Sergey Nadtochiy

 

 

Associate Professor

Department of Applied Mathematics

Illinois Institute of Technology

Email: snadtochiy@iit.edu

My CV (PDF)

 

 

Education

-      Ph.D. (2009), M.A. (2008), Princeton University, ORFE Department

-      Specialist (~M.Sc.), summa cum laude, Moscow State University (2005), Department of Mathematics and Mechanics

 

Research Interests

-      Financial Mathematics (market microstructure and liquidity risk, derivatives markets, optimal investment)

-      Probability Theory (large-population dynamics, infinite-dimensional stochastic processes, symmetries of Markov processes)

-      Partial Differential Equations (HJB equations, moving interface problems, ill-posed parabolic equations)

-      Game Theory and Equilibrium (large-population games, fixed-point problems with discontinuities)

 

Research papers

Market Microstructure and Liquidity Risk

 

-      R. Gayduk and S. Nadtochiy, Control-Stopping Games for Market Microstructure and Beyond.

To appear in Mathematics of Operations Research.

Code for computing equilibrium strategies. See help file (and manuscript) for instructions on how to use it.

 

-      I. Ekren and S. Nadtochiy, Utility-based hedging and pricing of contingent claims in Almgren-Chriss model with temporary price impact.

Submitted for publication.

 

-      R. Gayduk and S. Nadtochiy, Endogenous Formation of Limit Order Books: Dynamics between Trades.

SIAM Journal on Control and Optimization, 56(3), 2018.

 

-      R. Gayduk and S. Nadtochiy, Liquidity Effects of Trading Frequency.

Mathematical Finance, 28(3), 2018.

Extended version of the paper

 

Probability

 

-      F. Delarue, S. Nadtochiy, and M. Shkolnikov, Global Solution to Super-cooled Stefan Problem with Blow-ups: Regularity and Uniqueness.

Submitted for publication.

 

-      S. Nadtochiy and M. Shkolnikov, Mean Field Systems on Networks, with Singular Interaction through Hitting Times.

To appear in Annals of Probability.

Code for computing equilibrium strategies. See help file (and manuscript) for instructions on how to use it.

 

-      S. Nadtochiy and M. Shkolnikov, Particle Systems with Singular Interaction through Hitting Times: Application in Systemic Risk Modeling.

Annals of Applied Probability, 29(1), 2019.

 

-      E. Bayraktar and S. Nadtochiy, Weak Reflection Principle for Levy processes.

Annals of Applied Probability, 25(6), 2015.

 

-      S. Nadtochiy (under supervision of Y. Sinai), Asymptotic Behavior of a Random Walk with Interaction.

Theory of Probability and Applications, 51(1), 2007.

 

Models for Derivatives Markets

-      J. Obloj and S. Nadtochiy, Robust Trading of Implied Skew.

International Journal of Theoretical and Applied Finance, 20(2), 2017.

 

-      R. Carmona, Y. Ma and S. Nadtochiy, Simulation of Implied Volatility Surfaces via Tangent Levy Models.

SIAM Journal on Financial Mathematics, 8(1), 2017.

 

-      P. Carr and S. Nadtochiy, Local Variance Gamma and Explicit Calibration to Option Prices.

Mathematical Finance, 27(1), 2017 (published online in 2014).

 

-      R. Carmona and S. Nadtochiy, Tangent Levy Market Models.

Finance and Stochastics, 16(1), 2012.

The original publication is available at: http://link.springer.com/article/10.1007%2Fs00780-011-0158-8

 

-      P. Carr and S. Nadtochiy, Static Hedging under Time-homogeneous Diffusions.

SIAM Journal on Financial Mathematics, 2(1), 2011.

The original publication is available at: http://epubs.siam.org/sifin/resource/1/sjfmbj/v2/i1/p794_s1

 

-      R. Carmona and S. Nadtochiy, Tangent Models as a Mathematical Framework for Dynamic Calibration.

International Journal of Theoretical and Applied Finance, 14(1), 2011.

 

-      R. Carmona and S. Nadtochiy, Local Volatility Dynamic Models.

Finance and Stochastics, 13(1), 2009.

The original publication is available at: http://www.springerlink.com/content/020gj403j884006h

 

-      R. Carmona and S. Nadtochiy, An Infinite Dimensional Stochastic Analysis Approach to Local Volatility Dynamic Models.

Communications on Stochastic Analysis, 2(1), 2008.

 

Optimal Investment

-      S. Nadtochiy and T. Zariphopoulou, Optimal Contract for a Fund Manager, with Capital Injections and Endogenous Trading Constraints.

SIAM Journal on Financial Mathematics, 10(3), published online, 2019.

 

-      S. Nadtochiy and M. Tehranchi, Optimal Investment for All Time Horizons and Martin Boundary of Space-time Diffusions.

Mathematical Finance, 27(2), 2017 (published online in 2015).

 

-      S. Nadtochiy and T. Zariphopoulou, A class of Homothetic Forward Investment Performance Processes with Non-zero Volatility.

Inspired by Finance, A volume in honor of M. Musiela 60th birthday, 2014.

 

-      S. Nadtochiy and T. Zariphopoulou, An Approximation Scheme for Solution to the Optimal Investment Problem in Incomplete Markets.

SIAM Journal on Financial Mathematics, 4(1), 2013.

The original publication is available at: http://epubs.siam.org/doi/abs/10.1137/120869080

 

Teaching

-      Instructor for Statistics (476), Illinois Institute of Technology, Spring 2019.

-      Instructor for Probability (475), Illinois Institute of Technology, Fall 2018, Fall 2019.

-      Instructor for Advanced Stochastic Analysis for Finance (606), University of Michigan, Fall 2017.

-      Instructor for Stochastic Processes (526), University of Michigan, Fall 2012, Winter 2013, Fall 2013, Winter 2014, Winter 2015, Fall 2015, Winter 2017.

-      Instructor for Financial Mathematics I (573), University of Michigan, Fall 2016.

-      Instructor for Stochastic Analysis for Finance (506), University of Michigan, Winter 2016.

-      Instructor for Computational Finance (623), University of Michigan, Fall 2014, Winter 2018.

-      Lecturer for Financial Derivatives I, Oxford University, Fall 2011.

-      Lecturer for Market-Based Approach to Modeling Derivatives Prices, Oxford University, Fall 2010.

-      Lecturer for Exotic Options and Advanced Modelling Techniques, Oxford University, Summer 2010, 2011.

-      Tutor for Financial Derivatives II, Oxford University, Spring 2010, 2011.

-      Tutor for Stochastic Differential Equations, Oxford University, Fall 2009, 2010.

-      Organizer for Stochastic Analysis Seminar, Princeton University, Fall 2008, Spring 2009.

-      Teaching Assistant at Princeton University for: Computational Finance in C++ (Spring 2007, 2008), Stochastic Calculus and Finance (Spring 2008), Financial Risk Management (Fall 2006, 2007).