PhD Dissertations

Brian Lu
 Prof. Vineet Goyal

Essays on Approximation Algorithms for Two-Stage Robust Linear Optimization Problems

Zhen Qiu
 Prof. Garud Iyengar

Approximation Algorithms for Demand-Response Contract Execution and Coflow Scheduling

Ningyuan Chen
 Prof. David Yao

Ranking Algorithms on Directed Configuration Networks

Linan Yang
Prof. Xuedong He

Two Essays in Financial Engineering

Carlos Adrian Abad Lopez
 Prof. Garud Iyengar

Smart Grid Risk Management

Juan Li
 Prof. Jose Blanchet

Stochastic Networks: Modeling, Simulation Design and Risk Control

Aya Wallwater
 Prof. Jose Blanchet

Perfect Simulation and Optimal Deployment Strategies for Detection

Andrei Simion
 Prof. Michael Collins

 Prof. Cliff Stein

A Family of Latent Variable Convex Relaxations for IBM Model 2

Xin Li
 Prof. Tim Leung

Optimal Multiple Stopping Approach to Mean Reversion Trading

Marco Santoli
 Prof. Steve Kou

Methods for Pricing Pre-Earnings Equity Options and Leveraged ETF Options

Peter Maceli
 Prof. Maria Chudnovsky

Excluding Induced Paths: Graph Structure and Coloring

Chen Chen
 Prof. Jay Sethuraman

Theory of Systemic Risk

Bo Huang
 Prof. Don Goldfarb

Convex Algorithms and Recovery Theories in Sparse Modeling in Machine Learning

Jing Dong
 Prof. Mariana Olvera-Cravioto

Studies in Stochastic Networks: Efficient Monte-Carlo Methods, Modeling and Asymptotic Analysis

Shyam Sundar Chandramouli
 Prof. Jay Sethuraman

Network Resource Allocation Under Fairness Constraints

Irene Song
 Prof. Daniel Bienstock

New Quantitative Approaches to Asset Selection and Portfolio Construction

Matthieu Plumettaz
 Prof. Maria Chudnovsky

Graph Structure and Coloring

Hailey Song Hee Kim
 Prof. Daniel Bienstock

Data-Driven Decisions in Service Systems

Tulia Herrera Humphries
 Prof. Daniel Bienstock

On the Kidney Exchange Problem and Online Minimum Energy Scheduling

Andrew Ahn
 Prof. Jay Sethuraman
 Prof. Ward Whitt

Essays in Financial Engineering

Chun Wang
 Prof. Jay Sethuraman

High Dimensional Portfolio Management: Tax, Execution and Information Relaxation

Xinyun (Traci) Chen
 Prof. Jose Blanchet

Perfect Simulation, Sample-Path Large Deviations, and Multiscale Modeling for Some Fundamental Queueing Systems

Jinbeom Kim
 Prof. Tim Leung

Pricing, Trading, and Clearing Defaultable Claims Subject to Counterparty Risk

Yupeng Chen
 Prof. Steve Kou

Essays on Inventory Management and Conjoint Analysis

Haowen Zhong
 Prof. Steve Kou

Two Papers of Financial Engineering Relating to the Risks of the 2007-2008 Financial Crisis

Shuheng (John) Zheng
 Prof. Jose Blanchet

Stochastic Approximation Algorithms in the Estimation of Quasi-Stationary Distributions

Rodrigo Carrasco
 Prof. Garud Iyengar &
 Prof. Cliff Stein

Resource Cost Aware Scheduling Problems

Alexander Michalka
 Prof. Daniel Bienstock

Cutting Plane Techniques for Convex Objective Nonconvex Optimization

Menghui Cao
 Prof. Steve Kou 

From Continuous to Discrete: Results on the Probabilities and Monte Carlo Simulations for the Pricing of Barrier Options and American Options
Arseniy Kukanov
 Prof. Rama Cont

Stochastic Models of Limit Order Markets

Zhiwei (Tony) Qin
 Prof. Don Goldfarb

Optimization Algorithms for Structured Machine Learning and Image Processing Problems

Xingbo Xu
 Prof. Paul Glasserman

Financial Portfolio Risk Management: Model Risk, Robustness and Rebalancing Error
Krzysztof Choromanski
 Prof. Maria Chudnovsky

Tournaments with Forbidden Substrutures and the Erdos-Hajnal Conjecture

Behzad Nouri
 Prof. Paul Glasserman

Pricing and Risk Implications of Contingent Capital

Ana Cecillia Zenteno Langle
 Prof. Daniel Bienstock

Models for Managing the Impact of an Influenza Pandemic

Yixi Shi
 Prof. Jose Blanchet

Rare Events in Stochastic Systems: Modeling, Simulation Design and Algorithm Analysis

Ruxian Wang
 Prof. Guillermo Gallego

Multiproduct Pricing Management and Design of New Service Products

Necdet Serhat Aybat
 Prof. Garud Iyengar

A First-Order Smoothed Penalty Method for Compressed Sensing, SIAM Journal on Optimization

Nur Ayvaz
 Prof. Soulaymane Kachani &
 Prof. Guillermo Gallego

Three Essays on Dynamic Pricing and Resource Allocation

Vijay Desai
 Prof. Guillermo Gallego &
 Prof. Ciamac Moallemi

Approximate Dynamic Programming for Large Scale Systems 

Yiping Du
 Prof. Ciamac Moallemi &
 Prof. Mark Broadie

Efficient Methods for Estimating Risk Measures

Thiam Lee
 Prof. Tim Huh &
 Prof. Jay Sethuraman

Essays on Inventory Management and Object Allocation

Yunan Liu
 Prof. Ward Whitt

Mutli-Server Queues with Time-Varying Arrivals and Customer Abandonment

Shiqian Ma
 Prof. Donald Goldfarb

Algorithms for Sparse and Low-Rank Optimization: Convergence, Complexity, and Applications

Yu Hang Kan
 Prof. Rama Cont

Quantiative Modeling of Credit Derivatives

Zaiwen Wen
 Prof. Donald Goldfarb

Thesis Title: First-order Methods for Semi-definite Programming

Yori Zwols
 Prof. Maria Chudnovsky

Forbidding Induced Subgraphs

Romain Deguest
 Prof. Rama Cont

Model Uncertainty in Derivative Pricing and Risk Management

Rouba Ibrahim
 Prof. Ward Whitt

Real-time Delay Prediction in Customer Service Systems

Guodong Pang
 Prof. Ward Whitt

Asymptotic Methods to Understand the Performance of Large-Scale Service Systems

Masoud Talebian
 Prof. Guillermo Gallego

Essay on Learning and Contract Theory

Kun Soo Park
 Prof. Ward Whitt,
 Prof. Tim Huh
 Prof. Emanuel Derman

Applications of Stochastic Modeling to Quantitative Finance and Operations Management

Ohad Perry
 Prof. Ward Whitt

Heavy-Traffic Limits Via an Averging Principle for Service Systems Responding to Unexpected Overloads

Ali Sadighian
 Prof. Tim Huh &
 Prof. Soulaymane Kachani

Dynamic Pricing Models with Competition, Production Planning, and Consumer Interaction

Rishi Talreja
 Prof. Ward Whitt

Essays on Heavy-Traffic Approximations for Many-Server Queuing Systems

Abhinav Verma
 Prof. Daniel Bienstock

Power Grid Security Analysis: An Optimization Approach

Ming Hu
 Prof. Guillermo Gallego

Dynamic Oligopoly Models in Revenue Management and Supply Chain Management

Ka Chun (Alfred) Ma
 Prof. Garud Iyengar,
 Prof. Donald Goldfarb &
 Prof. Ward Whitt

Essays in Asset Allocation

Xianhua Peng
 Prof. Steve Kou

Two Research Problems in Financial Engineering

Stergios Athanassoglou
 Prof. Jay Sethuraman

Essays on Fair, Efficient, and Incentive-Compatible Resource and Cost Allocation

500 W. 120th St., Mudd 315, New York, NY 10027    212-854-2942                 
©2014 Columbia University