April 11, 2013. It is with great pleasure that we are able to announce that Dr. Jim Gatheral of the Financial Engineering Masters Program at Baruch College was named Presidential Professor at Baruch College, City University of New York.

Dr. Gatheral joined Baruch College in August 2010, after a distinguished career in finance, most recently as a Managing Director at Merrill Lynch, where he led the quantitative research group for 17 years. Before making his way to New York, Dr. Gatheral’s work spanned the trading and banking worlds, working out of London and Tokyo.

Dr. Gatheral,  one of the top quants in the world and author of the best selling book “The Volatility Surface: A Practitioner’s Guide“, has strengthened the Baruch MFE Program, propelling it to be included among the top five such programs by the end of 2011. Jim’s impact on the Baruch MFE program has been significant and multi-faceted, leading directly to not only increasing the program’s prestige and standing, but also attracting even stronger students who have since won international competitions, including the Rotman International Trading Competition and the Metaquotes Automated Trading Championship.

The Baruch Financial Engineering Program won 3rd place (out of 48 teams) at the Rotman International Trading Competition held in February 2013 at University of Toronto.

This is the third year in a row a Baruch MFE team is in Top 3 at RITC (after winning the competition in 2012 and placing 3rd in 2011)! This consistency, unprecedented at RITC, coupled with the 2nd place for the Baruch MFE Program in the IAFE Case Competition, highlights the breadth of knowledge of our students at highly competitive levels.

Results:

Top 5:
1. Laval University
2. Chulalongkorn University (Thailand)
3. Baruch College
3. University of Toronto
5. BI Norwegian Business School (2012 winner of the European Rotman Competition)

The Baruch MFE team ranked in top five in four of the six parts of the competition:

Quant Outcry – 1st
Options Trading – 2nd
Sales & Trader – 2nd
Algo Trading – 3rd

A record number of US-based MFE/Math Finance programs participated this year: Baruch (3rd place), Berkeley (38), Boston University (29 and 37), Chicago (12 and 41), NYU (35), Rutgers (32).

Congratulations to our students, Andrew Chang, Juan Pablo Alonso, Kenneth Chan, Richard Postelnik, Kelvin Zhang, and Sean Zhang! (Kelvin and Sean were also members of the IAFE team.)

The Baruch MFE Program won second place in the IAFE Academic Case Competition, which was announced at the IAFE Annual Gala in February 2013.

Having our students at the very top in both trading competitions (winning the Rotman International Trading Competition in 2012) and case competitions is unique. The breadth of their knowledge and interests are one of the keys to their remarkable success on the job market.

31 teams representing 17 financial engineering programs entered the five weeks competition concluded in December 2012; UC Berkeley won first place; no other winners past second place were announced.

The case was a capital adequacy problem – how to allocate funds to maximize returns while complying with the regulatory requirement of Basel III, as well as suggest regulatory improvements for Basel III.

The Baruch MFE program entered one team made of six (first semester) students; two of them were also on the 3rd place Baruch MFE team at the 2013 Rotman Trading Competition:

Yi Kelvin Zhang (team captain; RITC team) Srinivas Kanepalli Jin Kong Ran Sally Liu Yujia Helen Sun Shixiang Sean Zhang (RITC team)

Congratulations to our winners!

Baruch MFE student Juan Pablo Alonso (Baruch MFE’13) won second place in the 2012 Metaquotes Automated Trading Championship held from October 1st to December 28th, 2012, and a $25,000 money prize.

Juan Pablo programmed a fully automated currency trading robot that ran without human interaction for the three months of the competition. The program was created using statistical analysis of historical EUR\USD data to find a trade algorithm that maximized the expected return.

451 traders from over 50 countries on all continents created trading robots that participated in the competition. In the top 20 were participants from United States, Spain, Russia, Belarus, China, Lithuania, Indonesia, France, and Italy. In true trading fashion, only the top three places received prize money.

Juan Pablo was the most followed trader of the competition; an interview with him is posted at http://championship.mql5.com/2012/en/news/189

Results: http://championship.mql5.com/

The Baruch MFE students won the 2012 Rotman International Trading Competition.

The Baruch MFE teams ranked first and fourth place out of 50 teams in the ninth annual Rotman International Trading Competition that took place in February 2012 at University of Toronto.

Top Five:

1. Baruch College
2. University of Rome – LUISS Guido Carli
3. University of Chicago
4. Baruch College
5. University of Waterloo

The final results can be found here.

Detailed performances per case:

Quantitative Event Driven Trading: 2nd and 4th place
Commodities Trading: 4th and 5th place
High Frequency Algorithmic Trading: 4th and 7th place
Sales and Trader: 5th and 5th place
Options Trading: 10th and 13th place
Quantitative Outcry: 12th and 22nd place

Our students placed particularly high in the quantitative and algorithmic cases.

The team was trained by Mr. Eugene Krel (Baruch MFE’09 and Quantitative Brokers; member of the first Baruch MFE team at RITC 2009) and was advised during the competition by Eugene and Professor Rados Radoicic.

Our success is a tribute to the great consistency and self-discipline of our team members, their intensive preparation for the competition, and their trading and analytical skills. Last but not least, our students demonstrated outstanding teamwork.

Congratulations to our Baruch MFE winners, Andrew Chang, Jing Chen, Alex Hawat, Gama Le Bouder, Tom Maloney, Yike Lu, Alexei Smirnov and Zhechao Zhou!

The Baruch MFE Team:

Mr. Andrew Chang graduated in three years, Summa Cum Laude, with a double major in actuarial science and economics and a minor in statistics and quantitative modeling from Baruch College. While a fixed income intern at Goldstein Capital, Andrew worked on the valuation and hedging of mortgage backed securities. Andrew has experience using Monte Carlo simulations in C++ for the valuation of both derivative securities and insurance products using copula models. In addition to C++, Andrew is proficient in C, VBA and R as well as implementing these languages for numerical pricing techniques. Andrew is working as a research assistant with Jim Gatheral.

Mr. Jing Chen has a bachelor’s degree in economics from Shanghai University of Finance and Economics (SHUFE). He has experience developing a financial software platform in the Financial Laboratory at SHUFE, and interned in the mortgage department at Citibank China. Jing is a quick learner and has strong mathematical knowledge and programming skills. His programming abilities encompass C++, C, VBA and Matlab. Jing already demonstrated very good problem solving ability and teamwork spirit, having his colleagues gravitate to him for help understanding the material.

Mr. Alexandre El Hawat has over eight years of experience in finance and software development. His experience in finance spans from financial advisory, investment consulting and private equity in the Middle-East to investment banking advisory at Lehman Brothers’ Communications and Media group. Alex was an application engineer at Schlumberger where he developed security applications for Schlumberger’s smart card division and its major energy industry clients. Before that, he was a software engineer at Tradanet where he managed the development of a retail-banks Supply chain Management software. He is proficient in programming languages (C/C++, Python, R, Matlab among others) and major financial systems (Bloomberg, Thomson One, Capital IQ and Reuters). Alex has over 10 years of experience in trading equity and options. His unique background and experience allowed him to understand the concepts of quantitative analysis and to efficiently employ his mathematical, financial and computer modeling skills to make pricing, hedging, trading and portfolio management decisions. He holds a Bachelor in Electrical Engineering from the American University of Beirut and an MBA with a Concentration in Finance from the McCombs School of Business at the University of Texas in Austin.

Mr. Gama Le Bouder holds a Bachelors of Science in Economics from the Massachusetts Institute of Technology. While an undergraduate at MIT, he worked in the Financial Engineering Lab as a member of the Traders’ Task Force, conducting monthly electronic trading simulations focused around fixed income securities, equities and futures. Gama is a two-time winner of the Rotman International Trading Competition as a member of the MIT team (ranked first out of 50 teams), and also placed third in the online DC Energy DegreeTrade competition. Gama has been exposed to working in emerging markets and has a broad perspective on global markets. He is very professional and couples an easy-going personality with razor sharp focus.

Mr. Yike Lu (Baruch MFE’12, B.S. Physics Caltech’09) designed the strategy for Baruch College’s first place algorithm for RITC2011 and works at QuantBot Technologies.

Mr. Thomas Maloney holds a bachelor’s degree in physics and mathematics from Cornell University. He was a consultant with Morgan Stanley Prime Brokerage, and has gained research experience while working at The Rockefeller University in the Laboratory of Neurobiology and Behavior. He has extensive experience analyzing EEG signals in Matlab using signal processing techniques. At Baruch Thomas has expanded his knowledge of C++, VBA, Python, and bash scripting; he has written Monte Carlo and Finite Difference programs to price various options and to estimate the Greeks. Thomas is a team-player and eager to contribute his skills in quantitative finance.

Mr. Alexei Smirnov has a computer science and biology dual degree from Binghamton University – SUNY. As a member of the Baruch MFE team at the Rotman International Competition (3rd place out of 50 teams), he co-designed the trading algorithm that gave the team first place, by a wide margin, in algorithmic trading, and created the team’s news-based Natural Gas Futures trading model. Alexei also created the team’s practice environment, which was essential to the success of the team. Alexei is currently working on novel portfolio optimization techniques at Winged Foot Capital. He is experienced in conducting statistical analysis for financial applications in C++, VBA and R, and is interested in fundamental and quantitative trading techniques. Alexei is highly capable and focused on delivering the highest quality results.

Ms. Zhechao Zhou has a master degree in applied mathematics from University of Michigan and a bachelor in physics and mathematics from Bard College. She built jump-diffusion forecast models of the VIX index for trading strategies at a New York hedge fund. She also developed models analyzing the relationship of high frequency trading and equity pricing in research. Zhechao has an unusually vast experience in implementing numerical pricing techniques in C++, VBA and Matlab, and has strong motivation for personal achievement and team success.

Photo credit Mr. William Chiu

Brief speeches showcasing the history and the achievements of the Baruch MFE Program and its highly successful and close-knit community, were followed by an animated reception. More than 80 alumni, including alumni from each cohort graduated so far participated at the reception, and current students had the opportunity to interact with alumni and leading industry practitioners.

Major achievements in the first ten years of the Baruch MFE Program:

World-Class Excellence:
Rotman International Trading Competition: 1st and 4th (2012); 3rd (2011); 10th (2009)
Interactive Brokers Trading Competition: 2nd place (2006, 2008); seven of 62 winners from 13 countries in 2009 (final year) were Baruch MFE students
World class faculty led by Professor Jim Gatheral

Engaged Community: volunteering in Central Park; trips to NYSE, Morgan Library, MoMA, Metropolitan Opera, Planetarium – Natural History Museum, Yankees Stadium

Alumni Community
• One-on-one mentoring by alumni offered to all current students
• 50% of all alumni attended the April 2011 Baruch MFE Town Hall Meeting
• 43% of all alumni contributed to refurbishing the QuantLab (Baruch MFE student study lounge)
• Three alumni teaching in the program: Eugene Krel’09 – trading, Alain Ledon’08 – software engineering, Bob Spruill’07 – financial instruments
• Three alumni coaching team for Rotman International Trading Competition (1st place in 2012): Eugene Krel’09, Yike Lu’12, Alexei Smirnov’12

Email: jim.gatheral@baruch.cuny.edu

Mailing address:

Department of Mathematics
Box B6-230, Baruch College
One Bernard Baruch Way
New York, NY 10010, USA

Jim Gatheral joined the Financial Engineering MS Program in the department of mathematics at Baruch College in 2010 as a tenured full professor. Since 2013, he is Presidential Professor at Baruch College.

Current research interests: Volatility modeling, market impact, and optimal execution.

Education:

Undergraduate (B.Sc., 1979): University of Glasgow, Mathematics and Natural Philosophy.

Graduate (Ph.D., 1983): DAMTP, Cambridge University, Theoretical Physics, Advisor: John C. Taylor

Some papers and preprints:

• (with Christian Bayer and Morten Karlsmark) Fast Ninomiya-Victoir Calibration of the Double-Mean-Reverting Model.

Quantitative Finance forthcoming (2013).

• (with Antoine Jacquier) Arbitrage-free SVI volatility surfaces. Companion R-code for finding where total variance smiles cross if they do cross: sviRoots.R (Right click or option-click the link and choose “Save As…” to download a .zip file).

Quantitative Finance forthcoming (2013).

• (with Alex Schied) Dynamical models of market impact and algorithms for order execution

To appear in: Handbook on Systemic Risk (eds.: J.-P. Fouque and J. Langsam), Cambridge University Press (2012).

• (with Tai-Ho Wang) The Heat-Kernel Most-Likely-Path Approximation.

International Journal of Theoretical and Applied Finance 15(1), 1250001 (2012).

• (with Alex Schied) Optimal trade execution under geometric Brownian motion in the Almgren and Chriss framework.

International Journal of Theoretical and Applied Finance 14(3), 353-368 (2011).

• (with Alex Schied and Alla Slynko) Exponential resilience and decay of market impact.

Econophysics of Order-driven Markets, Springer 225-236 (2011).

• (with Alex Schied and Alla Slynko) Transient linear price impact and Fredholm integral equations.

Mathematical Finance 22(3), 445-474, (2012).

• (with Antoine Jacquier) Convergence of Heston to SVI

Quantitative Finance 11(8), 1129-1132 (2011).

• (with Elton Hsu, Peter Laurence, Cheng Ouyang and Tai-Ho Wang) Asymptotics of Implied Volatility in Local Volatility Models.

Mathematical Finance 22(4), 591-620 (2012).

• No-Dynamic-Arbitrage and Market Impact.

Quantitative Finance 10(7), 749-759 (2010).

• (with Roel Oomen) Zero-Intelligence Realized Variance Estimation.

Finance and Stochastics 14(2), 249-283 (2010).

• (with Peter Friz) Valuing Volatility Derivatives as an Inverse Problem.

Quantitative Finance 5(6), 531-542 (2005).

• (with Yonathan Epelbaum, Jining Han, Kishor Laud, Olga Lubovitsky, Elaine Kant, and Curt Randall) Implementing Option Pricing Models Using Software Synthesis.

Computing in Science and Engineering 1(6), 54-64 (1999).

Book and book contributions:

• (with Michael Kamal) Implied Volatility Surface.

Encyclopedia of Quantitative Finance, R. Cont (Ed.), John Wiley & Sons, 926-931 (2010).

• Jump-Diffusion Models

Encyclopedia of Quantitative Finance, R. Cont (Ed.), John Wiley & Sons, 987-989 (2010).

• (with foreword by Nassim Taleb) The Volatility Surface: A Practitioner’s Guide. John Wiley & Sons (2006).

The Volatility Surface is now in its second printing; thanks to the efforts of many attentive readers, errors in the first printing have been corrected in this printing. Here is a list of corrections for the first printing of The Volatility Surface.

• Delta Hedging with Uncertain Volatility.

Volatility in the Capital Markets: State-of-the-Art Techniques for Modeling, Managing, and Trading Volatility, I. Nelken (Ed.), Glenlake Publishing Company (1997).

Some presentations:

• The Volatility Surface: Statics and Dynamics

Bloomberg Quant Seminar, New York (January 2013).

• Arbitrage-free SVI volatility surfaces 

Center for the Study of Finance and Insurance, Osaka University (December 2012).

• Market Impact with Autocorrelated Order Flow Under Perfect Competition: The Donier Model 

Market Microstructure: Confronting many Viewpoints, Paris (December 2012).

• Optimal order execution 

JOIM Fall Conference, Boston (October 2011).

• The execution puzzle: How and when to trade to minimize cost 

5th International Financial and Capital Markets Conference, Campos do Jordão (August 2011).

• The variational most-likely-path 

Global Derivatives, Paris (April 2011).

• Price manipulation in models of the order book 

Market Microstructure: Confronting many Viewpoints, Paris (December 2010).

• Optimal Order Execution

Petit Dejeuner de la Finance, Paris (April 2010).

• Price manipulation in models of the order book 

RiO 2009, Búzios, Brasil (November 2009).

• No-Dynamic-Arbitrage and Market Impact 

University of Chicago, Stevanovich Center Conference on Liquidity (November 2008).

• Random Matrix Theory and Covariance Estimation 

NYU Courant Institute Algorithmic Trading Conference (October 2008).

• Consistent Modeling of SPX and VIX Options 

Bachelier Congress, London (July 2008).

• Further Developments in Volatility Derivatives Pricing 

Global Derivatives, Paris (May 2008).

• Developments in Volatility Derivatives Pricing 

Global Derivatives, Paris (May 2007).

• Real-time Volatility Estimation Under Zero Intelligence 

TDTF, Amsterdam (June 2006).

• Valuation of volatility derivatives 

Global Derivatives, Paris (May 2005).

• A parsimonious arbitrage-free implied volatility parameterization with application to the valuation of volatility derivatives 

Global Derivatives, Madrid (May 2004).

• Modeling the Implied Volatility Surface 

Global Derivatives, Barcelona (May 2003).

• Rational Shapes of the Volatility Surface 

Quant Congress USA, Boston (June 2000).

• Volatility and Hedging Errors 

Columbia University (September 1999).

Some New York financial mathematics seminars:

• Bloomberg Quant Seminar, Bloomberg offices, 713 Lexington Avenue, NY 10022.

• Cornell Financial Engineering Seminar, 55 Broad Street, NY 10004.

Last updated: 6/2013

Current Research Interests:

Volatility Modeling, Arbitrage Bounds on Options, and Symmetry Analysis

Education:

B.Sc. (1992): National Chiao Tung University, Applied Mathematics.

MSc. (1994): National Chiao Tung University, Applied Mathematics.

Ph.D. (2000): Department of Applied Mathematics, National Chiao Tung Univeristy,

Advisor: Professor Yi-Jung Hsu

Academic Experience:

2012/08 ~ present: Professor, Department of Mathematics, Baruch College, CUNY.

2008/08 ~ 2012/07: Associate Professor, Department of Mathematics, Baruch College, CUNY.

2006/08 ~ 2007/02: Visiting Scholar, Courant Institute of Mathematical Sciences, New York University.

2006/08 ~ 2008/07: Associate Professor, Department of Mathematics, National Chung Cheng Univeristy.

2002/08 ~ 2006/07: Assistant Professor, Department of Mathematics, National Chung Cheng Univeristy.

2001/08 ~ 2002/07: Visiting Member, Courant Institute of Mathematical Sciences, New York University.

2000/08 ~ 2002/07: Postdoc, Institute of Mathematics, Academia Sinica, Taiwan.

Articles:

1. (with Jim Gatheral) The Heat-Kernel Most-Likely-Path Approximation.
International Journal of Theoretical and Applied Finance, 15(1), 1250001 (2012)

2. (with Peter Carr and Roger Lee) Properties of Implied Volatility by Delta. Preprint (2009)

3. (with Jim Gatheral, Elton Hsu, Peter Laurence, and Cheng Ouyang) Asymptotics of Implied Volatility in Local Volatility Models. 
Mathematical Finance, 22(4), 591~620 (2012)

4. (with Yufen Huang and Ching-Ren Cheng) Sensitivity analysis of non-gaussianity by projection pursuit. 
Statistica Sinica, 21(4), 1713~1733 (2011)

5. (with Peter Laurence and Sheng-Li Wang) Generalized Uncorrelated SABR Models with a High Degree of Symmetry. 
Quantitative Finance, 10(6), 663-679 (2010)

6. (with Peter Laurence) Sharp Distribution Free Lower Bounds for Spread Options and the Corresponding Optimal Subreplicating Portfolios. 
Insurance: Mathematics and Economics, 34(1), 35-47 (2009)

7. (with Peter Laurence) Distribution Free Upper Bounds for Spread Options and Market Implied Comonotonicity Gap. 
The European Journal of Finance, 11(8), 717-734 (2008)

8. (with Yufen Huang and Ching-Ren Cheng) Pair-Perturbation Influence Functions of Non-gaussianity by Projection Pursuit. 
Computational Statistics and Data Analysis, 52(8), 3971-3987 (2008)

9. (with Yufen Huang and Ching-Ren Cheng) Influence Analysis of Nongaussianity by Applying Projection Pursuit. 
Statistics and Probability Letters, 77(14), 1515-1521 (2007)

10. (with Yufen Huang and Mei-Ling Kuo) Pair-Perturbation Influence Functions and Local Influence in PCA. 
Computational Statistics and Data Analysis, 51(12), 5886-5899 (2007)

11. (with Yufen Huang and Tzu-Ling Kao) Influence Functions and Local Influence in Linear Discriminant Analysis. 
Computational Statistics and Data Analysis, 51(8), 3844-3861 (2007)

12. (with Peter Carr and Peter Laurence) Generating Integrable One Dimensional Driftless Diffusions. 
Comptes Rendus Mathematique Academie des Sciences, Paris., 343(6), 393-398 (2006)

13. (with Peter Laurence) Close Form Solutions for Quadratic and Inverse Quadratic Term Structure Models. 
International Journal of Theoretical and Applied Finance, 8(8), 1059-1083 (2005)

14. (with David Hobson and Peter Laurence) Static-arbitrage Optimal Sub-replicating Strategies for Basket Options. 
Insurance: Mathematics and Economics, 37, 553-572 (2005)

15. (with David Hobson and Peter Laurence) Static-arbitrage Upper Bounds for the Prices of Basket Options.
Quantitative Finance, 5(4), 329-342 (2005)

16. (with Peter Laurence) Sharp Upper and Lower Bounds for Basket Options. 
Applied Mathematical Finance, 12(3), 253-282 (2005)

17. (with Peter Laurence) What’s a basket worth? 
Risk Magazine, February, 73-74 (2004)

18. (with Yi-Jung Hsu) Global Pinching Theorem for Surfaces of Constant Mean Curvature on S³.
Proceedings of the American Mathematical Society, 130(1), 157-161 (2002)

19. (with Yi-Jung Hsu) Inequalities between Dirichlet and Neumann Eigenvalues for Domains on Spheres.
Taiwanese Journal of Mathematics, 5(4), 755-766 (2001)

20. (with Yi-Jung Hsu and Sheng-Jong Shiau) Graphs with Prescribed Mean Curvature in the Sphere. 
Bulletin of the Institute of Mathematics, Academia Sinica, 28(4), 215-223 (2000)

Book contributions:

• (with Peter Laurence) What’s a basket worth?

Structured product: Groundbreaking technical papers introduced and explained by Dilip Madan, Risk Books (2009).

• (with Peter Laurence) What’s a basket worth?

Derivatives Trading and Option Pricing, N. Dunbar (Ed.), Risk Books (2005).

Some local financial mathematics seminars:

• The New York Quantitative Finance Seminar, Blackrock offices, 52nd Street.

• Courant Institute Mathematical Finance Seminar, Institute Mathematical Finance Seminar, Warren Weaver Hall, Room 102.

• Cornell Financial Engineering Seminar, 55 Broad Street.

Associate Professor
Department of Mathematics at
Baruch College and the CUNY Graduate Center

Contact Information:

Email: elena “dot” kosygina “at” baruch “dot” cuny “dot” edu

Phone: +1 (646) 312-4167

Mailing address:
One Bernard Baruch Way
Department of Mathematics, Box B6-230
Baruch College
New York, NY 10010
USA

Current research interests:

• Random walks and diffusions in random media

Education:

Undergraduate:

• Diploma in Mathematics (with Honors), 1989, Moscow State University, Adviser: A.S. Kalashnikov. Diploma paper: “On unbounded solutions of quasi-linear degenerate parabolic equations”.

Graduate:

• Candidate of Science in Physics and Mathematics, 1995, Moscow State University, Department of Mathematics and Mechanics, Adviser: A.S. Kalashnikov. Dissertation: “Cauchy problem in classes of growing functions for equations of fast diffusion type”.
• Ph.D. in Mathematics, 1999, Courant Institute, New York University, Mathematics,
  Adviser: S.R.S. Varadhan. Dissertation: “Behavior of relative entropy in the hydrodynamic scaling limit”. PDF

Some papers and preprints:

Kosygina, E., Crossing speeds of random walks among “sparse” or “spiky” Bernoulli potentials on integer, Journal of Statistical Physics, in press; arXiv:1212.4447

Kosygina, E., Zerner, M.P.W., Excited random walks: results, methods, open problems. Bulletin of the Institute of Mathematics. Academia Sinica (New Series) 8 (2013), No. 1, 105-157; Published version; arXiv:1204.1895

Dolgopyat, D., Kosygina, E., Scaling limits of recurrent excited random walks on integers. Electronic Communications in Probability 17 (2012), article 35, 1-14.

Kosygina, E., Mountford, T., Crossing velocities for an annealed random walk in a random potential. Stochastic Processes and their Applications 122 (2012), no. 1, 277–304. arXiv:1103.0515v1.

Kosygina, E., Mountford, T., Limit laws of transient excited random walks on integers. Annales de l’Institut Henri Poincare, Probabilites et Statistiques, 47 (2011), no. 2, 575-600. arXiv:0908.4356v2.

Kosygina, E., Mountford, T. S., Zerner, M.P.W., Lyapunov exponents of Green’s functions for random potentials tending to zero. Probability Theory and Related Fields, 150 (2011), no. 1-2, 43-59. arXiv:0903.4928v2.

Kosygina, E., Zerner, M.P.W., Positively and negatively excited random walks on integers, with branching processes. Electronic Journal of Probability, 13 (2008), paper 64, 1952-1979.

Kosygina, E., Varadhan S.R.S., Homogenization of Hamilton-Jacobi-Bellman equations with respect to time-space shifts in a stationary ergodic medium. Communications on Pure and Applied Mathematics, 61 (2008), no. 6, 816-847. PDF

Kosygina, E., Homogenization of stochastic Hamilton-Jacobi equations: brief review of methods and applications. Stochastic Analysis and Partial Differential Equations, Series of Contemporary Mathematics 429 (2007), American Mathematical Society, 189-204. PDF

Kosygina, E., Rezakhanlou, F., and Varadhan, S.R.S., Stochastic homogenization of Hamilton-Jacobi-Bellman Equations. Communications on Pure and Applied Mathematics, 59 (2006), no. 10, 1489-1521.PDF

Kosygina, E., Brownian flow on a finite interval with jump boundary conditions. Discrete and Continuous Dynamical Systems, Series B, 6 (2006), no. 4, 867-880. PDF

Kosygina, E., On the Cauchy problem for the generalized porous medium equation. Communications in Partial Differential Equations, 26 (2001), 841-858. PDF

Kosygina, E., The behavior of the specific entropy in the hydrodynamic scaling limit. The Annals of Probability, 29 (2001), no. 3, 1086-1110. PDF

Kosygina, E., The behavior of the specific entropy in the hydrodynamic scaling limit for Ginzburg-Landau model. Markov Processes and Related Fields, 7 (2001), no. 3, 383-417. PDF

Current Grants:

• Collaboration Grant for Mathematicians, Simons Foundation, #209493, July 1, 2011 – August 31, 2016

Links to local probability seminars:

CUNY Probability Seminar, Tuesdays, 4:15-5:15 p.m., Rm 5417

Courant Institute Probability and Mathematical Physics Seminar, Fridays, 11 a.m.-12 p.m., Rm 512

Columbia University Probability Seminar, Fridays, 12-1 p.m., Rm 525

Last updated: 05/2013

I completed my Ph.D. at MIT in 2004 under the supervision of Daniel J. Kleitman and Janos Pach.

My research interests are: Discrete and Computational Geometry, Algebraic and Probabilistic Methods in Combinatorics, Extremal Graph Theory, Ramsey Theory, Mathematical Finance.

Pak, Igor; Radoičić, Radoš. Hamiltonian paths in Cayley graphs. Discrete Math. 309 (2009), no. 17. pdf

Contact

Email: Rados.Radoicic at baruch.cuny.edu

Phone: +1-646-312-4169