WPIWPI


Maxim Bichuch

Assistant Professor
Department of Mathematical Sciences
Stratton Hall 305D
Worcester Polytechnic Institute


100 Institute Road
Worcester, MA 01609-2280
USA

Phone: (508) 831-6135
Fax:     (508) 831-5824

Email:



Maxim

 

Teaching:

Spring 2015

MA 572 Financial Mathematics II
Classes: Wed 5:30pm - 8:20pm, Stratton Hall 308.

Fall 2014

MA 571 Financial Mathematics I

Spring 2014

MA 572 Financial Mathematics II

Fall 2013

MA 571 Financial Mathematics I


Previously Taught (in Princeton, ORFE):

Fall 2012

ORF 435 Financial Risk Management

Spring 2012

ORF 531 Computational Finance in C++ 

Fall 2011

ORF 535 Financial Risk Management

Spring 2011

ORF 531 Computational Finance in C++

Fall 2010

ORF 557 Stochastic Analysis Seminar: Markets with Transaction Costs



Publications and Preprints

Arbitrage-Free Pricing of XVA Part II: PDE Representation and Numerical Analysis, with A. Capponi and S. Sturm
Preprint (submitted)

Arbitrage-Free Pricing of XVA Part I: Framework and Explicit Examples, with A. Capponi and S. Sturm
Preprint (submitted)

Investing with Liquid and Illiquid Assets, with P. Guasoni
Preprint (submitted)

Optimal Investment with Transaction Costs and Stochastic Volatility, with R. Sircar
Preprint (submitted)


Portfolio Optimization Under Convex Incentive Schemes, with S. Sturm
Finance and Stochastics, 18(4),873-915, Preprint


Pricing a Contingent Claim Liability with Transaction Costs Using Asymptotic Analysis for Optimal Investment
Finance and Stochastics, 18(3), 651-694, Preprint


Utility Maximization Trading Two Futures with Transaction Costs, with S. Shreve
SIAM Journal on Financial Mathematics, 4(1),2685, Preprint


Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs
SIAM Journal on Financial Mathematics, 3(1), 433458, Preprint


Asymptotic Analysis for Optimal Investment with Transaction Costs in Finite Time with Two Correlated Futures Contracts
PhD Thesis Carnegie Mellon University, 2010 under the supervision of Steven Shreve.
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Last update: September 7, 2014