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Steering Committee

The Master's Degree in Mathematics with Option in Mathematical Finance is administered by the Department of Mathematics in consultation with a Program Steering Committee whose members include:

Richard Falk:  Professor of Mathematics
Paul Feehan:  Professor of Mathematics and Director, M.S. Mathematical Finance Program
Stephen Miller:  Graduate Vice Chair for the Math Dept

Participating Faculty

Faculty members and part-time lecturers from participating departments are listed below:

rongchen  
Rong Chen
Professor of Statistics

 

Email: rongchen (at) stat.rutgers.edu
Office: Hill 580
Phone: (848) 445-2690
Web: stat.rutgers.edu/~rongchen
  Biography:  Research interests include nonlinear and multivariate time series analysis; Monte Carlo methods, statistical computing and Bayesian analysis; statistical applications in Science, Engineering and Business.
 
falk  
Richard Falk
Professor of Mathematics

 

Email: falk (at) math.rutgers.edu
Office: Hill 722
Phone: 848.445.6916
Web: math.rutgers.edu/~falk
  Biography:  My main area of research is the numerical solution of partial differential equations, especially the use of finite element methods. I am one of the co-organizers of the *Finite Element Circus*, a regular conference devoted to the theory and applications of the finite element method and related areas of numerical analysis and partial differential equations.
 
feehan  
Paul Feehan
Professor of Mathematics and Director, M.S. Mathematical Finance Program

 

Email: feehan (at) rci.rutgers.edu
Office: Hill 544
Phone: 848.445.6961
Web: math.rutgers.edu/~feehan
  Biography: My current research interests include mathematical finance, especially applications of partial-integro differential equations to derivative security pricing and risk management, Lévy processes and semimartingales. My research has also included applications of partial differential equations to smooth four-manifold topology, including the relationship between the theories of Donaldson and Seiberg-Witten.
 
 
Bernhard Firner
Instructor

 

Email: This email address is being protected from spambots. You need JavaScript enabled to view it.
Office:  
Phone:  
Web:  
  Biography: My main area of research is low-power wireless sensor networks and their applications, with a focus on low power wireless protocols and sensor network middleware. I am currently working with a startup company to create low cost environmental sensing systems for health monitoring.
 
 
Roger Klein
Instructor

 

Email: This email address is being protected from spambots. You need JavaScript enabled to view it.
Office: NJ Hall 311
Phone: 848-932-7543
Web:  
  Biography: Econometrics, with a current focus on Estimating and Testing Semiparametric Models
 
 
Paisan Limratanamongkol
Adjunct Lecturer in Mathematics

 

Email: paisan67 (at) yahoo.com
Office: Hill 611
Phone: 848.445.3920
Web:  
  Biography: Currently with Blackrock Asset Management. My main area of research is quantitative aspect of asset management. My interests include quantitative stock selection models, applied empirical asset pricing models, behavioral finance, dynamic portfolio choice problem, portfolio optimization, and risk management.
 
Mackey  
Glen Mackey
Adjunct Lecturer

 

Email: glen.mackey@ nrgenergy.com
Office:  
Phone: 848-445-3920
Web:  
  Biography: Glen Mackey Chief Risk Officer, NRG Energy, Inc. Glen Mackey joins us directly from the front lines of commodity trading and risk management. He is currently the CRO of NRG Energy, a Fortune 300 company headquartered in Princeton, NJ. Mackey was also the Head of Global Risk Management at Nexen Inc, where he managed the international commodity risk associated with Nexen’s oil, liquids, gas, and power marketing and trading businesses. He has 21 years of commercial, and financial management experience within the energy and financial services sectors, cultivated with international industry leaders such as Westcoast Energy, Engage Energy, Duke Energy Marketing, Koch Energy Trading, KPMG, and TD Financial Group. Academically, Glen has a MBA, undergraduate degree in Finance, and Diploma of Applied Arts in Business Administration. Glen’s professional activities have included membership in the Committee of Chief Risk Officers, the Global Association of Risk Professionals, Professional Risk Managers International Association, Energy Risk Management Association of Canada, Canadian Energy Marketing Association of Creditors, and the International Energy Creditors Association
 
NamKihun  
Kihun Nam
Triennial Assistant Professor

 

Email: This email address is being protected from spambots. You need JavaScript enabled to view it.
Office: HILL 336
Phone: 848-445-7285
Web:  
  Biography: My main area of research is backward stochastic differential equations and stochastic analysis. The related area includes semilinear parabolic and elliptic PDEs, stochastic optimization, stochastic differential game, and risk measure.
 
ocone  
Daniel Ocone
Professor of Mathematics and Acting Director, M.S. Mathematical Finance Program

 

Email: ocone (at) math.rutgers.edu
Office: Room 518
Phone: 848.445.7964
Web: math.rutgers.edu/~ocone
  Biography: I study stochastic process and their applications.
 
Oh  
Duk-Soon Oh
Triennial Assistant Professor

 

Email: This email address is being protected from spambots. You need JavaScript enabled to view it.
Office: Hill 513
Phone: 848-445-6856
Web: http://math.rutgers.edu/~do187
  Biography: My general research interest is in developing efficient numerical algorithms for solving partial differential equations. In particular, I have been focusing on domain decomposition methods, multigrid methods, and high performance computing for elliptic partial differential equations.
 
pereira  
Marco Pereira
Adjunct Lecturer in Mathematics

 

Email: This email address is being protected from spambots. You need JavaScript enabled to view it.
Office: Hill 611
Phone: 848.445.3920
Web:  
  Biography: My research interests are primarily in the following areas: risk assessment /management, and pricing of credit products. On the regulatory front, I am especially interested on the influence of the Global Financial Regulations on trading, Risk Systems and Banking Reporting Compliance with emphasis on Basel IRC and CRM requirements and Risk Capital Calculations.
 
PhamTriet  
Triet Pham
Triennial Assistant Professor

 

Email: This email address is being protected from spambots. You need JavaScript enabled to view it.
Office:  
Phone:  
Web:  
  Biography: My research interests include stochastic analysis, path dependent PDE and nonlinear expectation.
 
shklyarevs  
Alexander Shklyarevsky
Adjunct Lecturer

 

Email: shklyarevs (at) aol.com
Office: Hill 611
Phone: 848.445.3920
Web:  
  Biography:  Mr. Alexander Shklyarevsky is a Director, Model Risk Management, in Enterprise Risk Management at AIG in New York. He specializes in quantitative pricing and risk models and other methodologies and processes for Capital, Collateral, Insurance Products, Derivative Products and their portfolios across asset classes. Prior to joining AIG, Alexander worked at Bank of America, KBC Financial Products, Commerzbank, Merrill Lynch, ING Barings, Deutsche Bank, Bank of Tokyo and Chase Manhattan Bank where he specialized in quantitative pricing, trading and risk models for derivative securities and their portfolios, as well as Risk Management and Risk Analytics. Mr. Shklyarevsky has been published in financial magazines and has been a speaker at several industry and academic conferences. Prior to working in an Insurance Industry and a Financial Industry, he worked in Construction Research, Market Research and Academia where he conducted Mathematical Research and taught courses in Mathematics. Mr. Shklyarevsky holds a B.S. / M.S. Degree in Mathematics from Kiev State University (Department of Mathematics) and M.S. Degree with all Ph.D. credits in Mathematics from New York University (Courant Institute of Mathematical Sciences, Department of Mathematics).
 
Swanson  
Norman Swanson
Professor

 

Email: This email address is being protected from spambots. You need JavaScript enabled to view it.
Office: 75 Hamilton Street, New Brunswick
Phone: (848) 932-7432
Web: econweb.rutgers.edu/nswanson
  Biography: Norman R. Swanson was educated at the University of Waterloo and the University of California, San Diego. He is currently Professor and Director of Graduate Studies in the Economics Department at Rutgers University. He has held previous positions at Pennsylvania State University (1994-1999), Texas A&M University (1999-2001), and Purdue University (2001-2002). His primary research interests include econometric theory, financial and macro econometrics, time series analysis, and forecasting. He is a fellow of the Journal of Econometrics, which is the top field journal in econometrics, and he is currently an associate editor of the Journal of Business and Economic Statistics, the International Journal of Forecasting, and the European Journal of Pure and Applied Mathematics. He is or has served as guest editor for journals ranging from Journal of Econometrics to Journal of Business and Economic Statistics, and has previously acted as associate editor to a number of journals, including Studies in Nonlinear Dynamics and Econometrics and Empirical Economics. He is a member of various professional organizations, including the Econometric Society, the American Statistical Association, the American Economic Association, and the Canadian Economic Association. He has recent scholarly publications in leading economics and statistics journals including Econometrica, Journal of Econometrics, Review of Economics and Statistics, Journal of Business and Economic Statistics, and the Journal of the American Statistical Association, among others; and is or has acted as ongoing visiting scholar to various central banks including The Federal Reserve Bank of Philadelphia and the Bank of Canada.
 

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HillCenter

Mathematical Finance Master's Program

Department of Mathematics, Hill 348
Hill Center for Mathematical Sciences
Rutgers, The State University of New Jersey
110 Frelinghuysen Road
Piscataway, NJ 08854-8019

Email: finmath (at) rci.rutgers.edu
Phone: +1.848.445.3920
Fax: +1.732.445.5530