Stephan Sturm
Office
100 Institute Rd, Stratton Hall 312
Personal Website
Affiliated Department or Office
Data Science
Education
PhD Technical University of Berlin 2010
BS/MS University of Vienna 2004

I am an applied mathematician specializing on stochastic modeling, in particular for problems coming from finance. My recent work has been on new ways to include investor's preferences into portfolio selection and the use of advanced machine learning for investment in commodities markets. My work spans a wide arc from theoretical foundations to work with practitioners on problems stemming from their daily work.

I enjoy the project-based character of the WPI experience and actively develop project-based classes in mathematics and am very involved in WPI's Global Projects Program for which I advise regularly. I am Co-Director of the WPI Project Centers in Hong Kong, where I organize IQPs around topics of urban planning and environmental protection, and Switzerland, where I organize MQPs in Mathematical Sciences and Data Science. 

Stephan Sturm
Affiliated Department or Office
Data Science
Education
PhD Technical University of Berlin 2010
BS/MS University of Vienna 2004

I am an applied mathematician specializing on stochastic modeling, in particular for problems coming from finance. My recent work has been on new ways to include investor's preferences into portfolio selection and the use of advanced machine learning for investment in commodities markets. My work spans a wide arc from theoretical foundations to work with practitioners on problems stemming from their daily work.

I enjoy the project-based character of the WPI experience and actively develop project-based classes in mathematics and am very involved in WPI's Global Projects Program for which I advise regularly. I am Co-Director of the WPI Project Centers in Hong Kong, where I organize IQPs around topics of urban planning and environmental protection, and Switzerland, where I organize MQPs in Mathematical Sciences and Data Science. 

Office
100 Institute Rd, Stratton Hall 312
ORCiD
https://orcid.org/0000-0002-7214-8843
Personal Website
Sustainable Development Goals

SDG 8: Decent Work and Economic Growth

SDG 8: Decent Work and Economic Growth - Promote sustained, inclusive and sustainable economic growth, full and productive employment and decent work for all

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SDG 13: Climate Action

SDG 13: Climate Action - Take urgent action to combat climate change and its impacts

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Research Interests
Stochastic Modeling
Financial Mathematics

Scholarly Work

Understanding Lost Civilizations and Commodity Term Structures: The Signature Method, with Y. Ito, H. P. Krishnan, A. Mullaney, and K. Shiffer. WILMOTT Magazine 2024:139, 36-44 (2025)

Arbitrage-free XVA, with M. Bichuch and A. Capponi, Math. Finance 28 (2), 582-620 (2018)

Sensitivity of the Eisenberg-Noe Clearing Vector to Individual Interbank Liabilities, with Z. Feinstein, W. Pang, B. Rudloff, E. Schaanning, and M Wildman. SIAM J. Financial Math. 9 (4), 1286-1325 (2018)

Precipitation Sensitivity to Local Variations in Tropical Sea Surface Temperature, with J. He, N. C.  Johnson, G. A.  Vecchi, B. Kirtman, and A. T. Wittenberg. J. Climate 31 (22), 9225-9238 (2018)

From Smile Asymptotics to Market Risk Measures, with R. Sircar. Math. Finance 25:2, 400-425 (2015)

Portfolio optimization under convex incentive schemes, with M. Bichuch. Finance Stoch. 18:4, 873-915 (2014)

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