Sergey Nadtochiy

  • Professor of Applied Mathematics

Education

鈥� Princeton University Ph.D. in Operations Research & Financial Engineering, 2009. Advisor: R. Carmona. 

鈥� Princeton University M.A. in Operations Research & Financial Engineering, 2008. Advisor: R. Carmona. 

鈥� Moscow State University Specialist (M.Sc.) in Mathematics, 2005. Summa cum laude. Advisor: A. Shiryaev.

Research Interests

Financial Mathematics, Probability Theory, Partial Differential Equations, Stochastic Control, Game Theory 

Awards

Award for excellence (honorific fellowship). Moscow State University, 2001鈥�2005

Publications

  • S. Nadtochiy 鈥淎 simple microstructural explanation of concave price impact.鈥� Submitted for publication 
  • I. Ekren and S. Nadtochiy 鈥淯tility-based hedging and indifference price of contingent claims in Almgren-Chriss model with temporary impact.鈥� Submitted for publication 
  • F. Delarue, S. Nadtochiy and M. Shkolnikov 鈥淕lobal Solution to Super-cooled Stefan Problem with Blow-ups: Regularity and Uniqueness.鈥� Submitted for publication, arXiv:1902.05174 
  • S. Nadtochiy and M. Shkolnikov 鈥淢ean Field Systems on Networks, with Singular Interaction through Hitting Times.鈥� To appear in Annals of Probability 
  • S. Nadtochiy and T. Zariphopoulou 鈥淥ptimal Contract for a Fund Manager with Capital Injections and Endogenous Trading Constraints.鈥� SIAM Journal on Financial Mathematics, 10(3) (published online), 2019 
  • R. Gayduk and S. Nadtochiy 鈥淐ontrol-Stopping Games for Market Microstructure and Beyond.鈥� To appear in Mathematics of Operations Research 
  • S. Nadtochiy and M. Shkolnikov 鈥淧article Systems with Singular Interaction through Hitting Times: Application in Systemic Risk Modeling.鈥� Annals of Applied Probability, 29(1):89鈥�129, 2019 
  • R. Gayduk and S. Nadtochiy 鈥淓ndogenous Formation of Limit Order Books: Dynamics Between Trades.鈥� SIAM Journal on Control and Optimization, 56(3):1577鈥�1619, 2018 
  • R. Gayduk and S. Nadtochiy 鈥淟iquidity Effects of Trading Frequency.鈥� Mathematical Finance, 28(3):839鈥�876, 2018 
  • S. Nadtochiy and J. Obloj 鈥淩obust Trading of Implied Skew.鈥� International Journal of Theoretical and Applied Finance, 20(2), 2017 
  • R. Carmona, Y. Ma and S. Nadtochiy 鈥淪imulation of Implied Volatility Surfaces via Tangent L茅vy models.鈥� SIAM Journal on Financial Mathematics, 8(1):171鈥�213, 2017 
  • E. Bayraktar and S. Nadtochiy 鈥淲eak Reflection Principle for L茅vy processes.鈥� Annals of Applied Probability, 25(6):3251鈥�3294, 2015 
  • S. Nadtochiy and M. Tehranchi 鈥淥ptimal Investment for All Time Horizons and Martin Boundary of Space-time Diffusions.鈥� Mathematical Finance, 27(2):438鈥�470, 2017 
  • P. Carr and S. Nadtochiy 鈥淟ocal Variance Gamma and Explicit Calibration to Option Prices.鈥� Mathematical Finance, 27(1):151鈥�193, 2017 

 

Grants

鈥�&苍产蝉辫;NSF CAREER Grant DMS-1855309, 2017鈥�2022, single PI. 

鈥� NSF Grant DMS-1411824, 2014鈥�2017, single PI. 

鈥� SIAG/FME Junior Scientist Prize. SIAM, 2012. 

鈥� Charlotte Elizabeth Procter Honorific Fellowship. Princeton University, 2008鈥�2009. 

鈥� Gordon Y.S. Wu Honorific Fellowship. Princeton University, 2005鈥�2009. 

 

Expertise

Financial Mathematics, Probability Theory, Partial Differential Equations, Stochastic Control and Game Theory.

Sergey Nadtochiy

Contact Information

312.567.8929 Room 234B, John T. Rettaliata Engineering Center, 10 West 32nd Street,Chicago, IL 60616 Tuesdays 3:30 - 4:30 PM;Thursdays 10:00 AM - 11:15 AM