Students

Former and Current 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, Radix Trading
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;
    Associate Professor, University of Oxford
16. Apaar Sadhwani, Ph.D. 2016, Management Science and Engineering
    Deep Learning and Applications in Finance
    First Position: Research Scientist, Google Brain
17. Moojoong Ra, Ph.D. 2016, Management Science and Engineering
    Thesis: Dynamic Importance Sampling for Event Timing Models
    First Position: Quantitative Analyst, Barclays Capital
18. Yexiang Wei, Ph.D. 2017, Management Science and Engineering
    Thesis: House Price Modeling using Deep Learning
    First Position: Quantitative Researcher, Cutler Group
19. Michael Ohlrogge, Ph.D. 2019, Management Science and Engineering and Stanford Law School
    First Position: Assistant Professor, NYU
20. Xiaocheng Li, Ph.D. 2020, Management Science and Engineering (joint with Markus Pelger, Yinyu Ye)
    First Position: Assistant Professor, Imperial College London
21. Enguerrand Horel, Ph.D. 2020, Computational and Mathematical Engineering
    First Position: Senior Research Scientist, Upstart
22. Bernardo Ramos, Ph.D. 2021, Management Science and Engineering
    First Position: Research Scientist, JP Morgan AI Research
23. Guanting Chen, Ph.D. 2022, Computational and Mathematical Engineering
    First Position: Assistant Professor, University of North Carolina ay Chapel Hill
24. Elliot Epstein, Computational and Mathematical Engineering

Former Post-Doctoral Students:

1. Hossein Kakavand
   Projects: Exact Simulation of Point Processes