Sergey Nadtochiy

  • Professor of Applied Mathematics


Princeton University Ph.D. in Operations Research & Financial Engineering, 2009. Advisor: R. Carmona. 

Princeton University M.A. in Operations Research & Financial Engineering, 2008. Advisor: R. Carmona. 

Moscow State University Specialist (M.Sc.) in Mathematics, 2005. Summa cum laude. Advisor: A. Shiryaev.

Research Interests

Financial Mathematics, Probability Theory, Partial Differential Equations, Stochastic Control, Game Theory 


Award for excellence (honorific fellowship). Moscow State University, 2001–2005


  • S. Nadtochiy “A simple microstructural explanation of concave price impact.” Submitted for publication 
  • I. Ekren and S. Nadtochiy “Utility-based hedging and indifference price of contingent claims in Almgren-Chriss model with temporary impact.” Submitted for publication 
  • F. Delarue, S. Nadtochiy and M. Shkolnikov “Global Solution to Super-cooled Stefan Problem with Blow-ups: Regularity and Uniqueness.” Submitted for publication, arXiv:1902.05174 
  • S. Nadtochiy and M. Shkolnikov “Mean Field Systems on Networks, with Singular Interaction through Hitting Times.” To appear in Annals of Probability 
  • S. Nadtochiy and T. Zariphopoulou “Optimal Contract for a Fund Manager with Capital Injections and Endogenous Trading Constraints.” SIAM Journal on Financial Mathematics, 10(3) (published online), 2019 
  • R. Gayduk and S. Nadtochiy “Control-Stopping Games for Market Microstructure and Beyond.” To appear in Mathematics of Operations Research 
  • S. Nadtochiy and M. Shkolnikov “Particle Systems with Singular Interaction through Hitting Times: Application in Systemic Risk Modeling.” Annals of Applied Probability, 29(1):89–129, 2019 
  • R. Gayduk and S. Nadtochiy “Endogenous Formation of Limit Order Books: Dynamics Between Trades.” SIAM Journal on Control and Optimization, 56(3):1577–1619, 2018 
  • R. Gayduk and S. Nadtochiy “Liquidity Effects of Trading Frequency.” Mathematical Finance, 28(3):839–876, 2018 
  • S. Nadtochiy and J. Obloj “Robust Trading of Implied Skew.” International Journal of Theoretical and Applied Finance, 20(2), 2017 
  • R. Carmona, Y. Ma and S. Nadtochiy “Simulation of Implied Volatility Surfaces via Tangent Lévy models.” SIAM Journal on Financial Mathematics, 8(1):171–213, 2017 
  • E. Bayraktar and S. Nadtochiy “Weak Reflection Principle for Lévy processes.” Annals of Applied Probability, 25(6):3251–3294, 2015 
  • S. Nadtochiy and M. Tehranchi “Optimal Investment for All Time Horizons and Martin Boundary of Space-time Diffusions.” Mathematical Finance, 27(2):438–470, 2017 
  • P. Carr and S. Nadtochiy “Local Variance Gamma and Explicit Calibration to Option Prices.” Mathematical Finance, 27(1):151–193, 2017 



• NSF CAREER Grant DMS-1855309, 2017–2022, single PI. 

NSF Grant DMS-1411824, 2014–2017, single PI. 

SIAG/FME Junior Scientist Prize. SIAM, 2012. 

Charlotte Elizabeth Procter Honorific Fellowship. Princeton University, 2008–2009. 

Gordon Y.S. Wu Honorific Fellowship. Princeton University, 2005–2009. 



Financial Mathematics, Probability Theory, Partial Differential Equations, Stochastic Control and Game Theory.

Sergey Nadtochiy

Contact Information

312.567.8929 Room 234B, John T. Rettaliata Engineering Center, 10 West 32nd Street,Chicago, IL 60616 Tuesdays 3:30 - 4:30 PM;Thursdays 10:00 AM - 11:15 AM