Sergey Nadtochiy
Associate Professor
Department of Applied Mathematics
Illinois Institute of Technology
Email: snadtochiy@iit.edu
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
G. A. Alvarez and S. Nadtochiy “Optimal contract design via relaxation: application to the problem of brokerage fee for a client with private signal.” Submitted for publication
Y. Guo, S. Nadtochiy, and M. Shkolnikov “Stefan problem with surface tension: uniqueness of physical solution under radial symmetry.” Submitted for publication, arXiv:2306.02969
G. A. Alvarez, S. Nadtochiy, and K. Webster “Optimal brokerage contracts in Almgren-Chriss model.” To appear in SIFIN
S. Nadtochiy and M. Shkolnikov “Stefan problem with surface tension: global existence of a physical solution under radial symmetry.” Probability Theory and Related Fields, published online, 2023
S. Nadtochiy and Y. Yin “Consistency of MLE for partially observed diffusions, with application in market microstructure modeling.” Submitted for publication, arXiv:2201.07656v1
S. Nadtochiy, M. Shkolnikov and X. Zhang “Scaling limits of external multi-particle DLA on the plane and the supercooled Stefan problem.” To appear in Annales de l’Institut Henri Poincare
Code for simulating DLA clusters. See the report for analysis.
J.-F. Chassagneux, S. Nadtochiy and A. Richou “Reflected BSDEs in non-convex domains.” Probability Theory and Related Fields, 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.” SIAM Journal on Financial Mathematics, 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.” SIAM Journal on Control and Optimization, 56(3):1577–1619, 2018
R. Gayduk and S. Nadtochiy “Liquidity effects of trading frequency.” Mathematical Finance, 28(3):839–876, 2018
S. Nadtochiy and J. Obloj “Robust trading of Implied Skew.” International Journal of Theoretical and Applied Finance, 20(2), 2017
R. Carmona, Y. Ma and S. Nadtochiy “Simulation of Implied Volatility surfaces via Tangent Lévy models.” SIAM Journal on Financial Mathematics, 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.” SIAM Journal on Financial Mathematics 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.” SIAM Journal on Financial Mathematics 2(1):794–838, 2011
R. Carmona and S. Nadtochiy “Tangent models as a mathematical framework for dynamic calibration.” International Journal of Theoretical and Applied Finance 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