PhD, Carnegie Mellon University

Financial Mathematics; Deep Learning; Machine Learning; Partial Differential Equation; Decentralized Finance.

A Deep Learning Scheme for Solving Fully Nonlinear Partial Differential Equation, 
with K. Chen. Preprint (submitted)

Axioms for Automated Market Makers: A Mathematical Framework in FinTech and Decentralized Finance, with Z. Feinshtein. Preprint (submitted)

When do you Stop Supporting your Bankrupt Subsidiary? A Systemic Risk Perspective, with N.Detering. Preprint (submitted)

Deep PDE Solution to BSDE, with J. Hou, Preprint (submitted)

Decentralized Payment Clearing using Blockchain and Optimal Bidding, with H. Amini and Z. Feinshtein. Preprint (submitted)

Identification of Optimal Capacity Expansion and Differentiated Capacity Payments Under Risk Aversion, with B. Hobbs and  X. Song. Preprint (submitted)

Optimal Investment with Correlated Stochastic Volatility Factors, with J.P. Fouque, To appear in Mathematical Finance, Preprint

Endogenous Inverse Demand Functions, with Z. Feinshtein
Operations Research, Vol. 70, No. 5, Preprint

Model-free Learning of Regions of Attraction via Recurrent Sets, with E. Mallada and Y. Shen, To appear in 2022 IEEE 61st Conference on Decision and Control, Preprint.

Optimal Switching between Locking Down and Opening the Economy Because of an Infection, SIAM Journal on Control and Optimization, Vol. 60, No. 2, Preprint

A Repo Model of Fire Sales with VWAP and LOB Pricing Mechanism, with Z. Feinshtein, European Journal of Operational Research, 296(1), 353-367,  Preprint

Optimal Regulatory Charge for Maximal Photovoltaic Distrusted Generation, with B. Hobbs, X. Song and Y. Wang, Journal of Energy Markets, 14(1), 61-97 , Preprint

Systemic Risk: The Effect of Market Confidence, with K. Chen
Intl. J. of Theoretical & Applied Finance, 23(7), 2050043, Preprint