Erhan Bayraktar

Professor of Mathematics

Department of Mathematics
University of Michigan Office:
Email: 2846 East Hall
erhan [no spam] umich (dot) edu

Employment History

(Full) Professor, Sep 2013 onwards, Department of Mathematics, University of Michigan.
Director of the Quantitative Finance and Risk Management Masters Program, January 2015 onwards.
Associate Professor (with Tenure), Sep 2010-August 2013, Department of Mathematics, University of Michigan.
Assistant Professor (Tenure Track), Sep 2006-August 2010, Department of Mathematics, University of Michigan.
T. H. Hildebrandt Research Assistant Professor, Aug 2004-Aug 2006, Department of Mathematics, University of Michigan.

Education

Ph.D., Princeton University, 2004.
M.A., Princeton University, 2002.
B.S., Electrical Engineering (Alumni in academia ), Middle East Technical University, Turkey, 2000.
B.S. Mathematics, Middle East Technical University, Turkey, 2000.
Science High School of Izmir (Izmir Fen Lisesi) , Turkey, 1996.

Teaching

Probability and Random Processes II, MATH/STAT 626: Winter 2008, Winter 2009, Winter 2012, Winter 2013, Winter 2015, Winter 2017.

Probability and Random Processes I, MATH/STAT 625, Winter 2007, Fall 2007, Fall 2008, Fall 2011, Fall 2013, Fall 2014.

Computational Finance, MATH/IOE 623: Fall 2004, Winter 2005, Winter 2006, Fall 2006, Fall 2010, Winter 2011, Fall 2015.

Discrete State Stochastic Processes, MATH/STAT 526: Fall 2008, Fall 2016.

Continuous Time Stochastic Analysis for Finance, Math 506: Fall 2007.

Mathematical Finance, MATH 423: Fall 2005, Winter 2012, Winter 2013.

Research Interests

Mathematical finance, applied probability, stochastic analysis, stochastic control, optimal stopping.

Thesis

Topics in Stochastic Processes and Their Applications, Princeton University 2004. [ Link ]

Grants

National Science Foundation Grant in Applied Mathematics, DMS-1613170, 2016-2019.
National Science Foundation CAREER Grant in Applied Mathematics, DMS-0955463, 2010-2016 (PI).
National Science Foundation, Division of Mathematical Sciences, Computational Foundations for Emerging Science Frontiers, DMS-1118673, 2011-2015 (PI, joint with Lifeng Lai and H. Vincent Poor).
National Science Foundation Applied Mathematics Research Grant, DMS-0906257, 2009-2013 (PI).
National Science Foundation, DMS-1108593, Workshop on Stochastic Analysis in Finance and Insurance, May 2011 (PI, joint with Mihai Sirbu and Gordan Zitkovic).
National Science Foundation Coffes/Applied Mathematics Research Grant, DMS-0604491, 2006-2009 (PI).
Horace H. Rackham Faculty Grant and Fellowship, University of Michigan, Ann Arbor, MI, 2005-2006.
Independent Contractor for the U.S. Army Pantheon Project (2005-2006).
CKER Research Grant, Society of Actuaries (joint with Mike Ludkovski) (2007-2008).
AERF Research Grant, The Actuarial Foundation (joint with Jenny Young) (2009-2010).
CKER Research Grant, Society of Actuaries (joint with Jenny Young) (2012-2013).

Recent Honors

Susan M. Smith Professorship, 2010-.
SIAM Activity Group on Financial Mathematics and Engineering (SIAG/FME) (the inaugural) Early Career Prize, 2010.

Editorial Responsibilities

Associate Editor of Applied Mathematics and Optimization, July 2016-December 2018.
Associate Editor of Mathematical Finance, November 2013-.
Associate Editor of Mathematics of Operations Research, December 2013- December 2018.
Associate editor of SIAM Journal on Control and Optimization (SICON), January 2014-.

Articles to appear

Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics, with Andrea Cosso and Huyen Pham , [HAL], [ArXiv], to appear in Transactions of the American Mathematical Society .
On the Robust Dynkin Game, (with Song Yao), to appear in Annals of Applied Probability [ArXiv], [SSRN].
Risk Sensitive Control of the Lifetime Ruin Problem , (with Asaf Cohen), to appear in Applied Mathematics and Optimization, [SSRN], [ArXiv], [Article].
Arbitrage, hedging and utility maximization using semi-static trading strategies with American options, (with Zhou Zhou), to appear in Annals of Applied Probability. [SSRN], [ArXiv].
On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints , (with Zhou Zhou), to appear in Mathematical Finance , [SSRN], [ArXiv], [Article].

Published Journal Articles

A rank based mean field game in the strong formulation , (with Yuchong Zhang),Electronic Communications in Probability , 2016, Vol. 21, paper no. 72, 1-12. [SSRN], [ArXiv], [Article]
Robust feedback switching control: dynamic programming and viscosity solutions , (with Andrea Cosso and Huyen Pham), SIAM Journal on Control and Optimization, 54(5), 2594–2628, October 2016. [ArXiv], [HAL], [Article].
Stochastic Perron for Stochastic Target Problems, (with Jiaqi Li), Journal of Optimization Theory and Applications, Volume 170, September 2016, Issue 3, 1026–1054.[ArXiv], [Article].
Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty, (with Yuchong Zhang), Mathematics of Operations Research , 41 (3), 2016, 1039 - 1054. [SSRN], [ArXiv], [Article].
Optimally Investing to Reach a Bequest Goal , (with Jenny Young), Insurance: Mathematics and Economics, Volume 70, September 2016, 1–10. [SSRN], [ArXiv], [Article].
Minimizing the Probability of Lifetime Drawdown under Constant Consumption , (with Bahman Angoshtari and Jenny Young), Insurance: Mathematics and Economics, Volume 69, July 2016, 210–223. [SSRN], [ArXiv], [Article].
Optimal Investment to Minimize the Probability of Drawdown, (with Bahman Angoshtari and Jenny Young), Stochastics, Volume 88 (6), 2016, 946-958. [SSRN], [ArXiv], [Article]
On an Optimal Stopping Problem of an Insider , (with Zhou Zhou), Theory of Probability and Its Applications, 61 (1), 181-186, 2016. [SSRN], [ArXiv], [Article].
On a Stopping Game in continuous time , (with Zhou Zhou),Proceedings of the AMS 144 (8), 3589-3596, 2016. [ArXiv], [Article].
An alpha-Stable Limit Theorem Under Sublinear Expectation , (with Alex Munk), Bernoulli, 22 (4), 2548-2578, 2016. [ArXiv].
Stochastic Perron for Stochastic Target Games, (with Jiaqi Li), Annals of Applied Probability, 26 (2), 1082-1110, 2016. [ArXiv/Article].
Purchasing Term Life Insurance to Reach a Bequest while Consuming, (with David Promislow and Jenny Young), SIAM Journal on Financial Mathematics, 7(1), 183–214, 2016. [SSRN], [ArXiv], [Article].
Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption , (with Bahman Angoshtari and Jenny Young), Finance Research Letters, Volume 15, Pages 106–114, 2015. [SSRN], [ArXiv], [Article].
Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games , (with Song Yao),Stochastic Processes and Their Applications , 125 (12) 4489–4542, 2015. [ArXiv], [Article].
Weak reflection principle for Levy processes , (with Sergey Nadtochiy), Annals of Applied Probability, 25 (6), 3251-3294, 2015. [SSRN], [ArXiv], [Article].
Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case , (with David Promislow and Jenny Young), North American Actuarial Journal , 19 (3), 224-236, 2015. [ArXiv], [Article].
Comparing the $G$-Normal Distribution to its Classical Counterpart, (with Alexander Munk), Communications on Stochastic Analysis , 9 (1), 1-18, 2015. [ArXiv], [SSRN], [Article].
On hedging American options under model uncertainty , (with Yu-Jui Huang and Zhou Zhou), SIAM Journal on Financial Mathematics (SIFIN), , 6(1), 425–447, 2015.[SSRN], [ArXiv], [Article].
Byzantine Fault Tolerant Distributed Quickest Change Detection, (with Lifeng Lai), SIAM Journal on Control and Optimization , 53(2), 575-591, 2015. [ArXiv], [Article].
Quickest Detection with Discretely Controlled Observations, (with Ross Kravitz), Sequential Analysis, 34 (1), 77-133, 2015. [ArXiv], [Article].
Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs, (with Yuchong Zhang), SICON (SIAM Journal on Control and Optimization), 53(1), 91-113, 2015. [SSRN],[ArXiv], [Article].
Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion , (with Yuchong Zhang), SICON (SIAM Journal on Control and Optimization), 53(1), 58-90, 2015. [SSRN], [ArXiv], [Article].
A note on the Fundamental Theorem of Asset Pricing under model uncertainty , (with Yuchong Zhang and Zhou Zhou), Risks , 2(4), 425-433, 2014. [SSRN], [ArXiv], [Article].
On the Robust Optimal Stopping Problem , (with Song Yao), SIAM Journal on Control and Optimization, 52(5), 3135-3175, 2014. [SSRN], [ArXiv], [Article].
Liquidation in Limit Order Books with Controlled Intensity, (with Mike Ludkovski), Mathematical Finance, Volume 24, Issue 4, pages 627-650, October 2014. [SSRN ], [ArXiv ], [Article ]
Bayesian Quickest Change Point Detection with Sampling Right Constraints, (with Jun Geng and Lifeng Lai), IEEE Transactions on Information Theory, Volume 60, No. 10, 6474-6490, 2014. [Article].
Purchasing Life Insurance to Reach a Bequest Goal, (with David Promislow and Jenny Young), Insurance: Mathematics and Economics, Volume 58, 204-216, 2014. [ArXiv], [SSRN], [Article].
Quickest Search over Brownian Channels, (with Ross Kravitz), Stochastics, Volume 86, Issue 3, 473-490, 2014. [ArXiv], [Article].
A Stochastic Approximation for Fully Nonlinear Free Boundary Problems, (with Arash Fahim), Numerical Methods for Partial Differential Equations , Volume 30, Issue 3, pages 902-929, May 2014. [ArXiv], [Article].
A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance, (with Nicole Bauerle), Stochastics, Volume 86, Issue 2, pages 330-340, 2014. [ArXiv], [Article].
Stochastic Perron's method and verification without smoothness using viscosity comparison: obstacle problems and Dynkin games, (with Mihai Sirbu), Proceedings of the American Mathematical Society , 142 (4), 1399-1412, 2014. [ArXiv], [Article].
On controller-stopper problems with jumps and their applications to indifference pricing of American options, (with Zhou Zhou), SIFIN (SIAM Journal on Financial Mathematics), 5 (1), 20-49, 2014. [ArXiv], [SSRN], [Article].
Optimal reinsurance and investment with unobservable claim size and intensity , (with Zhibin Liang), IME (Insurance: Mathematics and Economics), 55 (March 2014), Pages 156–166. [Article].
Optimal dividends in the dual model under transaction costs, (with Andreas Kyprianou and Kazutoshi Yamazaki), Insurance: Mathematics and Economics., 54, 133-143, 2014. [ArXiv], [SSRN], [Article]
On the Existence of Consistent Price Systems, (with Mikko S. Pakkanen and Hasanjan Sayit), Stochastic Analysis and Applications, 32, 152-162, 2014. [ ArXiv], [ Article]
Stochastic Perron's method for Hamilton-Jacobi-Bellman equations, (with Mihai Sirbu), SIAM Journal on Control and Optimization , 51(6), 4274-4294, 2013.[ArXiv], [SSRN], [Article].
Robust maximization of asymptotic growth under covariance uncertainty , (with Yu-Jui Huang) Annals of Applied Probability , 23 (5), 1817-1840, 2013. [ArXiv, Article ], [SSRN].
On optimal dividends in the dual model, (with Andreas Kyprianou and Kazutoshi Yamazaki), ASTIN Bulletin, 43 (3), 359-372. [ArXiv], [SSRN], [Article].
On the Impulse Control of Jump Diffusions, (with Tom Emmerling and Jose-Luis Menaldi), SIAM Journal on Control and Optimization , 51(3), 2612--2637, 2013. [PDF], [SSRN], [Article].
Life Insurance Purchasing to Maximize Utility of Household Consumption , (with Virginia R. Young), NAAJ, 17 (2), 1--22, 2013. [ArXiv], [Article].
A Weak Dynamic Programming Principle for Zero-Sum Stochastic Differential Games with Unbounded Controls, (with Song Yao), SIAM Journal on Control and Optimization , 51(3), 2036--2080, 2013. [ArXiv], [SSRN], [Article]
On the Multi-dimensional controller and stopper games, (with Yu-Jui Huang), SIAM Journal on Control and Optimization, 51 (2), 1263--1297, 2013. [ArXiv],[SSRN], [Article].
Stability of exponential utility maximization with respect to market perturbations, (with Ross Kravitz) Stochastic Processes and Their Applications, 123 (5), 1671-1690, 2013. [ArXiv ], [Article].
Outperforming the Market Portfolio with a Given Probability, (with Yu-Jui Huang and Qingshuo Song), Annals of Applied Probability , 22 (4) 1465--1494, 2012. [ArXiv, Article], [SSRN].
Stochastic Perron's method and verification without smoothness using viscosity comparison: the linear case, (with Mihai Sirbu), Proceedings of the American Mathematical Society , 140, 3645-3654, 2012. [ArXiv ], [Article]
Regularity of the Optimal Stopping Problem for Jump Diffusions, (with Hao Xing), SIAM Journal on Control and Optimization, 50 (3), 1337-1357, 2012.[ ArXiv], [Article].
Valuation equations for stochastic volatility models, (with Kostas Kardaras and Hao Xing), SIAM Journal on Financial Mathematics, 2012, 3, 351-373. [SSRN], [ArXiv], [Article].
Strict Local Martingale Deflators and Pricing American Call-Type Options, (with Constantinos Kardaras and Hao Xing), Finance and Stochastics , (2012), 16(2), 275-291. [SSRN], [Arxiv], [Article].
Quadratic Reflected BSDEs with Unbounded Obstacles, (with Song Yao), Stochastic Processes and Their Applications, (2012), 122, 1155-1203. [ArXiv], [SSRN], [Article].
Proving the Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control, (with Virginia R. Young), Finance and Stochastics (2011), 15 (4), 785-818. [SSRN], [ArXiv], [Article].
Optimal Trade Execution in Illiquid Markets, (with Mike Ludkovski), Mathematical Finance (2011), 21(4), 681-701. [ArXiv], [SSRN], [Article].
A Unified Framework for Pricing Credit and Equity Derivatives (with Bo Yang), Mathematical Finance, (2011), 21 (3), 493-517. [ PDF], [ArXiv], [SSRN], [Article].
On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps, Quantitative Finance, (2011), 11 (3), 335-341. [ ArXiv], [ SSRN], [ Article].
Minimizing the Probability of Lifetime Ruin under Stochastic Volatility, (with Xueying Hu and Virginia R. Young), Insurance Mathematics and Economics (2011), 49 (2), 194-206. [ArXiv], [Article]
Optimal Stopping for Nonlinear Expectations, Part I (with Song Yao), Stochastic Processes and Their Applications (2011), 121 (2), 185-211. [SSRN], [Article].
Optimal Stopping for Nonlinear Expectations, Part II (with Song Yao), Stochastic Processes and Their Applications (2011), 121 (2), 212-264. An older version where Part I and II appear together [ArXiv], [SSRN], [Article].
Pricing Asian Options for Jump Diffusions (with Hao Xing), Mathematical Finance (2011), 21 (1), 117-143. [ArXiv], [SSRN], [Article].
On the Continuity of Stochastic Exit Time Control Problems, (with Qingshuo Song and Jie Yang), Stochastic Analysis and Applications (2011), 29, 1-13. [ArXiv], [Article].
Optimal Stopping for Dynamic Convex Risk Measures, (with Ioannis Karatzas and Song Yao), Illinois Journal of Mathematics, 54 (3), 1025-1067 (Fall 2010), A special volume in honor of Donald Burkholder. [ArXiv], [SSRN], [Article].
On the Stickiness Property, (with Hasanjan Sayit), Quantitative Finance, (2010), 10 (10), 1109-1112. [ArXiv], Article].
On the uniqueness of classical solutions of Cauchy problems, (with Hao Xing), Proceedings of the American Mathematical Society, (2010), 138 (6), 2061-2064. [ArXiv], [Article].
On the One-Dimensional Optimal Switching Problem , (with Masahiko Egami), Mathematics of Operations Research, 2010, 35 (1), 140-159. [ArXiv], [Article].
Inventory Management with Partially Observed Non-stationary Demand (with Mike Ludkovski), Annals of Operations Research, 2010, 176 (1), 7-39. [ArXiv], [Article].
Optimal investment strategy to minimize occupation time (with Jenny Young), Annals of Operations Research, 2010, 176 (1), 389-408. [ArXiv], [Article].
A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays, (with Masa Egami), Mathematical Methods of Operations Research, 2010, 71 (2), 325-351. [ArXiv], [Article].
No Arbitrage Conditions For Simple Trading Strategies, (with Hasanjan Sayit), Annals of Finance, (2010), 6 (1), 147-156. [ArXiv], [Article].
Multi-scale Time- Changed Birth Processes for Pricing Multi-Name Credit Derivatives (with Bo Yang), Applied Mathematical Finance, (2009), 16 (5), 429-449. [PDF ], [SSRN], [Article].
Pricing American Options for Jump Diffusions by Iterating optimal stopping problems for Diffusions, (with Hao Xing), Mathematical Methods of Operations Research, (2009), 70 (3), 505-525. [ArXiv], [Article].
Analysis of the Optimal Exercise Boundary of American Options for Jump Diffusions (with Hao Xing), SIAM Journal on Mathematical Analysis (2009), 41 (2), 825-860. [ArXiv], [Article].
A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions, SIAM Journal on Control and Optimization (2009), 48 (2), 551-572. [ArXiv], [SSRN], [Article].
A Sequential Tracking of a Hidden Markov Chain Using Point Process Observations (with Mike Ludkovski), Stochastic Processes and Their Applications, 2009, 119 (6) 1792-1822. [ArXiv ], [Article].
Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities (with Moshe Milevsky, David Promislow, Virginia Young), Journal of Economic Dynamics and Control, (2009), 33 (3), 676-691. [ArXiv ], [SSRN], [Article].
Online Change Detection for a Poisson Process with a Phase-Type Change-Time Prior Distribution (with Semih Sezer), Sequential Analysis, 2009, 28 (2), 218-250. [ArXiv] (an older version with a different title), [ArXiv]
Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin (with Jenny Young), North American Actuarial Journal (NAAJ), (2009) 13 (1), 141-154. [Article].
Relative Hedging of Systematic Mortality Risk (with Mike Ludkovski), NAAJ, (2009), 13 (1), 106-140. [Article].
Minimizing the Lifetime Shortfall or Shortfall at Death (with Jenny Young), Insurance: Mathematics and Economics, 2009, 44 (3), 447-458. [ArXiv], [Article].
Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin (with Virginia R. Young), Finance and Research Letters, (2008), 5 (4), 204-212. [ArXiv], [Article].
Minimizing the Probability of Lifetime Ruin under Random Consumption (with Kristen Moore and Virginia R. Young), NAAJ, 2008, 12 (4) 384-400. [Article ].
Minimizing the Probability of Ruin when Consumption is Ratcheted (with Virginia R. Young), NAAJ, 2008, 12 (4) 428-442. [Article].
Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin (with Virginia R. Young), Finance and Research Letters, (2008), 5 (2), 69-78. [ArXiv], [Article].
Pricing Options on Defaultable Stocks, Applied Mathematical Finance , (2008), Volume 15 (3), 277-304. [ArXiv], [Article]
Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio (with V. R. Young), Annals of Finance, Volume 4 (4), 399-429 (2008). [ArXiv], [Article].
An Analysis of Monotone Follower Problems for Diffusion Processes, (with Masa Egami), Mathematics of Operations Research, 33 (2), May 2008, 336-350. [ArXiv], [Article].
Queuing theoretic approaches to financial price fluctuations (with Ulrich Horst and Ronnie Sircar), [SSRN], Handbooks in OR&MS: Financial Engineering, 15, eds. John Birge and Vadim Linetsky, (Elsevier) , (2008) [ArXiv], [Google books].
Optimal Time To Change Premiums , (with H. Vincent Poor), Mathematical Methods of Operations Research, 2008, 68 (1), 125-158.[ArXiv], [Article].
Optimizing Venture Capital Investments in a Jump Diffusion Model, (with Masahiko Egami), Mathematical Methods of Operations Research, 2008, 67 (1), 21-42. [ ArXiv], [ Article].
Correspondence between Lifetime Minimum Wealth and Utility of Consumption, (with Virginia R. Young), Finance and Stochastics , 2007, Volume 11 (2) 213-236. [SSRN ] [ArXiv ], [Article].
The effects of implementation delay on decision-making under uncertainty , (with Masahiko Egami), Stochastic Processes and Their Applications, 2007, Volume 117 (3), 333-358. [ArXiv], [Article].
Minimizing the Probability of Lifetime Ruin under Borrowing Constraints, (with Virginia R. Young), Insurance: Mathematics and Economics,, 2007, 41: 196-221 . [ArXiv], [Article].
Quickest Detection of a Minimum of Two Poisson Disorder Times (with H. Vincent Poor), SIAM Journal on Control and Optimization, 2007, 46 (1), 308-331. [ArXiv], [Article].
Hedging Life Insurance: with Pure Endowments , (with V. R. Young), Insurance: Mathematics and Economics , (2007), Volume 40 (3), 435-444. [ Article].
Adaptive Poisson Disorder Problem, (with Savas Dayanik and Ioannis Karatzas), Annals of Applied Probability, 16, no. 3 (2006), 1190-1261. [ ArXiv, Article].
A limit Theorem for Financial Markets with Inert Investors (with Ulrich Horst and Ronnie Sircar), Mathematics of Operations Research, 2006, Volume 31 (4), 789-810. [SSRN], [ArXiv], [Article].
Poisson Disorder Problem with Exponential Penalty for Delay, (with Savas Dayanik), Mathematics of Operations Research, 31:2, 217-233, 2006; finalist in INFORMS 2004 Junior Faculty Interest Group Paper Competition. [ PDF], [ Abstract].
Projecting the Forward Rate Flow onto a Finite Dimensional Manifold, (with H. Vincent Poor and Li Chen), International Journal of Theoretical and Applied Finance , 2006, Volume 5, 777-785. [ArXiv], [Article].
Stochastic Differential Games in a Non-Markovian Setting (with H. Vincent Poor), SIAM Journal on Control and Optimization, 2005, Volume 43 (5), 1737-1756. [ArXiv], [Article].
Standard Poisson Disorder Problem Revisited, (with Savas Dayanik and Ioannis Karatzas), Stochastic Processes and Their Applications, 2005, 115 (9), 1437-1450. [ PDF ], [ Article].
Consistency Problems for Jump-Diffusion Models (with Li Chen and H. Vincent Poor), Applied Mathematical Finance, 2005, Volume 12 (2), 101-119. [ ArXiv], [ Article].
Arbitrage in Fractal Modulated Markets When the Volatility is Stochastic (with H. Vincent Poor), International Journal of Theoretical and Applied Finance, Volume 8 (3), 1-18 2005. [ArXiv], [Article].
Prediction and Tracking of Long Range Dependent Sequences, (with H. Vincent Poor and Raghuveer Rao), Systems and Control Letters, 2005, 54 (11), 1083-1090. [Article].
Estimating the Fractal Dimension of the S&P 500 Index Using Wavelet Analysis (with with H. Vincent Poor and Ronnie Sircar), International Journal of theoretical and Applied Finance, Volume 7 (5), 613-643, 2004. [SSRN] [ArXiv], [Article].

Preprints

On the controller-stopper problems with controlled jumps, with Jiaqi Li, [ArXiv].
Efficient Byzantine Sequential Change Detection, with Georgios Fellouris and Lifeng Lai, [ArXiv].
Rate Control under Heavy Traffic with Strategic Servers, with Amarjit Budhiraja and Asaf Cohen, [ArXiv].
High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering, with Alex Munk, [SSRN], [ArXiv], [News Article]
Arbitrage and hedging with liquid American options, with Zhou Zhou, [SSRN], [ArXiv].
Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty, with Zhou Zhou, [SSRN], [ArXiv].
Distribution-Constrained Optimal Stopping, [ArXiv], with Christopher W. Miller.
Optimal Stopping with Random Maturity under Nonlinear Expectations, with Song Yao, [ArXiv].
Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices, with Xiang Yu, [SSRN], [ArXiv].
Ergodicity of robust switching control and nonlinear system of quasi variational inequalities, with Andrea Cosso and Huyen Pham, [HAL], [ArXiv].
Quantile Hedging in a Semi-Static Market with Model Uncertainty, with Gu Wang, [SSRN], [ArXiv].
On Zero-sum Optimal Stopping Games, with Zhou Zhou, [SSRN], [ArXiv].
On the Market Viability under Proportional Transaction Costs, with Xiang Yu, [SSRN], [ArXiv].

Conference Publications

Efficient Estimation of the Hurst Parameter in High Frequency Financial Data with Seasonalities Using Wavelets, Proceedings of 2003 International Conference on Computational Intelligence for Financial Engineering (CIFEr2003), Hong-Kong, March 21-25, 2003, [Article].
Prediction and Tracking of Long Range Dependent Sequences Proceedings of the 38th Annual Conference on Information Sciences and Systems, March 2004, Princeton.
Signal Processing Models for Discrete-Time Self-Similar and Multifractal Processes, Proceedings of the 37th Asilomar Conference on Signals, Systems and Computers, Nov 2003, California. [Article].
Quickest Detection of a Minimum of Disorder Times, invited to the 44th IEEE Conference on Decision and Control and European Control Conference ECC 2005, Seville, December 12-15. [Article].
Multi-source Change Detection for Compound Poisson Processes , Proceedings of 43th Annual Allerton Conference on Communication, Control, and Computing, September 28-30, 2005.
Pricing American Options for Jump Diffusions with Iterated SOR, Proceeding of Financial Engineering and Applications - 2007
Quickest Change Point Detection with Sampling Right Constraints, with Jun Geng and Lifeng Lai, Proceedings of the 50th Allerton Conference on Communication, Control, and Computing, October 2012.

Research Visits and Talks

Special Invited Lecture at the 16th Winter school on Mathematical Finance, Netherlands, January 2017.
Plenary speaker at the 9th World Congress of the Bachelier Finance Society, July 15-19, 2016.
HPV65 A Workshop Honoring Vince Poor, July 9, 2016.
Invited speaker at 2016 Risk and Stochastics Conference, London School of Economics, April 2016.
Invited speaker at 1st Eastern Conference on Mathematical Finance, Worcester, MA, March 2016.
Princeton, ORFE Colloquium, October 6, 2015.
Georgia Tech, ISyE Colloquium, September 16, 2015.
Invited speaker in the Stochastic Control Session at the AMS Sectional Meeting at Michigan State University in East Lansing, Michigan, 3,1415.
Invited speaker at the Paris-Southeast Asia Conference in Mathematical Finance, February 7-11, Siem Reap, Cambodia.
Plenary speaker at the NUS-University of Paris Diderot Workshop in Quantitative Finance, February 4-5, 2015, Singapore.
Boeing Distinguished Colloquium, University of Washington, Nov 20, 2014.
Mini symposium speaker at SIAM Meeting on Financial Math, Nov 13-15, 2014, Chicago. (Also a member of the organizing committee.)
Invited speaker at Trading and Portfolio Theory, November 11-12, 2014, University of Chicago.
Financial Mathematics Seminar, Princeton University, September 11, 2014.
New Directions in Financial Mathematics and Mathematical Economics, Banff, CA, July 6-11, 2014.
Plenary talk at Labex Louis Bachelier - SIAM-SMAI Conference on Financial Mathematics: Advanced Modeling and Numerical Methods, June 17-20, 2014, Paris.
Colloquium of ISFA (Institut de Science Financiere et d'Assurances), University of Lyon 1, June 4, 2014.
Financial Math Colloquium, Department of Mathematical Sciences, Dublin City University, May 28, 2014.
Stochastic Analysis in Finance and Insurance. Mathematisches Forschungsinstitut Oberwolfach, Germany, May 4-10, 2014.
Columbia Mathematical Finance Seminar, March 6, 2014.
Scoping Meeting on Mathematical and Physical Sciences of Modern Financial Markets: Computerised Trading at Low and High Frequency, Isaac Newton Institute, Cambridge, 19-21 November 2013.
Probability and Statistics seminar, Universite du Maine (Laboratoire Manceau de Mathematiques), October 8, 2013.
Financial Mathematics Seminar, University of Pittsburgh , Feb 11, 2013.
Mathematics Colloquium, WPI, December 7, 2012.
Statistics and Probability Seminar series, Boston University, December 6, 2012.
2012 Algorithm Workshop (organized by NSF), November 26-29, 2012. in San Diego, CA.
Financial and Insurance Mathematics Seminar, Nov 6, 2012, ETH, Zurich.
Plenary speaker at the International Conference on Advanced Stochastic Optimization Problems organized by the Steklov Institute of Math, Moscow, September 24-28 (keynote speaker).
Math Finance Colloquium, USC, September 17, 2012.
Probability, Control and Finance: A Conference in Honor of the 60th Birthday of Ioannis Karatzas, June 4-8, 2012, NYC. (Plenary speaker.)
Mathematical Finance Seminar, University of Evry, Dept. of Math, May 31, 2012, France.
Financial Mathematics Seminar, ETH, Zurich, May 10, 2012.
Finance and Stochastics Seminar, Imperial College, Department of Mathematics, March 14, 2012.
Actuarial and Financial Mathematics Conference, Brussels, February 9-12, 2012. (Plenary speaker.)
Mathematics Colloquium, University of Minnesota, Dec 1, 2011.
Workshop on Liquidity Risk Modeling, organized by the University of Evry, Nov 18-19, 2011, Paris. (Plenary speaker.)
Mathematical Finance Seminar, University of Evry, Nov 17, 2011.
Mathematics Colloquium, University of Sydney, Nov 4th, 2011.
Mathematical Finance Colloquium, USC, Oct 17, 2011.
Mathematics Colloquium, Rutgers University, September 16, 2011.
Economics Colloquium, Rutgers University, September 15, 2011.
International Conference on Mathematical Finance and Economics, Istanbul, July 6-8 (Plenary speaker), 2011.
The 35th Conference on Stochastic Processes and their Applications, Oaxaca, Mexico, 19th-24th of June (Invited speaker), 2011.
6th Symposium on BSDEs and Applications, University of Southern California (USC), June 8-10, 2011 (Invited Speaker).
Advances in Portfolio Theory and Investment Management, Oxford-Man Institute, University of Oxford, May 12, 13 and 14, 2011 (keynote speaker).
Risk & Stochastics Seminar, London School of Economics, May 11, 2011.
Bachelier Seminar, l'Institut Henri Poincare, Paris, France, May 6, 2011.
Mathematical Finance Seminar, Paris 6 and 7, France, May 5, 2011.
Mathematics Colloquium, Wayne State University, April 18, 2011.
Inaugural lecture for the Susan M. Smith Chair , University of Michigan, March 22, 2011.
Cornell ORIE Colloquium, January 25, 2011.
Mathematical Finance and Partial Differential Equations Conference 2010 at Rutgers University, December 10, 2010 (Invited Speaker).
Ohio State Math Colloquium, December 3, 2010.
SIAM Conference on Financial Mathematics and Engineering (FM10) November 19-20, 2010, San Francisco, plenary speaker and organizer of a session on optimal stopping.
Risk Seminar, Joint seminar of Columbia Statistics and CUNY Graduate Center Math. Nov 5, 2010.
Bachelier Finance Society World Congress, Fields Institute, Toronto, June 22-26, 2010 (Invited speaker in the Stochastic Control Theme).
IMA Workshop, New Mathematical Models in Economics and Finance, June 9-18.
6th Conference in Actuarial Science & Finance on Samos, June 3-6, 2010 (Keynote speaker).
Financial Mathematics Seminar, University of Texas at Austin, April 23, 2010.
Western Michigan University, Mathematics Colloquium, March 18, 2010.
Montreal Seminar of Actuarial and Financial Mathematics, March 12, 2010.
Center for Research in Financial Mathematics and Statistics (seminar), UCSB, February 22, 2010.
Cornell University, Probability Seminar, October 19, 2009.
INFORMS Annual Meeting, Oct 11-14, 2009. (Invited to the Credit Portfolio Optimization, Finance and Stochastics Sessions.)
Rutgers University, Mathematical Finance and Probability Seminar, September 29, 2009.
Georgia State University, Department of Risk Management and Insurance, Quantitative Finance Seminar, August 28, 2009.
Stanford University, Department of Mathematics, Financial Mathematics Seminar, April 24, 2009.
Fields Institute Quantitative Finance Seminar Series, April 2, 2009 (colloquium speaker).
University of Southern California, Dept. of Mathematics, Mathematical Finance Colloquium. Feb 23, 2009.
Princeton University, Stochastic Analysis Seminar, 16th and 18th of February, 2009.
AMS Annual Meeting, Special Session on Financial Mathematics, Washington D.C., Jan. 7-8, 2009 (Co-organizer)
SIAM Conference on Financial Mathematics and Engineering, Rutgers, November 21-22, 2008 (invited speaker)
Probability Seminar, Columbia University, Department of Mathematics, November 14, 2008 (colloquium).
IFID/MITACS Conference on Financial Engineering for Actuarial Mathematics, Fields Institute, Toronto (November 9-10, 2008) (keynote speaker)
Istanbul Center for Mathematical Sciences, May 2008 (colloquium talk).
Workshop in Memory of Professor Hayri Korezlioglu, Ankara, Turkey, April 2008 (keynote speaker).
Daiwa Young Researchers' Intenational Workshop, March 2008, Kyoto University, Japan (keynote speaker).
Stochastic Analysis in Finance and Insurance. Mathematisches Forschungsinstitut Oberwolfach, Germany, Jan 27-Feb 2, 2008.
Annual AMS Meeting, San Diego, January 2008 (invited speaker).
Fields Institute, Actuarial Science and Mathematical Finance Group Meeting, Toronto, November 2007 (colloquium talk).
Illinois Institute of Technology, Department of Mathematics, Chicago, November 2007 (colloquium talk).
Financial Mathematics Seminar, University of Texas at Austin, October 12, 2007 (colloquium talk).
The Fourth IASTED International Conference on Financial Engineering and Applications, Berkeley, September 24-26, 2007 (invited speaker).
The 32nd Conference on Stochastic Processes and their Applications, Urbana-Champaign, August 2007 (invited speaker).
Applied Mathematics Institute, Middle East Technical University, Ankara, Aug 2, 2007 (colloquium talk).
Joint Mathematics Colloquium of Bogazici University and Koc University, Istanbul, July 20, 2007.
INFORMS International, Puerto Rico, July 2007 (invited speaker).
Kent-Purdue Minisyposium on Financial Mathematics, April 27-28, 2007 (invited speaker).
Statistics Colloquium, University of Michigan, March 23, 2007.
Whitman School of Management, Syracuse University, Finance Colloquium, March 2, 2007 (colloquium talk).
Dept. of Mathematics, Mathematics Bowling Green State University, February 23, 2007 (colloquium talk).
University of Florida, Dept. of Industrial Engineering, February 9, 2007 (colloquium talk).
Probability Seminar, Mathematical Sciences, Carnegie Mellon University, January 15, 2007 (colloquium talk).
Annual AMS Meeting, January 5-8, 2007 (invited speaker).
Probability Seminar, Columbia University, Department of Mathematics, Dec. 15 2006 (colloquium talk).
Probability and Mathematical Finance Seminar, Carnegie Mellon University, Department of Mathematical Sciences, November 20, 2006 (colloquium talk).
Informs Annual Meeting, Pittsburgh, November 5-8, 2006 (invited speaker for the Financial Engineering Session).
SIAM Conference on Financial Mathematics and Engineering, July 9-12, Boston, (invited speaker).
21st European Conference on Operations Research in Reykjavik, Iceland, July 2-5, (invited speaker).
Operations Management Colloquium, University of Michigan, Stephen M. Ross School of Business, March 3, 2006, (colloquium talk).
Industrial Engineering and Operations Research, University of California at Berkeley, Feb 24, 2006, (colloquium talk).
Industrial Engineering and Operations Research, Columbia University, Feb 22, 2006, (colloquium talk).
Statistics, University of California at Berkeley, February 7, 2006, (colloquium talk).
Mathematics, Illinois Institute of Technology, Janury 30, 2006, (colloquium talk).
Statistics and Operations Research, University of North Carolina at Chapel Hill, January 27, 2006, (colloquium talk).
Industrial Engineering, Industrial and Enterprise Systems Engineering, University of Illlinois at Urbana Champaign, January 23, 2006, (colloquium talk).
Applied Probability and Statistics, University of California at Santa Barbara, January 20, 2006, (colloquium talk).
Industrial Engineering Special Seminar, Purdue University, December 6, 2005, (colloquium talk).
Informs Annual Meeting, San Fransisco, November 13-16, 2005 (invited speaker for the Financial Engineering Session).
Financial/ Actuarial Mathematics Seminar, University of Michigan, Dept. of Mathematics, September 15, 2005.
CMS Summer Meeting, Waterloo, CA, June, 2005 (invited speaker to the Mathematics of Actuarial Finance session).
Stochastic Analysis Seminar, Princeton University, March 30, 2005.
Financial/ Actuarial Mathematics Seminar, University of Michigan, Dept. of Mathematics, February 17, 2005.
Financial/ Actuarial Mathematics Seminar, University of Michigan, Dept. of Mathematics, November 4, 2004.
Informs Annual Meeting, Denver, October 24-27, 2004 (invited speaker for the Financial Engineering Session).
Third World Congress of the Bachelier Finance Society, Chicago, July 21-24, 2004.
Industrial and Systems Engineering, University of Florida, Dept. of Industrial Engineering, February 12, 2004, (colloquium talk).
Mathematics, Florida State University, Dept. of Mathematics, Feb 02, 2004, (colloquium talk).
Fractional Brownian Days, Helsinki, Finland, September 26-27, 2003.
29th Conference on Stochastic Processes and Their Applications, Angra dos Reis, Brazil, August 3 - 9, 2003.
Euro Informs Joint International Meeting, Istanbul,Turkey, July 6-10, 2003;
Eighth Viennese Workshop on Optimal Control, Dynamic Games and Nonlinear Dynamics, Vienna,May 14-16, 2003.

Collaborators

Bahman Angoshtari (University of Michigan, Department of Mathematics).
Nicole Bauerle (Karlsruhe Institute of Technology, Department of Mathematics, Germany).
Amarjit Budhiraja (The University of North Carolina at Chapel Hill, Department of Statistics and Operations Research).
Li Chen (Merrill Lynch).
Asaf Cohen (University of Michigan, Department of Mathematics).
Andrea Cosso (Dipartimento di Matematica, Politecnico di Milano).
Savas Dayanik (Bilkent University, Department of Industrial Engineering, Turkey).
Masahiko Egami (Kyoto University, Graduate School of Economics, Japan).
Tom Emmerling (Now Postdoctorate Research Associate in the Department of Real Estate of the Zicklin School of Business at Baruch College).
Arash Fahim (Florida State University, Department of Mathematics).
Georgios Fellouris (University of Illinois at Urbana-Champaign, Department of Statistics).
Ulrich Horst (Humboldt University of Berlin, Department of Mathematics).
Ioannis Karatzas (Columbia University, Department of Mathematics),
Kostas Kardaras (LSE, Department of Statistics).
Andreas Kyprianou (University of Bath, Department of Mathematical Sciences),
Lifeng Lai (UC Davis, Electrical and Computer Engineering).
Zhibin Liang (School of Mathematical Sciences, Nanjing Normal University, China).
Mike Ludkovski (University of California at Santa Barbara, Department of Applied Probability and Statistics).
Jose-Luis Menaldi (Wayne State University, Department of Mathematics).
Moshe Milevsky (York University, Schulich School of Business, Canada).
Christopher W. Miller (UC Berkeley, Department of Mathematics).
Kristen Moore (University of Michigan, Department of Mathematics).
Sergey Nadtochiy (University of Michigan, Department of Mathematics).
Mikko Pakkanen (Department of Mathematics, Imperial College, London).
Huyen Pham (Laboratoire de Probabilites et Modeles Aleatoires, Universite Paris Diderot).
H. Vincent Poor (Princeton University, School of Engineering and Applied Science), My Ph.D Advisor.
David Promislow (York University, Department of Mathematics and Statistics, Canada).
Raghuveer Rao (Army Research Lab).
Hasanjan Sayit (Durham University, Department of Mathematical Sciences).
Semih Sezer (Sabanci University, Department of Industrial Engineering, Turkey).
Mihai Sirbu (University of Texas at Austin, Department of Mathematics).
Ronnie Sircar (Princeton University, Department of Operations Research and Financial Engineering).
Qingshuo Song (City University of Hong Kong, Department of Mathematics).
Gu Wang (WPI, Department of Mathematical Sciences).
Kazutoshi Yamazaki (Kansai University, Japan).
Jie Yang (University of Illinois at Chicago, Department of Mathematics).
Song Yao (University of Pittsburgh, Department of Mathematics).
Virginia (Jenny) R. Young (University of Michigan, Department of Mathematics).
Xiang Yu (Hong Kong Polytechnic University, Department of Applied Mathematics).

Ph.D Students, Math Genealogy

Bo Yang , Vice President, CVA (Counter party Valuation Adjustment) desk strategiest, Morgan Stanley. Defended on August 13, 2008. [ Thesis ]
Hao Xing , Associate Professor@ the Statistics Department of the London School of Economics. Defended on the 20th of April, 2009. [ Thesis ]
Xueying Hu , Vice President, Market risk modeling, Goldman Sachs. Defended on the 6th of January, 2012. [ Thesis ]
Ross Kravitz , Data Scientist at Pandora. Defended on the 10th of January 2013. [ Thesis ]
Yu-Jui Huang , Assistant Professor, Department of Applied Mathematics, University of Colorado Boulder. Defended on April 30th, 2013. [ Thesis ]
Yuchong Zhang (Defended on March 31, 2015; Assistant professor at Columbia University).[ Thesis ]
Zhou Zhou (Defended on April 1, 2015, IMA post-doc). [ Thesis ]
Jiaqi Li (Defended on August 16, 2016; Associate, Controller modeling, Goldman Sachs).
Alex Munk (Candidate).
Jia Guo.

Our Previous and Current Term Assistant Professors in Financial Math

Ronnie Sircar, 1997-2000.
(Now Professor at Princeton University, Department of Operations Research and Financial Engineering).
Yevgeny Goncharov, 2003-2004.
(Now Research Analyst at Quantitative Risk Management, Chicago).
Masahiko Egami, 2005-2007.
(Now Full Professor at Kyoto University, Graduate School of Economics, Japan).
Mike Ludkovski , 2005-2008.
(Now Full Professor at the University of California at Santa Barbara, Department of Applied Probability and Statistics).
Semih Sezer , 2006-2008.
(Now Associate Professor at Sabanci University, Department of Industrial Engineering, Turkey).
Ahmet Duran, 2006-20010.
(Now Associate Professor at Istanbul Technical University, Department of Mathematical Engineering, Turkey).
Song Yao , 2008-2011.
(Now Assistant Professor at the University of Pittsburgh, Department of Mathematics).
Qingshuo Song , 2009.
(Now Associate Professor at the City University of Hong Kong, Department of Mathematics).
Tom Emmerling, 2009-2012.
(Now Postdoctorate Research Associate in the Department of Real Estate of the Zicklin School of Business at Baruch College).
Jose Alcala Burgos, 2010-2013.
(Now CONACYT fellow at CIMAT, Facultad de Matematicas, Mexico).
Arash Fahim, 2011-2013.
(Now Assistant Professor at Florida State University, Department of Mathematics).
Xiang Yu , 2012-2015.
(Tenure track Assistant Professor, Hong Kong Polytechnic University, Department of Applied Mathematics).
Gu Wang, 2013-2015.
(Tenure track Assistant Professor at WPI, Department of Mathematical Sciences).
Asaf Cohen, 2014-2017.
Bahman Angoshtari 2014-2017.
Christian Keller, 2015-2018.
Yavor Stoev, 2015-2018.
Jinniao Qiu, 2015-2018.

Miscellaneous

Erdos Number: 4 (Erdos->Fisburne->Burnashev/Calderbank->Poor->Bayraktar), (Erdos->Berger/Mauldin->Soner/Sudderth->Karatzas->Bayraktar), (Erdos->Janson->Protter->Sayit->Bayraktar), (Erdos->Diaconis->Follmer->Horst->Bayraktar), (Erdos->Tetali->Ramanan->Budhiraja->Bayraktar)

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Updated on 11.08.16 by Erhan Bayraktar