Sergey Nadtochiy

Professor

Department of Applied Mathematics

Illinois Institute of Technology

Email: snadtochiy@iit.edu

My CV

Education

Ph.D. (2009), Princeton University, ORFE Department
M.S. (2005), summa cum laude, Moscow State University, Department of Mathematics and Mechanics

Research Interests

Financial Mathematics, Probability Theory, Partial Differential Equations, Stochastic Control

Research papers and related materials

I. Ekren and S. Nadtochiy “Consistency of MLE in partially observed diffusion models on a torus”. Submitted for publication, arXiv:2412.03380
Y. Guo, S. Nadtochiy, and M. Shkolnikov “Cascade equation for the discontinuities in the Stefan problem with surface tension”. Submitted for publication, arXiv:2410.15249
G. A. Alvarez and S. Nadtochiy “Optimal contract design via relaxation: application to the problem of brokerage fee for a client with private signal.” To appear in Finance and Stochastics
Y. Guo, S. Nadtochiy, and M. Shkolnikov “Stefan problem with surface tension: uniqueness of physical solution under radial symmetry.” To appear in ARMA
G. A. Alvarez, S. Nadtochiy, and K. Webster “Optimal brokerage contracts in Almgren-Chriss model.” SIFIN, 14(3):855-878, 2023
S. Nadtochiy and M. Shkolnikov “Stefan problem with surface tension: global existence of a physical solution under radial symmetry.” PTRF, 187:385-422, 2023
S. Nadtochiy and Y. Yin “Consistency of MLE for partially observed diffusions, with application in market microstructure modeling.” Submitted for publication, arXiv:2201.07656v2
S. Nadtochiy, M. Shkolnikov and X. Zhang “Scaling limits of external multi-particle DLA on the plane and the supercooled Stefan problem.” AIHP, 60(1):658-691, 2024
- - Code for simulating DLA clusters. See the report for analysis.
J.-F. Chassagneux, S. Nadtochiy and A. Richou “Reflected BSDEs in non-convex domains.” PTRF, 183:1237-1284, 2022
S. Nadtochiy “A simple microstructural explanation of the concavity of price impact.” Mathematical Finance, 32(1):78-113, 2022
I. Ekren and S. Nadtochiy “Utility-based hedging and indifference price of contingent claims in Almgren-Chriss model with temporary impact.” Mathematical Finance, 32(1):172-225, 2022
F. Delarue, S. Nadtochiy and M. Shkolnikov “Global solution to supercooled Stefan problem with blow-ups: regularity and uniqueness.” Probability and Mathematical Physics, 3(1):171-213, 2022
S. Nadtochiy and M. Shkolnikov “Mean field systems on networks, with singular interaction through hitting times.” Annals of Probability, 48(3):1520-1556, 2020
- - Code for computing equilibrium strategies. See help file and manuscript for instructions.
S. Nadtochiy and T. Zariphopoulou “Optimal contract for a fund manager with capital injections and endogenous trading constraints.” SIFIN, 10(3):698–722, 2019
R. Gayduk and S. Nadtochiy “Control-stopping games for Market Microstructure and beyond.” Mathematics of Operations Research, published online, 2020
- - Code for computing equilibrium strategies. See help file and manuscript for instructions.
S. Nadtochiy and M. Shkolnikov “Particle systems with singular interaction through hitting times: application in Systemic Risk modeling.” Annals of Applied Probability, 29(1):89–129, 2019
- - Graph of the estimated credit risk index. See help file and manuscript for instructions.
R. Gayduk and S. Nadtochiy “Endogenous formation of Limit Order Books: dynamics between trades.” SICON, 56(3):1577–1619, 2018
R. Gayduk and S. Nadtochiy “Liquidity effects of trading frequency.” Mathematical Finance, 28(3):839–876, 2018
- - Extended version of the paper.
S. Nadtochiy and J. Obloj “Robust trading of Implied Skew.” IJTAF, 20(2), 2017
R. Carmona, Y. Ma and S. Nadtochiy “Simulation of Implied Volatility surfaces via Tangent Lévy models.” SIFIN, 8(1):171–213, 2017
S. Nadtochiy and M. Tehranchi “Optimal investment for all time horizons and Martin Boundary of space-time diffusions.” Mathematical Finance, 27(2):438–470, 2017
P. Carr and S. Nadtochiy “Local Variance Gamma and explicit calibration to option prices.” Mathematical Finance, 27(1):151–193, 2017
E. Bayraktar and S. Nadtochiy “Weak reflection principle for Lévy processes.” Annals of Applied Probability, 25(6):3251–3294, 2015
S. Nadtochiy and T. Zariphopoulou “A class of homothetic forward investment performance processes with non-zero volatility.” Inspired by Finance, A volume in honor of M. Musiela’s 60th birthday, 2014
S. Nadtochiy and T. Zariphopoulou “An approximation scheme for solution to the optimal investment problem in incomplete markets.” SIFIN 4(1):494–538, 2013
R. Carmona and S. Nadtochiy “Tangent Lévy market models.” Finance and Stochastics 16(1):63–104, 2012
P. Carr and S. Nadtochiy “Static hedging under time-homogeneous diffusions.” SIFIN 2(1):794–838, 2011
R. Carmona and S. Nadtochiy “Tangent models as a mathematical framework for dynamic calibration.” IJTAF 14(1):107–136, 2011
R. Carmona and S. Nadtochiy “Local volatility dynamic models.” Finance and Stochastics 13(1):1–48, 2009
R. Carmona and S. Nadtochiy “An infinite dimensional stochastic analysis approach to local volatility dynamic models.” Communications on Stochastic Analysis 2(1):109–123, 2008
S. Nadtochiy “Asymptotic behaviour of a random walk with interaction.” Theory of Probability and Applications 51(1):1–7, 2007

Lectures at IMSI, June 2021: probabilistic methods for parabolic and elliptic PDEs

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