Mentorship

PhD Students

• • Gael Dimitri Tekam Fongouo, PhD Candidate Illinois Tech

  • Michael Kralis, PhD candidate Illinois Tech

  • Hao Liu, PhD 2023 Illinois Tech (co-advised with Tomasz R. Bielecki) Thesis:  Dynamic risk and dynamic performance measures generated by distortion functions and diversification benefits optimization. Next position: Quantitative Research Specialist, Wells Fargo (Charlotte).

  • Shibi Feng, PhD 2019 Illinois Tech (co-advised with Tomasz R. Bielecki) Thesis: "A Dynamic Model of Central Counterparty Risk and Liquidity Risk Measures", Next position: Senior Associate in Strategic Risk and Operations, Grant Thornton LLP (Chicago). 

  • Yicong Huang, PhD 2018 Illinois Tech (co-advised with Tomasz R. Bielecki), Thesis: "Wiener-Hopf Factorization for Time-Inhomogeneous Markov Chains and Statistical Inference for SPDEs",  Next position: Senior Quantitative Analyst, Constellation (Baltimore).

  • Yu-Sin Chang, PhD 2017 Illinois Tech (co-advised with Tomasz R. Bielecki), Thesis: "Markov Chain Structures with applications to systemic risk",  Next position: Assistant Professor (tenure track), Milwaukee School of Engineering.

  • Tao Chen, PhD 2016 Illinois Tech (co-advised with Tomasz R. Bielecki), Thesis: "Dynamic Conic Finance via Backward Stochastic Difference Equations and Recursive Construction of Confidence Regions",  Next position: Visiting Assistant Professor, University of California, Santa Barbara.

  • Ismail Iyigunler, PhD 2012 Illinois Tech (co-advised with Tomasz R. Bielecki), Thesis: "Topics in Counterparty Risk and Dynamic Conic Finance",  Next position: Quantitative Analyst, InterContinentalExchange, Inc. (Chicago).

  • Rodrigo Rodriguez, PhD 2012 Illinois Tech (co-advised with Tomasz R. Bielecki) , Thesis: "Dynamic Conic Finance: No-Arbitrage Pricing and No-Good-Deal Pricing for Dividend-Paying Securities in Discrete-Time Markets with Transaction Costs",  Next position: Quantitative Associate at Wells Fargo (NYC).

  • Zhao Zhang, PhD 2011 Illinois Tech (co-advised with Tomasz R. Bielecki), Thesis: "Dynamic Acceptability Indices and their Applications in Finance",  Next position: Quant Trader at Transmarket Group (Chicago).

Postdoctoral Fellows

• • Gabriela Kovacova, Postdoc UCLA. Mentor through SIAM Postdoctoral Support Program, 2023 

  • Hyun-Jung Kim, Fall 2019 -  Spring 2020, Research topic: Statistical Inference for Stochastic PDEs