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:

Fall 2014

MA 571 Financial Mathematics I

Classes:       Section 1:          Wed     5:30pm - 8:20pm, Stratton Hall 309.
                    Section 2: Mon, Wed     2:00pm - 3:20pm, The Washburn Shops 323.

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

M. Bichuch, R. Sircar:
Optimal Investment with Transaction Costs and Stochastic Volatility
Preprint (submitted)
PDF, arXiv, SSRN


M. Bichuch, S. Sturm:
Portfolio Optimization Under Convex Incentive Schemes
Preprint (to appear in Finance and Stochastics)
Finance and Stochastics, 18(4), 873-915, PDF, arXiv, SSRN


M. Bichuch:
Pricing a Contingent Claim Liability Using Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs
Finance and Stochastics, 18(3), 651-694, PDF, arXiv


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


M. Bichuch:
Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs
SIAM Journal on Financial Mathematics, 3(1), 433458, PDF, arXiv


M. Bichuch:
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.
PDF

Last update: September 7, 2014