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
25. Alec Madayan, Management Science and Engineering
26. Chartsiri Jirachotkulthorn, Computational and Mathematical Engineering
27. Johannes Fuest, Management Science and Engineering
28. Julien Maire, Management Science and Engineering
29. Adam Rebei, Computational and Mathematical Engineering (joint with Markus Pelger)

Former Post-Doctoral Students:

1. Hossein Kakavand
   Projects: Exact Simulation of Point Processes