- financial mathematics
- utility optimization
- market with transaction costs
- counterparty risk
- valuation adjustments
Maxim Bichuch is an assistant professor in the Department of Applied Mathematics and Statistics. His research focuses on financial mathematics, utility optimization, market with transaction costs, counterparty risk, and valuation adjustments. He earned his doctorate at Carnegie Mellon University (2010) and his master’s degree at New York University (2003).
- 2015: Grant for Mathematical Research Community in Financial Mathematics
- 2012: Travel award to attend SIAM conference in Financial Mathematics and Engineering in Minneapolis, MN
- 2011: Travel award to attend SIAM conference on Control and Its Applications
- Bichuch M, Guasoni P (2018). The Learning Premium. Submitted. Available at http://www.ams.jhu.edu/~mbichuc1/.
- Bichuch M, Capponi A, Sturm S (2018). Robust XVA. Submitted. Available on SSRN http://ssrn.com/abstract=3124586.
- Bichuch M, Feinshtein Z (2018). Optimization of Fire Sales and Borrowing in Systemic Risk. Submitted. Available on SSRN http://ssrn.com/abstract=3122595.
- Guasoni P, Bichuch M (2018). Investing with Liquid and Illiquid Assets. Mathematical Finance. 28(1).
- Bichuch M, Sircar R (2017). Optimal investment with transaction costs and stochastic volatility part I: Infinite horizon. SIAM J. on Control and Optimization. 55(6).
- Bichuch M, Capponi A, Sturm S (2017). Arbitrage-Free XVA. Mathematical Finance, doi: 10.1111/mafi.12146.
- Bichuch M, Sircar R (2015). Optimal investment with transaction costs and stochastic volatility part II: Finite horizon. Available at SSRN 2659918.
- Sturm S, Bichuch M (2014). Portfolio Optimization under Convex Incentive Schemes. Finance and Stochastics. 18(4). 873-915.
- Bichuch M (2014). Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment. Finance and Stochastics. 18(3). 651-694.
- Bichuch M, Shreve S (2013). Utility maximization trading two futures with transaction costs. SIAM Journal on Financial Mathematics. 4(1). 26-85.
- Bichuch M (2012). Asymptotic analysis for optimal investment in finite time with transaction costs. SIAM Journal on Financial Mathematics. 3(1). 433-458.
- "The Learning Preimum". April 18, 2018
- "The Learning Preimum". Baltimore MD. February 20, 2018
- "The Learning Preimum". Worcester MA. November 20, 2017
- "The Learning Preimum". October 2, 2017
- "Option Pricing with Transaction Costs". August 16, 2017
- "The Learning Premium", IMS-FIPS Workshop. July 27, 2017
- "Robust XVA", International Workshop on BSDEs, SPDEs and their Applications. July 6, 2017
- "The Learning Premium", 2017 Mathematical Finance, Probability, and Partial Differential Equations Conference. May 18, 2017
- "The Learning Premium", Workshop on Stochastic Analysis in Finance. Kowloon, Hong Kong. May 11, 2017
- "Robust XVA". May 10, 2017
- "Systemic Risk: the Effect of Market Confidence". Worcester MA. April 4, 2017
- "Optimal Investment with Transaction Costs and Stochastic Volatility", SIAM conference on Financial Mathematics and Engineering. Austin, TX. November 17, 2016
- "Arbitrage-Free Pricing of XVA", AMS Fall Eastern Sectional Meeting at Bowdoin College. Brunswick, ME. September 24, 2016
- "Optimal Investment with Transaction Costs and Stochastic Volatility", Vienna Congress on Mathematical Finance. Vienna, Austria. September 12, 2016
- "Optimal Investment with Transaction Costs and Stochastic Volatility", NYU. May 4, 2016
- "Arbitrage-Free Pricing of XVA", Stevens Institute of Technology. April 28, 2016
- CUNY Probability Seminar, City University of New York. February 9, 2016
- AMS Joint Mathematics Meeting,. Seattle, WA. January 1, 2016
- INFORMS 2015 Annual Meeting,. Philladelphia, PA. November 1, 2015
- Mathematical Finance and Probability. September 15, 2015
- IMS-FIPS 2015. June 25, 2015
- Edgeworth Centre for Financial Mathematics. May 20, 2015
- Presentation at Bloomberg. May 1, 2015
- Rutgers Mathematical Finance and PDE Conference. May 1, 2015
- Seminar. March 3, 2015