exponential Levy processes | J. of Scientific Computing, 57:2, 390-413 | 2013 |
| D. Bayazit, C. A. Nolder | Sensitivities of Options via Malliavin Calculus: Applications to Markets of exponential Variance Gamma and Normal Inverse Gaussian processes | Quantitative Finance, 13:8, 1257-1287 | 2013 |
| H. Huang, A. Kercheval | A generalized birth-death stochastic model for high-frequency order book dynamics | Quantitative Finance, 12:4, 547-557 | 2012 |
| A. Kercheval, Y. Liu | Risk forecasting with GARCH, skewed t distributions, and multiple timescales | Handbook of Modeling High-Frequency Data in Finance, Wiley, ch 7, 163-218 | 2012 |
Placement of selected recent graduates in Financial Mathematics Details
| Graduation date | Title | Location |
|---|---|---|
| PhD, 2017 | Quantitative Analyst | Wells Fargo Bank |
| PhD, 2017 | Associate | Goldman Sachs |
| PhD, 2017 | Associate | Bank of America |
| PhD, 2017 | Associate | JP Morgan |
| PhD, 2016 | Associate | Bank of America |
| PhD, 2015 | Quantitative Analyst | Barclay's Bank |
| PhD, 2015 | Quantitative Analyst | Southern Company, Atlanta |
| PhD, 2015 | Quantitative Analyst | Wells Fargo Bank |
| PhD, 2014 | Assistant Professor | Youngstown State University |
| PhD, 2014 | Quantitative Analyst | Bank of America - Merrill Lynch |
| PhD, 2013 | Quantitative Analyst | Deutsche Bank |
| PhD, 2013 | Research Associate | Yahoo! |
| MS, 2013 | Actuarial Analyst | Wakely Consulting Group |
| MS, 2013 | Modeling Analyst | Citibank |
| MS, 2013 | Analyst, EFT Trader | Deutsche Bank |
| MS, 2013 | Marketing Analyst | Amica Mutual Insurance Co. |
| PhD, 2013 | Quantitative Associate | Wells Fargo |
| PhD, 2013 | Assistant Professor, tenure track | Roosevelt University |
| PhD, 2013 | Quantitative Analyst | Southern Company |
| PhD, 2012 | Quantitative Analyst | Alliance Bernstein, NY |
| MS, 2012 | Integration Engineering Manager | Ripple |
| PhD, 2012 | Portfolio Manager | Florida State Board of Administration, Tallahassee |
| PhD, 2011 | Assistant Professor, tenure track | Indiana University Northwest |
| MS, 2011 | Quant | Morgan Stanley |
| PhD, 2010 | Senior Financial Risk Analyst | Federal Home Loan Bank of Atlanta |