Select interviews
To see a selection of short interviews with some of our alumni, go to our Interviews Page.
FSU Financial Mathematics Alumni Page
Select publications of research with graduate students Details
| Authors | Title | Journal | Year |
|---|---|---|---|
| Shreya Bose and Ibrahim Ekren | Kyle-Back models with risk aversion and non-Gaussian beliefs | To appear in Annals of Applied Probability | 2023 |
| Shreya Bose and Ibrahim Ekren | Multidimensional Kyle-Back model with a risk averse informed trader | arXiv:2008.06377 | 2023 |
| Ibrahim Ekren, Brad Mostowskin and Gordan Zitkovic | Kyle's Model with Stochastic Liquidity | arXiv:2204.11069 | 2023 |
| Yiran Chen and G. Okten | A goodness-of-fit test for copulas based on the collision test | Statistical Papers | 2022 |
| Nima Salehy and G. Okten | Monte Carlo and quasi-Monte Carlo methods for Dempster's rule of combination | International Journal of Approximate Reasoning 145, 163-186 | 2022 |
| Navid Salehy, Nima Salehy and A. Kercheval | Pricing and hedging options conditional on market activity | Journal of Mathematical Finance 12:1, 1-19 | 2022 |
| Hubeyb Gurdogan and A. Kercheval | Multiple anchor point shrinkage for the sample covariance matrix | SIAM Journal on Financial Mathematics 13:3, 1112-1143 | 2022 |
| Haixu Wang | Limit theorems for a discrete-time marked Hawkes process | Statistics & Probability Letters 184:109368 | 2022 |
| Haixu Wang | Large and moderate deviations for a discrete-time marked Hawkes process | Communications in Statistics-Theory and Methods | 2022 |
| Jamie Fox and G. Okten | Brownian path generation and polynomial chaos | SIAM Journal on Financial Mathematics 12:2, 724-743 | 2021 |
| Jamie Fox and G. Okten | Polynomial chaos as a control variate method | SIAM Journal on Scientific Computing 43:3, A2268-A2294 | 2021 |
| A. Camuto, Xiaoyu Wang , L. Zhu, C. Holmes, M. Gurbuzbalaban and U. Simsekli | Asymmetric heavy tails and implicit bias in Gaussian noise injections | International Conference on Machine Learning | 2021 |
| Zailei Cheng and Y. Seol | Diffusion approximation of a risk model with non-stationary Hawkes arrivals of claims | Methodology and Computing in Applied Probability 22:2, 555-571 | 2020 |
| Arun Kumar Polala and G. Okten | Implementing de-biased estimators using mixed sequences | Monte Carlo Methods and Applications 26:4, 293-301 | 2020 |
| Zailei Cheng and Y. Seol | Precise deviations for Cox processes with a shot noise intensity | Communications in Statistics-Theory and Methods 48:23, 5850-5861 | 2019 |
| C.-Y. Chiu and A. Kercheval | Modeling credit risk in the jump threshold framework | Applied Mathematical Finance, DOI: 10.1080/1350486X.2018.1465349 | 2018 |
| Wan-Yu Tsai and A. Fahim | A numerical scheme for a singular control problem: Investment-consumption under proportional transaction costs | Journal of Computational and Applied Mathematics, 333, 170-184 | 2018 |
| Yu-Ying Tzeng, P. Beaumont, G. Okten | Time Series Simulation with Randomized Quasi-Monte Carlo Methods: An Application to Value at Risk and Expected Shortfall | Computational Economics 52:1, 55-77 | 2018 |
| David Mandel, G. Okten | Randomized Sobol' Sensitivity Indices | Monte Carlo and Quasi-Monte Carlo Methods, Springer Proceedings in Mathematics & Statistics, vol 241, pp. 395-408. Springer International Publishing. | 2018 |
| Hua-Yi Lin and A. Fahim | Optimal portfolio execution under time-varying liquidity constraints | Applied Mathematical Finance 24:5, 387-416 | 2017 |
| Zailei Cheng | Optimal Dividends in the Dual Risk Model under a Stochastic Interest Rate | International Journal of Financial Engineering 4:1, 1750010 | 2017 |
| A. Kercheval and P. Garreau | A structural jump threshold framework for credit risk | SIAM Journal on Financial Mathematics, 7:1, 642-673 | 2016 |
| Nguyet Nguyen and G. Okten | The acceptance-rejection algorithm for low-discrepancy sequences | Monte Carlo Methods and Applications, 22:2, 133-148 | 2016 |
| Wanwan Huang, B. Ewald, G. Okten | CAM Stochastic Volatility Model for Option Pricing | Mathematical Problems in Engineering, Vol 2016, http://dx.doi.org/10.1155/2016/5496945 | 2016 |
| A. Kercheval and Y. Zhang | Modeling high-frequency limit order book dynamics with support vector machines | Quantitative Analystitative Finance | 2015 |
| Linlin Xu and G. Okten | High Performance Financial Simulation Using Randomized Quasi-Monte Carlo Methods | Quantitative Analystitative Finance | 2015 |
| Wei Yuan, Ahmet Goncu, and G. Okten | Estimating Sensitivities of Temperature Based Weather Derivatives | Applied Economics, 47:19, 1942-1955. | 2015 |
| Ahmet Goncu and G. Okten | Uniform point sets and the collision test | Journal of Computational and Applied Mathematics, 259, 798-804. | 2014 |
| Ahmet Goncu and G. Okten | Efficient Simulation of a Multi-factor Stochastic Volatility Model | Journal of Computational and Applied Mathematics, 259, 329-335. | 2014 |
| 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 Analystitative Finance, 13:8, 1257-1287 | 2013 |
| P. Beaumont, A.J. Culham, A. Kercheval | Asset Market Dynamics in Equilibrium Models with Heterogeneous Agents: Analytical Results | Advances in Economics and Business, 1:2, 49-56 | 2013 |
| H. Huang, A. Kercheval | A generalized birth-death stochastic model for high-frequency order book dynamics | Quantitative Analystitative Finance, 12:4, 547-557 | 2012 |
| G. Okten, Manan Shah, Y. Goncharov | Random and Deterministic Digit Permutations of the Halton Sequence | Monte Carlo and Quasi-Monte Carlo Methods 2010, 609-622. Springer, Berlin, Heidelberg | 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 graduates in Financial Mathematics Details
| Name | Graduation date | Title | Location |
|---|---|---|---|
| Shreya Bose | PhD, 2023 | Quant Analyst | Wells Fargo |
| Zishi Feng | PhD, 2022 | Risk Analyst | Citibank, Tampa |
| Hubeyb Gurdogan | PhD, 2021 | CDAR Postdoc | UC Berkeley |
| Xiaoyu Wang | PhD, 2021 | Postdoc | Washington University in St. Louis |
| Heting Yan | PhD, 2020 | Data Scientist | Microsoft |
| Arun Polala | PhD, 2020 | Quantitative Analyst | Wells Fargo, NYC |
| Jamie Fox | PhD, 2020 | Quantitative Analyst | Wells Fargo, Charlotte |
| Nicholas Dunn | MS, 2020 | Model Validation Analyst | BBVA Compass |
| Nicholas Di Egidio | MS, 2020 | Financial Solutions Senior Analyst | Citibank, Tampa |
| Alex Claffey | MS, 2020 | Business Intelligence & Analytics Senior Analyst | Raymond James, St Pete, FL |
| Navid Salehy | PhD, 2019 | Assistant Professor | University of New Orleans |
| Nima Salehy | PhD, 2019 | Adjunct Faculty | Louisiana Tech University |
| Andrey Manakov | PhD, 2019 | Group Lead | Citibank, Tampa |
| Calen Jackman | MS, 2019 | Financial Systems Analyst | L3Harris, Palm Bay, FL |
| Connor Bush | MS, 2019 | Actuary | Ernst & Young, Dallas |
| Chase Heafner | MS, 2019 | Pricing Analyst | Transportation Insight |
| Daniel Gonzalez | MS, 2019 | PhD Student | Computer Science, University of Notre Dame |
| William Cullen | MS, 2019 | Financial Specialist | Flowers Foods & Subsidiaries |
| Hua-Yi Lin | PhD, 2018 | Quantitative Associate | Wells Fargo, Charlotte |
| Debanjana Dey | MS, 2018 | PhD Student | Finance Department, University of Central Florida |
| Tyler Allee | MS, 2018 | PhD Student | Department of Economics, Florida State University |
| Othniel Ashidam | MS, 2018 | Jr. Business Intelligence Analyst | SharpSpring Inc., Gainesville |
| Tian Chen | MS, 2018 | Business Analyst | Sinocontech, Cambridge MA |
| Chelsea Humphreys | MS, 2018 | Actuarial Assistant | Mutual of Omaha, Omaha, Nebraska |
| Jae Hyun Jo | MS, 2018 | Senior Manager | Financial Supervisory Service, Seoul, Korea |
| Patrick Mangan | MS, 2018 | Quantitative Financial Analyst | Southern Company, Atlanta | Zailei Cheng | PhD, 2018 | Quantitative Risk Analyst | Citibank, Tampa |
| Neda Moinian | MS, 2018 | Instructor | University of New Orleans |
| Benjamin Weber | MS, 2018 | PhD Student | Department of Mathematical Sciences, Carnegie Mellon University |
| Jiawei Yu | MS, 2018 | Ops Specialist - trade settlement | Brown Brothers Harriman, Jersey City |
| Tushar Makhija | MS, 2017 | Actuarial Analyst | Milliman, Atlanta |
| Margarita Mangones | MS, 2017 | Actuary | BBVA Seguros Vida, Colombia |
| Samuel Miller | MS, 2017 | Actuarial Analyst | Capital Health Plan, Tallahassee |
| Suyog Shelar | MS, 2017 | Senior Consultant | Key Bank, Cleveland |
| Emma Svensson | MS, 2017 | Assistant Swim Coach | FSU Athletics |
| Jiani Wang | MS, 2017 | Data Scientist | Ford Motor Company, Dearborn |
| Xuchang Zhang | MS, 2017 | Intern | Guosen Securities, Shenzhen, China |
| Yuanda Chen | PhD, 2017 | Associate | Goldman Sachs, NYC |
| David Mandel | PhD, 2017 | Associate | JP Morgan, NYC |
| Yu-Ying Tzeng | PhD, 2017 | Assistant Professor | Department of Risk Management and Insurance, National Cheng-Chi University, Taiwan |
| Jian Wang | PhD, 2017 | Senior AI Research Scientist | Byton, Santa Clara |
| ChenChen Zhou | PhD, 2017 | Quantitative Analyst | Wells Fargo, Charlotte |
| Wan-Yu Tsai | PhD, 2017 | Quantitative Finance Analyst | Bank of America, Charlotte |
| Morgan Weiss | MS, 2017 | Quantitative Analyst | Aspen Capital, Portland |
| David Kirby | MS, 2016 | Adjunct Professor | Santa Fe College, Gainseville |
| Yu-Cheng Lin | MS, 2016 | Consultant | KPMG Taiwan |
| Jeremiah Pack | MS, 2016 | Health Actuarial Analyst | Milliman, Atlanta |
| Noah Schmidt | MS, 2016 | Math Specialist, TCC Learning Commons | Tallahassee Community College, Tallahassee |
| Chun-Yuan Chiu | PhD, 2016 | Quantitative Analyst | Bank of America - Merrill Lynch, NYC |
| Fangxi Gu | PhD, 2016 | Quantitative Analyst | High-Flyer Quant, Hangzhou, China |
| Koudiao Yao | PhD, 2016 | Modeling Analyst | The Cincinnati Insurance Companies |
| Calandra Brazile | MS, 2015 | MBA student | University of Texas Dallas |
| Anthony Wills | PhD, 2015 | Quantitative Analyst | Southern Company, Atlanta |
| Dawna Jones | PhD, 2015 | Quantitative Analyst | Wells Fargo, Charlotte |
| Wei Yuang | PhD, 2015 | Quantitative Analyst | Wells Fargo, Charlotte |
| Linlin Xu | PhD, 2015 | Quantitative Analyst | Barclays, NYC |
| Erika Fedorko | MS, 2015 | Actuarial Analyst | Aon, Los Angeles |
| Danielle Ireton | MS, 2015 | Actuarial Analyst | RSUI Group, Atlanta |
| Yi Ji | MS, 2015 | Business Intelligence Manager | Vibrant America Clinical Lab, San Carlos |
| Oktay Akpolat | MS, 2015 | Ph.D. Student | Department of Statistics, Florida State University |
| Mingfei Qiu | MS, 2015 | Ph.D. Student | Department of Statistics, Florida State University |
| Nguyet Nguyen | PhD, 2014 | Assistant Professor | Youngstown State University |
| Ahmed Derar Islim | PhD, 2014 | Credit Quantitative Analyst | Bank of America - Merrill Lynch, NYC |
| Ming Zhu | PhD, 2014 | Quantitative Analyst | Bank of America - Merrill Lynch, NYC |
| Johnny Petit | MS, 2014 | Instructor | Florida A&M University, Tallahassee |
| Chih-Han Hsu | MS, 2014 | Money Market Trader | Cathay United Bank, Taiwan |
| Pierre Garreau | PhD, 2013 | Associate Quantitative Finance Analyst | Deutsche Bank, Jacksonville |
| Yuan Zhang | PhD, 2013 | Tech Software Developer | Yahoo! |
| Motoi Namihira | PhD, 2013 | Quantitative Analyst | Southern Company, Atlanta |
| Ibukun Amusan | PhD, 2013 | Assistant Professor | Kentucky State University, Frankfort |
| Jian Geng | PhD, 2013 | Quantitative Associate | Wells Fargo, Charlotte |
| Wanwan Huang | PhD, 2013 | Assistant Professor | Roosevelt University, Chicago |
| Tan Deng | MS, 2013 | Proprietary Equities Trader | Wall Street Trading, LLC |
| Haomiao (Andrew) Fan | MS, 2013 | Quantitative Risk Analyst | Citibank, Tampa |
| Thomas Grivakis | MS, 2013 | Actuarial Analyst | Wakely Consulting Group |
| Ruite Guo | MS, 2013 | PhD Student | Department of Statistics, FSU |
| Yaoliang He | MS, 2013 | Quantitative Equities Research Associate | Principal Financial Group |
| Naman Jani | MS, 2013 | Analyst, EFT Trader | Deutsche Bank, Jacksonville |
| Haoyue Jin | MS, 2013 | Modeling Analyst | Citibank, Tampa |
| Namsuk Lee | MS, 2013 | Research Assistant | KTB Investment & Securities Co., Ltd., Seol, Korea |
| Xin Liu | MS, 2013 | Software Designer | Southeastern Data Cooperative, Atlanta |
| Jun Meng | MS, 2013 | Pricing Science Intern | Prorize LLC |
| Gene Paul San Valentin | MS, 2013 | Assistant Actuary | AIG |
| Li Zhang | MS, 2013 | Market Reserch Analyst | Amica Mutual Insurance Co. Westborough |
| Sen Zhang | MS, 2013 | Statistical Quant Analyst | SunTrust, Atlanta |
| Sheng Zheng | MS, 2013 | Equity Research Associate | Deutsche Bank, Shanghai, China |
| Joseph Boor | PhD, 2012 | Actuary | Florida Office of Insurance Regulation, Tallahassee |
| He Huang | PhD, 2012 | Quantitative Analyst | Alliance Bernstein, NYC |
| Yang Liu | PhD, 2012 | Portfolio Manager | Florida State Board of Administration, Tallahassee |
| Jinhua Yan | PhD, 2012 | Asistant Vice President | Citibank, Tampa |
| Yi Dai | MS, 2012 | Managing Director | BOMINWELL Systems Engineering Co. Ltd, Shenzhen, China |
| Fan Fei | MS, 2012 | Data Scientist | Comrise, NJ |
| Wei Li | MS, 2012 | PhD Student | Department of Mathematics, Washington State University |
| Kaizhe Liu | MS, 2012 | Analyst | Pengyuan Credit Rating Co Ltd, China |
| Chen Luo | MS, 2012 | Trader | New Technology Solutions, Jersey City |
| Bei Wang | MS, 2012 | Data Scientist | Liberty Mutual Insurance, Seattle |
| Jie (Amy) Zhao | MS, 2012 | Actuarial Associate | ING, Philadelphia |
| Jimmy Doyle | MS, 2012 | Actuarial Analyst | Aetna, Tampa |
| Tim Lewkow | MS, 2012 | Integration Engineering Manager | Ripple, San Francisco |
| Yu Tian | MS, 2011 | P&C Solutions Manager | Swiss Re, Beijing, China |
| Stephen Brouillette | MS, 2011 | Actuarial Analyst | G.S. Curran & Co., Baton Rouge |
| Abdullah Makki | MS, 2011 | PhD Student | Hospitality Management, University of Central Florida |
| Jonathan Yeatman | MS, 2011 | Portfolio Manager | State Board of Administration, Tallahassee |
| Joel Douglas | MS, 2011 | Associate - Pension Actuary | Fidelity Investments, Dallas |
| Saleem Hameer | MS, 2011 | Acquisitions | Offerpad, Charlotte |
| Jingyi Xiao | MS, 2011 | PhD Student | Department of Statistics, FSU |
| Haseeb Khawaja | MS, 2011 | Senior Consultant | Deloitte, Houston |
| Yuanying Guan | PhD, 2011 | Assistant Professor | Department of Mathematics and Actuarial Science, Indiana University Northwest |
| Matthew Willyard | PhD, 2011 | Associate Teaching Professor | Department of Mathematics, The Pennsylvania State University |