Professor Beaumont has research interests in Financial Economics, Time Series Econometrics, and Computational Economics, including asset price dynamics for agent-based models.
Professor Ekren's research interests include equilibrium and asymptotic results for market illiquidity and optimal transport duality. In stochastic analysis, his work includes viscosity solutions for non-Markovian stochastic systems, Malliavin calculus, rough paths and invariant measures for dispersive SPDEs.
Professor Fahim works in financial mathematics and PDEs, especially probabilistic numerical methods for solving nonlinear partial differential equations arising in financial applications.
Professor Bao's research interests include analysis and numerical solutions for stochastic (partial) differential equations, data assimilation, statistical inferences for stochastic processes, uncertainty quantification, and stochastic optimization. Besides his interests in financial mathematics, Professor Bao's research is also related to scientific applications in quantum computing, material science, and neutron science.
Professor Kercheval works in financial mathematics and mathematical economics, including: the dynamics of agent-based economic pricing models;portfolio and credit risk, including the use of non-gaussian modeling distributions; fixed income risk models; and financial problems in stochastic impulse control and numerical linear algebra.
Professor Ökten is interested in computational finance and Monte Carlo & quasi-Monte Carlo methods. His recent research is on (a) the design of effective simulation techniques for high dimensional problems in security pricing, (b) randomized quasi-Monte Carlo methods and their use in computational finance, and (c) quasi-Monte Carlo error bounds in the context of low-discrepancy sequences.
Professor Zhu works in applied probability, data science, operations research and financial engineering, including: Langevin algorithms, stochastic gradient and momentum-based variants, heavy-tailed methods and phenomena in machine learning, option pricing, risk management, point processes, large deviations, random graphs and social networks.
- Mathematics: Brian Ewald, Kyle Gallivan, Kyounghee Kim, Washington Mio, Ziad Musslimani, Craig A. Nolder, Stephen P. Paris
- Statistics: Fred W. Huffer, Vic Patrangenaru
- Finance: Steve Perfect
- Scientific Computing: Xiaoqiang Wang
- Computer Science: Robert A. van Engelen, David B. Whalley
- Risk Management/Insurance, Real Estate and Legal Studies: Patricia Born
Greg Anderson (Bank of America Merrill Lynch), E. Robert Fernholz (Chairman of the Investment Committee, INTECH), Pierre Garreau* (Maritime Data Systems, GmbH), Lisa Goldberg (UC Berkeley and Aperio Group), Ahmed Islim* (Bank of America Merrill Lynch), Benoit Montin* (Barclays Capital), Vassilios Papathanakos (Deputy CIO, INTECH), Steven Perfect (FSU College of Business), Edward Qian* (PanAgora Asset Management), Dan Waggoner (Federal Reserve Bank, Atlanta), Jay Webb* (Copperwood Energy Partners).