- 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
- Financial Mathematics (market microstructure and liquidity risk, derivatives markets, optimal investment)
- Stochastic Analysis (infinite-dimensional stochastic processes, symmetries of Markov processes, Martin boundary, propagation of chaos)
- Partial Differential Equations (HJB equations, singular coefficients, ill-posed parabolic equations)
- Game Theory and Equilibrium (large-population games, fixed-point problems with discontinuities)
Market Microstructure and Liquidity Risk
- R. Gayduk and S. Nadtochiy, Control-Stopping Games for Market Microstructure and Beyond.
Submitted for publication.
Code for computing equilibrium strategies. See help file (and manuscript) for instructions on how to use it.
- I. Ekren, S. Nadtochiy, and Y. Stoev, When is a good time to buy an option?
- R. Gayduk and S. Nadtochiy, Endogenous Formation of Limit Order Books: Dynamics between Trades.
To appear in SIAM Journal on Control and Optimization.
- R. Gayduk and S. Nadtochiy, Liquidity Effects of Trading Frequency.
Mathematical Finance, published online, 2017.
- F. Delarue, S. Nadtochiy, and M. Shkolnikov, Global Description of Particle Systems with Singular Interaction through Hitting Times.
- S. Nadtochiy and M. Shkolnikov, Mean Field Systems on Networks, with Singular Interaction through Hitting Times.
Submitted for publication.
- S. Nadtochiy and M. Shkolnikov, Particle Systems with Singular Interaction through Hitting Times: Application in Systemic Risk Modeling.
To appear in Annals of Applied Probability.
- 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.
- S. Nadtochiy and T. Zariphopoulou, Optimal Contract for a Fund Manager, with Capital Injections and Endogenous Trading Constraints.
Submitted for publication.
- 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
- Instructor for Probability (475), Illinois Institute of Technology, Fall 2018.
- 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).