Department of Mathematical Sciences
Events
People
Colloquia and Seminars
Conferences
Centers
Positions
Areas of Research
About the Department
Alumni 
Faculty
Dmitry Kramkov, Mellon College of Science Professor of Mathematical Finance, Director of Center for Computational Finance Ph.D., Steklov Mathematical Institute Email: kramkov@andrew.cmu.edu Office: Wean Hall 6126 Phone: 4122685912 Personal web site Research:My research interests are related with problems of Mathematical Finance and Theory of Stochastic Processes and, particularly, with the mathematical challenges presented by equilibriumbased models. The recent results include the development of continuoustime price impact model with Peter Bank, the necessary and sufficient conditions for the existence of (static) ArrowDebreu equilibria, sufficient conditions for the existence of complete (dynamic) Radner equilibria, sufficient conditions for the existence of backward martingale representation (with Silviu Predoiu), local existence and asymptotic analysis of BSDE's in BMO spaces (with Sergio Pulido).Selected Publications:
