Program Director

Tomasz R. Bielecki
Professor, Applied Mathematics
Research interests and expertise: Mathematical finance, quantitative methods for risk management in finance and insurance, stochastic control, stochastic analysis, probability and random processes
   Office: Mies Campus, Rettaliata Engineering Center, Room 125A
   Phone: 312.567.3165
   Email: tbielecki@iit.edu
Tomasz Bielecki

Program Faculty

Igor Cialenco
Professor, Applied Mathematics
Research interests and expertise: Mathematical finance, quantitative methods in fixed income and risk management, stochastic PDEs, statistical inference for stochastic processes, functional analysis and operator theory
   Office: Mies Campus, Rettaliata Engineering Center, Room 125B
   Phone: 312.567.3131
   Email: cialenco@iit.edu
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Matthew F. Dixon
Assistant Professor, Applied Mathematics, Department of Applied Mathematics
Research interests and expertise: Computational finance, quantitative methods for risk management in finance, high-performance computing, machine learning
   Office: Mies Campus, 3105 S. Dearborn St., Pritzker Science Center, Room 106E, Chicago, IL 60616
   Phone: 312.567.3165
   Email: matthew.dixon@iit.edu.
Matthew Dixon
Fred J. Hickernell
Professor, Applied Mathematics
Research interests and expertise: Monte Carlo and quasi-Monte Carlo methods, computational complexity of numerical problems, experimental design, multivariate numerical approximation and integration
   Office: Mies Campus, Rettaliata Engineering Center, Room 208
   Phone: 312.567.8983
   Email: hickernell@iit.edu
Fred Hickernell
Ruoting Gong
Assistant Professor, Applied Mathematics
Research interests and expertise: Small-time asymptotics and expansions of option prices, stochastic volatility models, general jump-diffusion models
   Office: Mies Campus, Rettaliata Engineering Center, Room 116B
   Phone: 312.567.8986
   Email: rgong2@iit.edu
Gong.R
Sang Baum "Solomon" Kang
Assistant Professor of Finance, Stuart School of Business
Research interests and expertise: Energy finance, commodities, derivatives, theoretical/empirical asset pricing, interdisciplinary studies of finance, applied math, operations and corporate social responsibility, nine years private-sector experience in energy derivatives and risk management including managerial responsibilities
   Office: Mies Campus, 10 West 35th Street, Room 18C4-1
   Phone: 312.906.6577
   Email: skang21@stuart.iit.edu
Sang Baum Kang
Andrei Lyashenko
Adjunct Faculty
Head of quantitative research at Quantitative Risk Management (QRM), the world's leading enterprise risk management consulting firm.
Research interests and expertise: Mathematical finance, interest rate modeling, risk management, quantitative methods for pricing and hedging of financial products
Andrei Lyashenko
Benjamin Van Vliet
Associate Professor of Finance, Stuart School of Business
Research interests and expertise: Systematic trading and investment, quality control of trading systems and technology
   Office: Conviser Law Center, Room 454
   Phone: 312.906.6513
   Email: bvanvliet@stuart.iit.edu
Benjamin Van Vliet

Faculty with Research Interests in Quantitative Finance

John F. O. Bilson
Professor of Finance, Stuart School of Business
Research interests and expertise: International finance, market risk management

Charles Tier
Senior Lecturer, Applied Mathematics
Research interests and expertise: Asymptotic and singular perturbation methods, applied stochastic modeling, queueing theory, computational finance, mathematical biology