About Me

I am a faculty member in the Department of Mathematics at UCLA, where I serve as Associate Director of Financial Mathematics and am affiliated with the Mathematical and Statistical Finance (MSF) Research Group. I oversee the development, coordination, and delivery of the Department's undergraduate Financial Mathematics curriculum, including the Financial Actuarial Mathematics (FAM) major, supporting instructional excellence and student success.

Prior to joining UCLA, I was a Visiting Assistant Professor in the Department of Statistics and Applied Probability at UC Santa Barbara and a member of the Center for Financial Mathematics and Actuarial Research. I earned my Ph.D. in Mathematics from TU Berlin in 2017 under the supervision of Peter Bank.

• Curriculum Vitae.

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 Finanz- und Wirtschaftsmathematik (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 analysis, and stochastic optimization. I work on optimal stochastic control problems arising in algorithmic trading (order execution, alpha trading, optimal tracking, market making), with a focus on price impact modeling and market microstructure, using techniques from stochastic analysis, computational tools from machine learning, and the analysis of high-frequency limit order book data.

• Google Scholar, MathSciNet, ORCiD, arXiv, SSRN.

• GitHub.

• LinkedIn.

Preprints

1. The Convergence Rate of Stochastic Tracking with Application to Optimal Execution, with Marcel Nutz. Preprint, 2026 (submitted). [arXiv, SSRN]

2. Solving Optimal Execution Problems via In-Context Operator Networks, with Tingwei Meng, Nils Detering, Giulio Farolfi, Stanley Osher, Georg Menz. Preprint, 2025 (submitted). [arXiv, SSRN]

3. Equilibrium in functional stochastic games with mean-field interaction, with Eduardo Abi Jaber and Eyal Neuman. Preprint, 2023 (submitted). [arXiv, SSRN]

Publications  

1. Aggregation of financial markets, with Georg Menz. Frontiers of Mathematical Finance, Vol. 7 (2025), pp. 30–77. [doi, arXiv, SSRN]

2. 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]

3. Trading with the crowd, with Eyal Neuman. Mathematical Finance, Vol. 33 (2023), No. 3, pp. 548–617. [doi, arXiv, SSRN]

4. A two-player portfolio tracking game. Mathematics and Financial Economics, Vol. 16 (2022), No. 4, pp. 779–809. [doi, arXiv]

5. 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]

6. Optimal investment with transient price impact, with Peter Bank. SIAM Journal on Financial Mathematics, Vol. 10 (2019), No. 3, pp. 723–768. [doi,  arXiv] 

7. 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] 

8. 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] 

9. 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 2026: Fundamentals of Actuarial Mathematics I (Math 178A).

• Spring 2027: Advanced Topics in Financial Mathematics (Math 179).

Seminars and Conferences

• Co-organizer of the Mathematical and Statistical Finance Seminar.

• Co-organizer of the Southern California Quantitative Finance Forum (SCQFF).

• Co-organizer of the 12th Western Conference on Mathematical Finance, March 21–22, 2025.  

• Co-organizer of the 10th Western Conference on Mathematical Finance, January 15–18, 2021.