PhD Supervision (jobs) [publications]
1. Peng Liu*◊, PhD 2012, Johns Hopkins Applied Math (Campbell & Co., Amazon)
Thesis: Optimal Liquidation of Credit and Equity Portfolios [1a] [1b]
2. Eric Dahlgren, PhD 2013, Columbia Earth & Environmental Engineering (MIT)
Thesis: Rescaling Capital: The Potential of Small-Scale and Mass-Produced Physical Capital in the Energy and Materials Processing Industries [2]
3. Jinbeom Kim, PhD 2013, Columbia IEOR (Barclays, Oak Hill)
Thesis: Pricing, Trading and Clearing of Defaultable Claims Subject to Counterparty Risk [3a] [3b]
4. Marco Santoli, PhD 2015, Columbia IEOR (AQR)
Thesis: Methods for Pricing Pre-Earnings Equity Options and Leveraged ETF Options [4a] [4b] [book]
5. Xin Li◊, PhD 2015, Columbia IEOR (BAML)
Thesis: Optimal Multiple Stopping Approach to Mean Reversion Trading [5a] [5b] [5c] [5d] [book]
INFORMS Finance Section Best Student Paper Competition 2014, 1st Place
6. Zheng Wang, PhD 2016, Columbia IEOR (Credit Suisse)
Thesis: Optimal Stopping and Switching Problems with Financial Applications [6a] [6b] [6c] [6d]
7. Brian Ward**, PhD 2017, Columbia IEOR (KCG, AQR)
Thesis: Optimal Dynamic Strategies for Index Tracking and Algorithmic Trading [7a]† [7b] [7c]
2016 Emerald Literati Network Award for Excellence - winner [link]
8. Kevin Guo, PhD 2018, Columbia IEOR (AQR, BAML, Millennium Partners)
Thesis: Price Dynamics and Trading Strategies in the Commodities Market [8a] [8b]† [8c]
9. Jiao Li, PhD 2018 Columbia APAM (Barclays)
Research: Optimal Strategies for Futures Trading [9a][9b] [9c]
10. Rapahel Yan, PhD 2020 McMaster University (BlackRock, Principis Capital)
Thesis: Applications of Stochastic Control Theory in Stocks and Futures Trading [10a] [10b] [10c]...
11. Yang Zhou, 2021, PhD in Applied Math, UW (Parametric; Wells Fargo)
Thesis: Stochastic Control Methods for Optimal Futures Trading [11a] [11b] [11c] ...
12. Theo Zhao, 2023, PhD in Applied Math, UW (Parametric; Rotella Capital; Microsoft)
Research: Multiscale Signal Processing for Financial Machine Learning [12a] [12b] [12c] ...
Apply for the UW Applied Math PhD Program & do research in Financial Math and/or Machine Learning [link]
I'm a Math Alliance mentor [link]
