Faculty Dmitry Kramkov, Mellon College of Science Professor of Mathematical Finance
Ph.D., Steklov Mathematical Institute
E-mail: kramkov@andrew.cmu.edu
Office: Wean Hall 6126
Phone: 412-268-5912
Personal web site

Research:

The main area of research is Computational Finance. Topics of interest include pricing of financial derivatives, optimal investment, numerical and software implementations of financial algorithms.

Selected Publications:

• Dmitry Kramkov and Mihai Sirbu. Sensitivity analysis of utility based prices and risk-tolerance wealth processes. Annals of Applied Probability, 16(4):2140-2194, 2006.
• Dmitry Kramkov and Walter Schachermayer. The asymptotic elasticity of utility functions and optimal investment in incomplete markets. Annals of Applied Probability, 9(3):904-950, 1999.
• Dmitry Kramkov. Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets. Probability Theory and Related Fields, 105:459-479, 1996.