2015 |
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Carlos Adrian Abad Lopez
Prof. Garud Iyengar
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Smart Grid Risk Management
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Juan Li
Prof. Jose Blanchet
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Stochastic Networks: Modeling, Simulation Design and Risk Control
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Aya Wallwater
Prof. Jose Blanchet
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Perfect Simulation and Optimal Deployment Strategies for Detection
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Andrei Simion
Prof. Michael Collins
Prof. Cliff Stein
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A Family of Latent Variable Convex Relaxations for IBM Model 2
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Xin Li
Prof. Tim Leung
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Optimal Multiple Stopping Approach to Mean Reversion Trading
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Marco Santoli
Prof. Steve Kou
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Methods for Pricing Pre-Earnings Equity Options and Leveraged ETF Options
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Peter Maceli
Prof. Maria Chudnovsky
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Excluding Induced Paths: Graph Structure and Coloring
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2014 |
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Chen Chen
Prof. Jay Sethuraman
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Theory of Systemic Risk
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Bo Huang
Prof. Don Goldfarb
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Convex Algorithms and Recovery Theories in Sparse Modeling in Machine Learning
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Jing Dong
Prof. Mariana Olvera-Cravioto
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Studies in Stochastic Networks: Efficient Monte-Carlo Methods, Modeling and Asymptotic Analysis
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Shyam Sundar Chandramouli
Prof. Jay Sethuraman
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Network Resource Allocation Under Fairness Constraints
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Irene Song
Prof. Daniel Bienstock
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New Quantitative Approaches to Asset Selection and Portfolio Construction
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Matthieu Plumettaz
Prof. Maria Chudnovsky
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Graph Structure and Coloring
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Hailey Song Hee Kim
Prof. Daniel Bienstock
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Data-Driven Decisions in Service Systems
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Tulia Herrera Humphries
Prof. Daniel Bienstock
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On the Kidney Exchange Problem and Online Minimum Energy Scheduling
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Andrew Ahn
Prof. Jay Sethuraman
Prof. Ward Whitt
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Essays in Financial Engineering
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Chun Wang
Prof. Jay Sethuraman
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High Dimensional Portfolio Management: Tax, Execution and Information Relaxation
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Xinyun (Traci) Chen
Prof. Jose Blanchet
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Perfect Simulation, Sample-Path Large Deviations, and Multiscale Modeling for Some Fundamental Queueing Systems
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Jinbeom Kim
Prof. Tim Leung
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Pricing, Trading, and Clearing Defaultable Claims Subject to Counterparty Risk
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Yupeng Chen
Prof. Steve Kou
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Essays on Inventory Management and Conjoint Analysis
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Haowen Zhong
Prof. Steve Kou
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Two Papers of Financial Engineering Relating to the Risks of the 2007-2008 Financial Crisis
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2013 |
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Shuheng (John) Zheng
Prof. Jose Blanchet
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Stochastic Approximation Algorithms in the Estimation of Quasi-Stationary Distributions
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Rodrigo Carrasco
Prof. Garud Iyengar &
Prof. Cliff Stein
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Resource Cost Aware Scheduling Problems
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Alexander Michalka
Prof. Daniel Bienstock
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Cutting Plane Techniques for Convex Objective Nonconvex Optimization
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Menghui Cao
Prof. Steve Kou
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From Continuous to Discrete: Results on the Probabilities and Monte Carlo Simulations for the Pricing of Barrier Options and American Options
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Arseniy Kukanov
Prof. Rama Cont
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Stochastic Models of Limit Order Markets
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Zhiwei (Tony) Qin
Prof. Don Goldfarb
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Optimization Algorithms for Structured Machine Learning and Image Processing Problems
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Xingbo Xu
Prof. Paul Glasserman
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Financial Portfolio Risk Management: Model Risk, Robustness and Rebalancing Error |
Krzysztof Choromanski
Prof. Maria Chudnovsky
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Tournaments with Forbidden Substrutures and the Erdos-Hajnal Conjecture
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2012 |
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Behzad Nouri
Prof. Paul Glasserman
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Pricing and Risk Implications of Contingent Capital
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Ana Cecillia Zenteno Langle
Prof. Daniel Bienstock
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Models for Managing the Impact of an Influenza Pandemic
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Yixi Shi
Prof. Jose Blanchet
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Rare Events in Stochastic Systems: Modeling, Simulation Design and Algorithm Analysis
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Ruxian Wang
Prof. Guillermo Gallego
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Multiproduct Pricing Management and Design of New Service Products
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2011 |
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Necdet Serhat Aybat
Prof. Garud Iyengar
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A First-Order Smoothed Penalty Method for Compressed Sensing, SIAM Journal on Optimization
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Nur Ayvaz
Prof. Soulaymane Kachani &
Prof. Guillermo Gallego
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Three Essays on Dynamic Pricing and Resource Allocation
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Vijay Desai
Prof. Guillermo Gallego &
Prof. Ciamac Moallemi
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Approximate Dynamic Programming for Large Scale Systems
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Yiping Du
Prof. Ciamac Moallemi &
Prof. Mark Broadie
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Efficient Methods for Estimating Risk Measures
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Thiam Lee
Prof. Tim Huh &
Prof. Jay Sethuraman
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Essays on Inventory Management and Object Allocation
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Yunan Liu
Prof. Ward Whitt
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Mutli-Server Queues with Time-Varying Arrivals and Customer Abandonment
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Shiqian Ma
Prof. Donald Goldfarb
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Algorithms for Sparse and Low-Rank Optimization: Convergence, Complexity, and Applications
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Yu Hang Kan
Prof. Rama Cont
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Quantiative Modeling of Credit Derivatives
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2010 |
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Zaiwen Wen
Prof. Donald Goldfarb
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Thesis Title: First-order Methods for Semi-definite Programming
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Yori Zwols
Prof. Maria Chudnovsky
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Forbidding Induced Subgraphs
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Romain Deguest
Prof. Rama Cont
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Model Uncertainty in Derivative Pricing and Risk Management
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Rouba Ibrahim
Prof. Ward Whitt
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Real-time Delay Prediction in Customer Service Systems
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Guodong Pang
Prof. Ward Whitt
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Asymptotic Methods to Understand the Performance of Large-Scale Service Systems
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Masoud Talebian
Prof. Guillermo Gallego
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Essay on Learning and Contract Theory
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Kun Soo Park
Prof. Ward Whitt,
Prof. Tim Huh &
Prof. Emanuel Derman
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Applications of Stochastic Modeling to Quantitative Finance and Operations Management
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Ohad Perry
Prof. Ward Whitt
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Heavy-Traffic Limits Via an Averging Principle for Service Systems Responding to Unexpected Overloads
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2009 |
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Ali Sadighian
Prof. Tim Huh &
Prof. Soulaymane Kachani
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Dynamic Pricing Models with Competition, Production Planning, and Consumer Interaction
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Rishi Talreja
Prof. Ward Whitt
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Essays on Heavy-Traffic Approximations for Many-Server Queuing Systems
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Abhinav Verma
Prof. Daniel Bienstock
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Power Grid Security Analysis: An Optimization Approach
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Ming Hu
Prof. Guillermo Gallego
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Dynamic Oligopoly Models in Revenue Management and Supply Chain Management
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Ka Chun (Alfred) Ma
Prof. Garud Iyengar,
Prof. Donald Goldfarb &
Prof. Ward Whitt
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Essays in Asset Allocation
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Xianhua Peng
Prof. Steve Kou
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Two Research Problems in Financial Engineering
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2008 |
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Stergios Athanassoglou
Prof. Jay Sethuraman
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Essays on Fair, Efficient, and Incentive-Compatible Resource and Cost Allocation
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