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Students

Current Doctoral Students:

  1. Michael Ohlrogge, Management Science and Engineering and Stanford Law School
  2. Xiaocheng Li, Management Science and Engineering
  3. Enguerrand Horel, Computational and Mathematical Engineering
  4. Robert Stacey, Management Science and Engineering
  5. Bernardo Ramos, Management Science and Engineering
     

Former Doctoral Students:

  1. Eymen Errais, Ph.D. 2006, Management Science and Engineering 
    Thesis: Pricing and Hedging Credit and Interest Rate Derivatives
    First Position: Quantitative Analyst, Barclays Capital, New York
  2. Shahriar Azizpour, Ph.D. 2008, Management Science and Engineering
    Thesis: Estimating Self-Exciting Models of Corporate Default
    First Position: Quantitative Analyst, Credit Suisse, New York
  3. Baeho Kim, Ph.D. 2009, Management Science and Engineering
    Thesis: Essays in Portfolio Credit Risk
    First Position: Assistant Professor, Korea University Business School, Seoul, Korea
  4. Xiaowei Ding, Ph.D. 2009, Management Science and Engineering
    Thesis: Time-Changed Birth Processes, Random Thinning, and Correlated Default Risk
    First Position: Quantitative Analyst, Morgan Stanley, New York
  5. Jack Kim, Ph.D. 2010, Management Science and Engineering
    Thesis: Credit Portfolio Optimization
    First Position: Quantitative Analyst, J.P. Morgan, New York
  6. Gerald Teng, Ph.D. 2012, Management Science and Engineering
    Thesis: Numerical Solution of Jump-Diffusion SDEs
    First Position: Quantitative Analyst, Process Driven Trading LLC, New York
  7. Shilin Zhu, Ph.D. 2012, Statistics
    Thesis: Point Processes: Transforms and Simulation Algorithms
    First Position: Quantitative Analyst, Morgan Stanley, London
  8. Gerry Tsoukalas, Ph.D. 2012, Management Science and Engineering
    Thesis: Stochastic Models of Limit Order Books
    First Position: Assistant Professor, The Wharton School, University of Pennsylvania
  9. Gustavo Schwenkler, Ph.D. 2013, Management Science and Engineering
    Thesis: Likelihood Inference for Stochastic Processes with Jumps
    First Position: Assistant Professor, Boston University School of Management
  10. Dmitry Smelov, Ph.D. 2013, Management Science and Engineering
    Thesis: Exact Simulation of Jump-Diffusion SDEs
    First Position: Quantitative Analyst, Goldman Sachs
  11. Vibhav Bukkapatanam, Ph.D. 2013, Management Science and Engineering
    Thesis: Computational and Statistical Methods for State-Space Models
    First Position: Quantitative Trader, Blander Technologies
  12. Alex Papanicolaou, Ph.D. 2013, Computational and Mathematical Engineering
    Thesis: Hypothesis Testing for Continuous-Time Models of Asset Prices
    First Position: Data Scientist, Integral Development Corp.
  13. Alexander Shkolnik, Ph.D. 2014, Computational and Mathematical Engineering
    Thesis: Rare-Event Simulation for Point Processes
    First Position: PostDoctoral Fellow, University of California, Berkeley
  14. Lingren Zhang, Ph.D. 2015, Management Science and Engineering
    Thesis: Corporate Default Prediction
    First Position: Data Scientist, Wealthfront
  15. Justin Sirignano, Ph.D. 2015, Management Science and Engineering
    Thesis: Asymptotics for Large Stochastic Systems
    First Position: Chapman PostDoctoral Fellow, Imperial College London;
    Assistant Professor, University of Illinois at Urbana-Champaign
  16. Apaar Sadhwani, Management Science and Engineering
    Deep Learning and Applications in Finance
    First Position: Research Scientist, Google Brain
  17. Moojoong Ra, Management Science and Engineering
    Thesis: Dynamic Importance Sampling for Event Timing Models
    First Position: Quantitative Analyst, Barclays Capital
  18. Yexiang Wei, Management Science and Engineering
    Thesis: House Price Modeling
    First Position: Quantitative Researcher, Cutler Group

 

Former Post-Doctoral Students:

  1. Hossein Kakavand
    Projects: Exact Simulation of Point Processes