Research interests
Financial mathematics and mathematical economics; dynamical systems and geometric analysis.

Professor Kercheval studied Mathematics and Physics at Harvey Mudd College, and Mathematics and Philosophy of Language at the University of Oxford as a Marshall Scholar. He earned a PhD in Mathematics from the University of California at Berkeley in 1987. He has taught at Boston University, Indiana University at Bloomington, and the University of Texas at Austin, and worked for two years on fixed income portfolio risk at MSCIBarra in Berkeley, California.

Dr Kercheval's interests include portfolio risk, credit risk, problems arising in numerical linear algebra and statistics related to model estimation, machine learning, high frequency statistical models of the limit order book, and dynamic agent-based asset pricing models in Mathematical Economics. As of 2017 he has directed 21 current or completed PhD students, mostly in financial mathematics.

Professor Kercheval is the co-author of the book "Lectures on Financial Mathematics: Discrete Asset Pricing'', with G. Anderson, and has published over 35 research articles on Financial Mathematics, Dynamical Systems, and Geometric Analysis.

Alec Kercheval
Alec Kercheval
Professor of Mathematics
Selected papers
James-Stein for the Leading Eigenvector (with Lisa Goldberg), 2022, Proc. National Acad. Sciences, to appear, 10 pages.
Multiple Anchor Point Shrinkage for the Sample Covariance Matrix (with Hubeyb Gurdogan), 2022, SIAM J. Financial Math, vol. 13, no. 3, 1112-1143.
Modeling credit risk in the jump threshold framework (with C.-Y. Chiu), Applied Mathematical Finance, 2018, DOI: 10.1080/1350486X.2018.1465349 , 23 pages.
A structural jump threshold framework for credit risk (with P. Garreau), SIAM Journal on Financial Mathematics, vol. 7, no. 1, 2016, 642-673.
Modeling high-frequency limit order book dynamics with support vector machines (with Y. Zhang), Quantitative Finance, vol 15, no 8, 2015, 1315--1329.
Department of Mathematics

1017 Academic Way

Florida State University

Tallahassee, FL 32306-2180

Phone: (850) 644-8701
Fax: (850) 644-4053