Partial Differential Equations in Mathematical Finance
Saturday April 14th, 2018
WAM@CMU is a one-day conference hosted at Carnegie Mellon University for undergraduate women in mathematics. One of the primary goals is to establish a network of undergraduates, graduate students, faculty, and alumnae of CMU. Inspired by the Institute for Advanced Study Women and Mathematics program, the core of the conference is a mini-course given by Dr. Kim Weston. The mini-course will consist of two lectures, at the beginner and advanced level, each followed by problem sessions. Panels and a banquet dinner will provide opportunities for participants to network with one another and the invited guests.
Note: Although all other parts of the schedule are intended only for conference participants, we would like to welcome everyone to the two mini-course lectures.
Honorary Lecturer
Kim Weston, Ph.D.
Kim Weston is an NSF postdoctoral fellow in the Department of Mathematics at Rutgers University and will join the faculty as an Assistant Professor in Fall 2018. Before joining Rutgers, she spent a post-doctoral year at the University of Texas at Austin. Kim received her Ph.D. in Mathematical Sciences from Carnegie Mellon University in 2016 and was advised by Dmitry Kramkov. She is interested in mathematical finance and stochastic analysis. Her current research interests include determining which financial models are consistent with basic economic principles like supply and demand.
Invited Guests
Irene Fonseca, Ph.D.
Irene Fonseca received her Ph.D. degree from the University of Minnesota in 1985. She has been at Carnegie Mellon University since 1987, where she has supervised 15 Ph.D. students and mentored 36 postdoctoral fellows.
She is a Fellow of the American Mathematical Society (AMS), and a Fellow of the Society for Industrial and Applied Mathematics (SIAM).
She was SIAM President in 2013 and 2014. She is a Grand Officer of the Military Order of Saint James of the Sword (Grande Oficial da Ordem Militar de Sant’Iago da Espada, Portuguese Decoration).
Irene Fonseca serves in 16 Editorial Boards, including Advances in Calculus of Variations, Archive for Rational Mechanics and Analysis, ESAIM:COCV (SMAI), Journal of Nonlinear Science,
Le Journal de l’Ecole Polytechnique
, M3AS, and SIAM Journal on Mathematical Analysis
. She is a member of several advisory and scientific boards of research centers and institutes, including the IMA and SAMSI, she participates in international prize committees, and is in review and evaluation panels of multiple universities in the US and abroad.
Dana Mihai, Ph.D.
Dana Mihai is an Associate Teaching Professor in the Department of Mathematics at Carnegie Mellon University. She joined the department in 2006 after receiving her Ph.D. in Mathematics from the University of Pittsburgh, under the supervision of Dr. George Sparling. her undergraduate and master's degree were in Physics, and her Ph.D. research dealt with mathematical methods in twistor theory, with application to the study of conformal algebras. She is currently an academic adviser and a long term member of the Undergraduate Curriculum Committee in the Mathematics Department.
Franziska Weber, Ph.D.
Franziska Weber will be joining the CMU Department of Mathematical Sciences as an Assistant Professor in the fall. She received her BSc and MSc in mathematics at ETH Zurich and then went to the University of Oslo in Norway for her Ph.D. After that, she went back to Zurich for a short postdoc and is currently working at the University of Maryland as a postdoc. Research-wise, Franziska is excited about nonlinear PDEs and techniques for approximating them numerically. She has mostly worked on PDEs related to fluid dynamics and complex fluids.
Jackie Hudepohl
Jackie Hudepohl currently works as a quantitative trader at IMC Financial Markets in Chicago. She is on the commodities desk trading crude oil options and previously traded grain options including soybeans and corn. Jackie graduated from Carnegie Mellon in 2017 with a B.S. in mathematical sciences and minors in computational finance and computer science. At CMU, she was a captain of the women's basketball team and a teaching assistant for the math and computer science departments. Outside of work, she enjoys basketball, triathlon, backpacking, and other outdoor activities.
Audrey Lao
Audrey Lao is a second year Quantitative Analyst at Citigroup in Equity Derivatives Analytics. Her current projects include simulating trading flow to calculate economic impact in trading system issues, and analyzing trading algorithm performance using statistical tools. She has also had experience working as an analyst on volatility modeling for mortgage-backed securities. Audrey received a B.S. degree from CMU in 2016 with a major in Computational Finance and was a teaching assistant for 15-112 Fundamentals of Programming for 3 years. She grew up in Manila, Philippines, and is at home in the big city of New York, where she loves looking for the best latte in the city and enjoys having Broadway shows at her doorstep.
Ada Situ
Ada Situ is a first year analyst on the Inflation trading desk at Goldman Sachs. She interned at Goldman during her junior year and rotated on the Interest Rates, Equity Derivatives, and Equity One Delta trading desks and returned to Goldman to start her career after graduating. Ada received a B.S. degree from CMU in 2017 with a major in Computational Finance. During her time at CMU, she was also a teaching assistant for 21-270 Introduction to Mathematical Finance and 21-241 Matrix Algebra. She was born and raised in Queens, New York and is currently back at home in New York City.
