Information about Recent Financial Mathematics alumni

Select interviews
To see a selection of short interviews with some recent alumni, go to our Interviews Page.
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