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Students

Current Doctoral Students:

  1. Guanting Chen, Computational and Mathematical Engineering
  2. Xiaocheng Li, Management Science and Engineering
  3. Enguerrand Horel, Computational and Mathematical Engineering
  4. 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
  19. Michael Ohlrogge, Management Science and Engineering and Stanford Law School
    First Position: Assistant Professor, NYU Law School

 

Former Post-Doctoral Students:

  1. Hossein Kakavand
    Projects: Exact Simulation of Point Processes