Program Director: Lingjiong Zhu (until August 2024); Alec Kercheval (starting Aug. 2024)
Affiliated Faculty
Professor Bao's research interests include analysis and numerical solutions for stochastic differential equations, data assimilation, statistical inference, uncertainty quantification, and stochastic optimization.
Professor Feng works in financial mathematics, stochastic analysis, rough path theory, and machine learning.
Professor Kercheval works in financial mathematics and mathematical economics, including: portfolio and credit risk, high frequency pricing models, and high dimensional covariance estimation.
Professor Ökten is interested in computational finance and Monte Carlo & quasi-Monte Carlo methods.
Professor Zhu works in applied probability, data science, operations research and financial engineering.
- Mathematics: Malbor Asllani, Brian Ewald, Arash Fahim, Kyle Gallivan, Ziad Musslimani, Craig Nolder, Stephen Paris
- Statistics: Fred Huffer, Vic Patrangenaru
- Finance: Steve Perfect
- Scientific Computing: Xiaoqiang Wang
- Computer Science: David B. Whalley
- Risk Management/Insurance, Real Estate and Legal Studies: Patricia Born