Faculty Profile
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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.
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Biography: Roger Klein is a Professor of Economics at Rutgers University. Prior to joining Rutgers, he was a member of the economics groups at Bellcore and Bell Labs. Professor Klein has written papers on developing estimators and tests for semiparametric models, the role of estimation risk in portfolio decisions. decision theory, and small-sigma asymptotics. He is currently an Associate Editor for Econometric Theory. Professor Klein received his Ph.D. in Economics from Yale University.
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Biography: Associate Professor of Mathematics with a background in Mathematical Economics from the University of Southern Denmark. Dr. Larsen's research interests are mainly how mathematical tools can be applied to solve problems from finance and economics. The main research focus is utility theory and various applications hereof such as model stability and equilibrium price formation. His work has been published in journals such as Mathematical Finance, Finance and Stochastics, Annals of Applied Probability, and Journal of Economic Theory.
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Biography: Currently with Citi Investment 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.
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Biography: Dr. Noma is the founder of Garrett Asset Management, an investment firm that uses behavior models to trade in futures, ETFs, and currencies. Prior to founding Garrett Asset Management, Dr. Noma was a portfolio manager running a fund of hedge funds and was the Chief Risk Officer at Asset Alliance, a seeder of hedge funds.Dr. Noma teaches risk management in the Masters in Mathematical Finance program at Rutgers and machine learning at Columbia University. Earlier in his career, Dr. Noma was a professor in the Psychology Department of Rutgers University, publishing in the areas of psychometrics, applied decision making and group dynamics. Dr. Noma's current research includes development of a method for assessing risk aversion and research in ways men and women differ in their perception of risk. He is also working on natural language processing techniques to assess the emotional intelligence of financial professionals and athletes using theories of emotional awareness and expression. He develops machine learning algorithms to merge diverse data sources into semantic data models behind a financial chatbot.
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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).
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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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Biography: Kim Weston studied at Carnegie Mellon University and is interested in mathematical finance and stochastic analysis. Her current interests include determining which financial models are consistent with economic equilibrium. Her work has been published in Finance & Stochastics and Stochastic Processes & their Applications.
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Biography: My research interests include finite element methods for liquid crystals and complex fluids, numerical approximation for optimal transport problem and Mong-Ampere equation, numerical approximation of stochastic game and optimal stochastic control, a posteriori error estimation and adaptivity, and discontinuous Galerkin methods.
