The following core faculty members have active research interests in financial mathematics and teach most program courses.
Professor Beaumont has research interests in Financial Economics, Time Series Econometrics, and Computational Economics, including asset price dynamics for agent-based models.
Dr. Ewald is interested in just about any aspect of stochastic processes, especially stochastic ordinary and partial differential equations, their numerical approximation, and their application to physical and financial models, including the fluid dynamics of the atmosphere and ocean, stochastic volatility models, and partial differential equations driven by space-time white noises.
Professor Fahim works in financial mathematics and PDEs, especially probabilistic numerical methods for solving nonlinear partial differential equations arising in financial applications.
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 and financial math, including: credit risk,limit order books, option pricing, point processes, large deviations, random graphs and social networks.
The following additional faculty members teach and/or advise financial math students, or have research interests in related areas.
- Mathematics: Kyle Gallivan, Kyounghee Kim, Jerry F. Magnan, Craig A. Nolder, Stephen P. Paris
- Economics: Milton H. Marquis
- Statistics: Fred W. Huffer, Vic Patrangenaru
- Finance: Steve Perfect
- Computational Science: Xiaoqiang Wang
- Computer Science: Robert A. van Engelen, David B. Whalley
- Risk Management/Insurance, Real Estate and Legal Studies: Patricia Born
The following are members of our Advisory Board and have participated in our annual Financial Math Quant Symposia.
Greg Anderson (Bank of America Merrill Lynch), Bettye Anne Case (FSU Professor Emerita), E. Robert Fernholz (Chairman of the Investment Committee, INTECH), Lisa Goldberg (UC Berkeley), Wenbo Hu (Bell Trading), 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).