Congratulations to Professor Matt Lorig, who has been awarded the Early Career Prize by the SIAM Activity Group on Financial Mathematics and Engineering (SIAG-FME). The prize committee recognized Prof. Lorig for making “mathematically rigorous the asymptotic theory of derivative pricing and implied volatilities in a wide class of sophisticated financial models.” His methodology has been used to solve a great variety of problems in finance, such as pricing options and swaps, and dynamic/static hedging of derivatives. His work […]
The Department of Applied Mathematics is happy to announce that Professor Tim Leung has been recognized with an Emerald Literati Network Award for Excellence – Outstanding Paper for his paper titled, “The Golden Target: Analyzing the tracking performance of leveraged gold ETFs.” Leung’s work formulates and solves a constrained quadratic minimization problem to construct static replicating portfolios of both leveraged and unleveraged benchmarks in gold; a dynamic constant leveraged portfolio using gold futures is used to track the […]
As the faculty recruiting season is coming to an end, we are excited that Dr. Ivana Bozic and Professor Tim Leung will join the faculty ranks, effective next academic year.
Ivana is joining the department as an Assistant Professor. She is currently a postdoctoral fellow in the Department of Mathematics and a Research Scientist in the Program for Evolutionary Dynamics at Harvard. Her specialty is the modeling of cancer and its resistance to treatment. She will start in […]
Applied Mathematics faculty member Eric Shea-Brown and adjunct Professor Adrienne Fairhall (Physiology and Biophysics) have been awarded a grant from The Swartz Foundation to support research in theoretical neuroscience. The award establishes the UW as the latest of the Swartz Foundation-supported centers for innovation in this growing field, which spans mathematics, statistics, physics and biology. Congratulations to Eric and Adrienne! Read more here.