Short CV

Employment

• 2018 - present:  Tenure-track Assistant Professor of Mathematics, Rutgers University

• 2017 - 2018:  NSF Postdoctoral Researcher, Rutgers (mentor:  Dan Ocone)

• 2016 - 2017:  NSF Postdoctoral Researcher, UT-Austin (mentor:  Mihai Sirbu)

Education:

• 2016:  Ph.D. in Mathematical Sciences, Carnegie Mellon University (advisor:  Dmitry Kramkov)

• 2011:  M.S. in Mathematical Sciences, Carnegie Mellon University

• 2008:  B.S. in Computer Science with a minor in Computational Finance, Carnegie Mellon University

External Funding:

• 2016-2018:  NSF DMS#1606253, Postdoctoral Research Fellowship, $150,000. (PI)

• 2017:  NSF DMS#1713013, Mathematical Finance, Probability, and Partial Differential Equations Conference, $20,000. (co-PI)

• 2019-2022:  NSF DMS#1908255, Interest Rates and Transaction Costs in Incomplete Equilibria, $150,595. (PI)

Publications and Preprints:

• Stability of utility maximization in nonequivalent markets. Finance & Stochastics 20, 511-541 (2016). arXiv

• Muckenhoupt's (A_p) condition and the existence of the optimal martingale measure with Dmitry Kramkov. Stochastic Processes and their Applications 126(9), 2615-2633 (2016). arXiv

• Existence of a Radner equilibrium in a model with transaction costs.  Mathematics and Financial Economics 12(4), 517-539 (2018). arXiv

• An incomplete equilibrium with a stochastic annuity with Gordan Zitkovic.  Finance & Stochastics 24, 359–382 (2020).  arXiv

• Price impact equilibrium with transaction costs and TWAP trading with Eunjung Noh.  Mathematics and Financial Economics 16:187–204 (2021). arXiv

• Endogenous Noise Trackers in a Radner Equilibrium with Jin Hyuk Choi.  SIAM Journal on Financial Mathematics 13(4), 1326-1343  (2022).  arXiv

• Existence of an equilibrium with limited participation.  Forthcoming in Finance & Stochastics (2023).  arXiv

• A multi-agent targeted trading equilibrium with transaction costs with Jin Hyuk Choi and Jetlir Duraj.  Forthcoming in SIAM Journal on Financial Mathematics (2023).

PhD Advising:

• 2023 - (expected) 2026:  Kayla Gibson, Rutgers University

• 2023 - (expected) 2026:  Daniela Elizondo, Rutgers University

Postdoc Mentoring:

• 2018 - 2021:  Eunjung (Jenny) Noh, Hill Assistant Professor of Mathematics, Rutgers University

• Summer 2020:  Jetlir Duraj, Summer research assistant in Mathematics, Rutgers University

Organization:

• 2017 - 2020:  Co-organizer of the Mathematical Finance and Probability seminar

• May 2017:  Co-organizer of the Mathematical Finance, Probability, and Partial Differential Equations Conference

• April 2018:  Co-organizer of the Princeton-Rutgers Math Finance Day

• June 2019:  Co-organizer of the Rutgers Equilibrium Theory Summer School and Workshop

• April 2020:  Co-organizer of Broad Directions in Mathematical Finance - cancelled due to the pandemic

• October 2022:  Co-organizer of the 6th Eastern Conference on Mathematical Finance

• June 2023:  Co-organizer of the Women in Mathematical Finance Conference

• July 2024:  Co-organizer of the Equilibrium Summer School

Select Presentations:

• June 2015:  Methods of Mathematical Finance, a Conference in Honor of Steve Shreve's 65th Birthday

• April 2018:  Minicourse on Partial Differential Equations in Math Finance for Women in Math at Carnegie Mellon

• May 2018:  Stochastic Analysis and its Applications at Casa Matemática Oaxaca (CMO)

• June 2022: Advances in Mathematical Finance and Optimal Transport

• October 2022:  Conference for Junior Female Researchers in Probability 2022 in Berlin, Germany

Outreach:

I am deeply committed to mathematical outreach in the community at large.  See my Outreach page for more details.