• CFMAR Research Fellow
  • Old Gym 1201


Past Visitors

Valdo Durrleman, Stanford University (May 15-17, 2007)

Ronnie Sircar (Princeton University) (May 19-23, 2007)

Nan Chen, Columbia University, IEOR (June 5-8, 2007)

Suhas Nayak (Stanford University) (June 11-13, 2007)

Sean Han (Taiwan) (June 18-24, 2007)

Marco Frittelli (Milano, Italy) (January 10-11, 2007)

Bruno Dupire (Bloomberg, NY) (April 25-27, 2007)

Helgi Tomasson (University of Iceland) (Fall 2007)

Stephane Villeneuve (Toulouse, France) (September 1, 2007 - January 31, 2008)

Marek Rutkovski (University of New South Wales) (October 7-12, 2007)

Marco Frittelli (Milano, Italy) (March 30, 2008 -- June 30, 2008)

Sebastian Jaimungal (University of Toronto) (April 12--23, 2008)

Jin Feng (Kansas University, July 4-11, 2008)

David Nualart (Kansas University) (October 11-15, 2008)

Yannis Karatzas (Columbia University) (October 19-22, 2008)

Jeong-Hoon Kim (Yonsei U, Korea) (January 12-27, 2009)

Ronnie Sircar (Princeton University) (January 13-24, 2009)

Masaaki Kijima (Tokyo Metropolitan University) (February 9-20, 2009)

Carole Bernard (University of Waterloo) (April 20-24, 2009)

Matheus Grasselli (McMaster University) (May 17-22, 2009)

Marco Frittelli (Milano University) (Fall 2010)

Jorge Zubelli (IMPA Rio Brazil) (January, 2011)

Bernt Oksendal (University of Oslo) (June, 2011)

Matheus Grasselli (McMaster University, Canada) (June, 2011)

Stephan Sturm (ORFE Princeton University) (October, 2011)

Srikanth lyer (Fall 2010)

Marco Frittelli (Milano University) (Spring 2012)

Marco Frittelli (Milano University) (sabbatical year: 2013-14)

Francesca Biagini and Thilo Meyer-Brandis (Winters 2014 and 2015)

Romuald Elie (January -- June 2016)

Matheus Grasselli (Spring 2017) 

Francesca Biagini and Thilo Meyer-Brandis (2018)

Graduate Students

Yichen Feng (Advisor: Fouque)

Jimin Lin (Advisors: Fouque and Detering)  

Youhong Lee (Advisor: Shkolnik)

Alex Bernstein (Advisor: Shkolnik)

Alan Raydan (Advisor: Hu)  

Cosmin Borsa (Advisor: Ludkovski)

Doris Padilla (Advisor: Ludkovski) 

Ming Min (Advisor: Ichiba)

Huiyu Jiang (Advisor: Ichiba)



CFMAR PhD Alumni

Brian Wignall, 2009, Quantitative Researcher at Two Sigma Investments, New York

Eli Kollman, 2009, Director, Senior Quantitative Finance Manager, Bank of America, London

Marick Sinay, 2010, Chief Data Scientist at Zenalytics, Los Angeles

Winslow Strong, 2011, CTO / Co-founder at Palo Alto Neuroscience, San Francisco

Matt Lorig, 2011, Assistant Professor, Dept of Applied Mathematics, U of Washington, Seattle

Raj Sau, 2012, Assistant Vice President, Quantitative Finance Analyst, Bank of America, New York

Chunkai Gao,  2013, Vice President, Model Risk Management, Barclays, New York

Qunying Shen, 2013, Lead Modeler at RMS, San Francisco

Bin Ren, 2013, Senior Research Engineer, AOL, San Francisco

Li-Hsien Sun, 2014, Assistant Professor, National Central University, Taipei, Taiwan

Chunhsiung (Nate) Lu, 2014, Quantitative Analyst, Capital One, Washington DC

Yuri Saporito, 2014, Assistant Professor, Applied Mathematics Department,  Fundação Getúlio Vargas (FGV), Rio De Janeiro, Brazil

Matt Hancock, 2014,  

Kyle Bechler, 2015, Senior Analysist at Coldwell Banker Real Estate (CBRE)

Yi-Tai Chiu, 2015, Quantitative Finance Analyst at Bank of America, Los Angeles

Jacob Serup, 2015, Visiting Assistant Professor, UCSB and Founder, Divitias Capital

Mustafa Mousavi, 2017, Associate, Rates Quantitative Analysis,  Citi, New York

Jimmy Risk, 2017, Assistant Professor, Dept of Mathematics and Statistics, Cal Poly Pomona

Xuwei Yang, 2017, Lecturer, Worcester Polytechnic Institute, Worcester MA

Patricia (Ning) Ning, 2018, Research Scientist, Department of Applied Mathematics, University of Washington Seattle 

Ruimeng Hu, 2018, Department of Statistics, Columbia University, New York

Liangchen Li, 2018, Quantative Researcher, J.P. Morgan, New York

Mark Dela, 2019, Lecturer, Department of Mathematics and Statsitics, Cal Poly Pomona 

Mike (Zhaoyu) Zhang, 2019, Industrial Engineering and Operations Research, Columbia University, New York 

Aditya Maheshwari, 2019, Quantitative Developer, Bank of America Merrill Lynch, New York 

Osvaldo Assuncao, 2020, Portfolio Manager, Bradesco Asset Management, Sao Paulo, Brazil

Aaron Zhipu Zhou, 2020, Senior Quantitative Analytics Specialist, Wells Fargo, Charlotte, NC 

Andrea Angiuli, 2021, Research Scientist, Amazon, Santa Barbara 

Nhan Huynh, 2021, Consultant, Santa Barbara Actuaries

Nicole Tianjiao Yang, 2021, Morgan Stanley New York; Visiting Assistnat Professor, Emory University, Atlanta, GA




Alumni and Former Members

Jose Figueroa-Lopez (2006-2007) 

Hasan Sayit (2006-2007)
Financial mathematics, Stochastic differential equations, Statistical inference on processes. Malliavin Calculus and applications to finance. Stochastic Integration for fractional Brownian motion. Nonparametric calibration methods and portfolio optimization problems in continuous-time models. Emphasis on Levy driven and jump-diffusion models.

Martin Forde (2006-2008)
Small-time and tail asymptotics for stochastic volatility models, Inverse problems in calibrating stochastic volatility models, volatility derivatives.

Mack Galloway (2006-2010)
Research interests include applications of Levy and time-inhomogeneous additive processes to the pricing of exotic options and credit spreads for default swap indices. The H-selfsimilar additive processes of Sato are only recently being recognized for their use in pricing equity options (exponential selfsimilar additive models). The usefulness of these processes extends beyond that of equity ptions, as they may be used to construct new processes in which modeling of price across maturity is involved.

Oana Catu (2008-2009)

Mike Landrigan (2008-2009)

Hyekyung Min (2007-09)
Actuarial and financial mathematics, stochastic processes, optimal control theory, stochastic differential equations.

Jesus Rodriguez (2006-2007)
Financial mathematics, Stochastic differential equations

Adam Tashman (2008-2009)

Rohini Kumar (2009-2011)

Alexandra Chronopoulou (2011-2013)

Esteban Chavez (2011-2014)

Gerard Brunick (2010-2012)