Department of Mathematics
University of Michigan

Office: 2859 East Hall


My CV (pdf)

Bahman Angoshtari


  • D.Phil. in Mathematics (2014), University of Oxford

  • M.Sc. (with distinction) in Applied mathematics (2009), University of Twente

  • B.Sc. in Industrial engineering (2004), Sharif University of Technology

Research interests

  • Financial and Actuarial Mathematics, Stochastic Optimization, Stochastic Analysis, Econometrics.


  1. "Optimal investment to minimize the probability of drawdown", with Erhan Bayraktar and Virginia Young, Stochastics, 88(6):946-958, 2016.

  2. "Minimizing the probability of lifetime drawdown under constant consumption", with Erhan Bayraktar and Virginia Young, Insurance: Mathematics and Economics, 69:210-223, 2016.

  3. "Minimizing the expected lifetime spent in drawdown under proportional consumption", with Erhan Bayraktar and Virginia Young,
    Finance Research Letters, 15:106-114, 2015.

  4.  "Stochastic modeling and methods for portfolio management in cointegrated markets", D.Phil. Thesis, University of Oxford, 2013.
  5. "On utility of wealth maximization". M.Sc. Thesis, University of Twente, 2009.

Preprints and working papers

  • "Optimal insurance to minimize the probability of ruin: inverse survival function formulation", with Virginia Young, in preparation.  

  • "The effect of tax policy on wealth distribution in a heterogenous economy: a mean-field approach", with Erhan Bayraktar, in preparation.  

  • "Optimal dividends under a drawdown constraint", with Erhan Bayraktar and Virginia Young, in preparation.  

  • "Minimizing probability of ruin when claims cointegrate with the market", in preparation.  


  • Instructor for Introduction to Probability (MATH 425), University of Michigan, Spring 2017.

  • Instructor for Mathematics of Finance (MATH 423), University of Michigan, Fall 2016, and Winter 2017.

  • Instructor for Numerical Methods with Financial Applications (MATH 472), University of Michigan, Fall 2015.

  • Instructor for Discrete State Stochastic Processes (MATH/STAT 526), University of Michigan, Fall 2014, Winter 2015, Winter 2016.

  • Instructor for Calculus I (MATH 115), University of Michigan, Fall 2014.

  • Tutor for Stochastic Control and Dynamic Asset Allocation, University of Oxford, Winter 2011. 

  • Teaching assistant for Martingales Through Measure Theory, University of Oxford, Fall 2010.