
Sergey
Nadtochiy 


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 (largepopulation
dynamics, infinitedimensional stochastic processes, symmetries of Markov
processes)

Partial Differential Equations (HJB
equations, moving interface problems, illposed parabolic equations)

Game Theory and Equilibrium
(largepopulation games, fixedpoint problems with discontinuities)
Research
papers
Market
Microstructure and Liquidity Risk

R. Gayduk and
S. Nadtochiy, ControlStopping
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, Utilitybased
hedging and pricing of contingent claims in AlmgrenChriss
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.
Probability

F.
Delarue, S. Nadtochiy, and M. Shkolnikov,
Global Solution
to Supercooled Stefan Problem with Blowups: 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%2Fs0078001101588

P.
Carr and S. Nadtochiy, Static
Hedging under Timehomogeneous 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 Spacetime Diffusions.
Mathematical Finance,
27(2), 2017 (published online in 2015).
 S. Nadtochiy and T. Zariphopoulou, A class of Homothetic Forward Investment Performance Processes with Nonzero Volatility.
Inspired by Finance, A
volume in honor of M. Musiela 60^{th}
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 MarketBased 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).