Faculty Directory

Contact Information

Office:
Stratton Hall, 202C
Phone: +1-508-831-5921
Fax: +1-508-831-5824
ssturm@wpi.edu

View Personal Website

Stephan Sturm

I am an applied mathematician specializing in the field of financial mathematics and engineering. Currently, I am most interested in problems involving modeling with stochastic volatility and the implied volatility surface. Another topic of my research interests lies in delegated portfolio optimization and the role played by incentive schemes paid to fund managers.

After receiving a BS/MS from the University of Vienna and a PhD from Technische Universität Berlin in mathematics, I joined the Department of Operations Research and Financial Engineering at Princeton University as a postdoctoral scholar and lecturer. My current position as assistant professor at WPI's Mathematical Sciences department is my first full faculty position.

Being new at WPI, I look forward to sharing with students my passion for probability theory, stochastic processes, and their applications in financial and actuarial mathematics. I intend to contribute in particular to the professional master's program in financial mathematics, and I look forward to advising students working on MQPs, master's and doctoral theses in my areas of expertise.

Research Interests

  • Financial Mathematics
  • Stochastic Analysis

Education

  • BS/MS, University of Vienna (Austria), 2004
  • PhD, TU Berlin (Germany), 2010

Featured Publications

  • Portfolio optimization under convex incentive schemes (with M. Bichuch; submitted)
  • From smile asymptotics to market risk measures (with R. Sircar; forthcoming in Math. Finance)
  • Is the minimum value of an option on variance generated by local volatility? (with M. Beiglböck and P. Friz; SIAM J. Finan. Math. 2, 213-220 (2011))
  • On refined volatility smile expansion in the Heston model (with P. Friz, S. Gerhold and A. Gulisashvili; Quant. Finance, 11:8, 1151-1164 (2011))

View a Complete List

 
  • Email a Friend
  • Bookmark this Page
  • Share this Page