Post-doc

Department of Mathematics
University of Michigan

Office: 2859 East Hall

Email: bango@umich.edu

My CV (pdf)

Bahman Angoshtari

Education


  • 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.



Publications


  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.
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  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.  

Teaching


  • 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.