JHU WSE


Maxim Bichuch

Assistant Professor
Department of Applied Mathematics & Statistics
Whitehead Hall 306B
Whiting School of Engineering
Johns Hopkins University


3400 North Charles St.
Baltimore, MD 21218
USA

Phone: (410) 516-4924
Fax:     (410) 516-7459

Email:



Maxim

 

Teaching:

Fall 2017

EN.553.427/627 Stochastic Processes and Applications to Finance
Classes:            Tue, Thrs 3:00pm - 4:15pm, Shaffer 100.
Recitation:       Section 01: Thrs 4:30pm - 5:20pm, Krieger 304.
                          Section 02: Thrs 12:00pm - 12:50pm, Krieger 309.
                          Section 03: Thrs 10:30am - 11:20am, Hodson 211.

EN.553.100 Introduction to Applied Mathematics and Statistics
Classes:            Tue 12:00pm - 12:50pm, Whitehead 304.

Spring 2017

EN.550.622 Introduction to Stochastic Calculus
Classes:            Tue, Thrs 3:00pm - 4:15pm, Gilman 219.

Fall 2016

EN.550.443 Financial Computing in C++
Classes:            Tue, Thrs 09:00am - 10:15am, Shaffer 303.
Recitation:       Thrs 4:30pm - 5:20pm, Maryland 104.

Fall 2015

EN.550.443 Financial Computing in C++
Classes:            Mon, Wed 1:30pm - 2:45pm, Croft Hall G02.
Recitation:       Thrs 4:30pm - 5:20pm, Croft Hall G02.

EN.550.622 Introduction to Stochastic Calculus
Classes:            Mon, Wed 12:00pm - 1:15pm, Latrobe 120.


Previously Taught (in WPI, Mathematical Sciences):

Spring 2015

MA 572 Financial Mathematics II

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

Robust XVA, with A. Capponi and S. Sturm
Preprint
(submitted)

The Learning Premium
, with P. Guasoni
Preprint
(submitted)

Optimization of Fire Sales and Borrowing in Systemic Risk, with Z. Feinshtein
Preprint
(submitted)

Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon, with R. Sircar
Preprint, Supplemental Appendix (submitted)

Arbitrage-Free XVA, with A. Capponi and S. Sturm
Preprint (To appear in Mathematical Finance)

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

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

Investing with Liquid and Illiquid Assets, with P. Guasoni
Mathematical Finance, 28(1), 119152, Preprint

Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon , with R. Sircar
SIAM Journal on Control and Optimization, 55(6), 37993832, Preprint


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: August 18, 2018.