Moritz Voss (he/him)
Department of Mathematics
University of California, Los Angeles
Los Angeles, CA 90095, USA
Email: voss[at]math.ucla.edu
Office: MS 6224
About Me
I am currently a Hedrick Assistant Adjunct Professor with specialization in Financial Mathematics in the Financial and Actuarial Mathematics group and the Probability group in the Department of Mathematics at UC Los Angeles.
Before joining UCLA, I was a Visiting Assistant Professor in the Department of Statistics and Applied Probability and member of the Center for Financial Mathematics and Actuarial Research at UC Santa Barbara from September 2017 to June 2020.
I obtained my Ph.D. in Mathematics from TU Berlin in July 2017 under the supervision of Peter Bank.
Education
Ph.D. in Mathematics (Dr. rer. nat.), TU Berlin, October 2012 - July 2017.
Master 2 Recherche (M.Sc.), Mathématiques et Applications, Spécialité Probabilités et Finance (DEA El Karoui), Sorbonne Université, September 2009 - October 2010.
Diplom in Mathematics in Finance and Economics (Dipl.-Math. oec.), TU München, October 2003 - April 2009.
Study in Mathematics, The Hong Kong University of Science and Technology (HKUST), Undergraduate Exchange Program, Fall Semester 2006.
Research Interests
My research interests are in Financial Mathematics, Stochastic Optimization, and Stochastic Analysis. Currently, I am very interested in studying models for optimal trading and order execution problems (portfolio liquidation, portfolio tracking) in the presence of price impact by employing stochastic optimal control, stochastic differential game and mean field game theory from a probabilistic point of view, as well as, more recently, machine learning techniques.
Preprints
Aggregation of financial markets, with Georg Menz. Preprint, 2023. [arXiv, SSRN]
Equilibrium in functional stochastic games with mean-field interaction, with Eduardo Abi Jaber and Eyal Neuman. Preprint, 2023 (submitted). [arXiv, SSRN]
Publications
On parametric optimal execution and machine learning surrogates, with Tao Chen and Mike Ludkovski. Quantitative Finance, Vol. 24 (2024), No. 1, pp. 15-34. [doi, arXiv, code]
Trading with the crowd, with Eyal Neuman. Mathematical Finance, Vol. 33 (2023), No. 3, pp. 548-617. [doi, arXiv, SSRN]
A two-player portfolio tracking game. Mathematics and Financial Economics, Vol. 16 (2022), No. 4, pp. 779-809. [doi, arXiv]
Optimal signal-adaptive trading with temporary and transient price impact, with Eyal Neuman. SIAM Journal on Financial Mathematics, Vol. 13 (2022), No. 2, pp. 551-575. [doi, arXiv]
Optimal investment with transient price impact, with Peter Bank. SIAM Journal on Financial Mathematics, Vol. 10 (2019), No. 3, pp. 723-768. [doi, arXiv]
Linear quadratic stochastic control problems with stochastic terminal constraint, with Peter Bank. SIAM Journal on Control and Optimization, Vol. 56 (2018), No. 2, pp. 672-699. [doi, arXiv]
Hedging with temporary price impact, with Peter Bank and H. Mete Soner. Mathematics and Financial Economics, Vol. 11 (2017), No. 2, pp. 215-239. [doi, arXiv, SSRN]
Pricing options on variance in affine stochastic volatility models, with Jan Kallsen and Johannes Muhle-Karbe. Mathematical Finance, Vol. 21 (2011), No. 3, pp. 627-641. [doi] (pre-doctoral publication)
Current Teaching at UCLA
Fall 2023: Fundamentals of Actuarial Mathematics I (Math 178A), Advanced Topics in Financial Mathematics (Math 179).
Winter 2024: Fundamentals of Actuarial Mathematics II (Math 178B).
Spring 2024: Statistics for Risk Modeling (Math 178C).
Seminars and Conferences
Organizer of the Financial and Actuarial Mathematics Seminar.
Co-organizer of the 10th Western Conference on Mathematical Finance, January 15-18, 2021.