- Assistant Professor, Mathematical Sciences
My primary research is in the field of Mathematical Finance, a field of applied mathematics concerned with financial markets. The area that I’ve worked in has been utility optimization, specifically, optimal investment in a market with transaction costs and optimal portfolio delegation. The latter studies the question of what is the optimal incentive that an investor should pay to a fund manager for managing his portfolio.
I have received my Ph.D. in 2010 from Carnegie Mellon University, and spent the next three years as a postdoctoral research associate & lecturer in the department of Operations Research and Financial Engineering in Princeton University, before joining the Mathematical Science department at WPI.
In Princeton, I’ve had the opportunity to advise students working on their undergraduate thesis, and I hope to continue advising undergraduate students working on their MQPs and also to start working with masters and PhD students.
- Financial Mathematics
- Stochastic Analysis
- Partial Differential Equations
- M.Sc. NYU 2003
- Ph.D. CMU 2010
- Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs, SIAM Journal on Financial Mathematics, 3(1), 433–458.
- Utility Maximization Trading Two Futures with Transaction Costs, (with S. Shreve), SIAM Journal on Financial Mathematics, 4(1), 26–85.