Maxim Bichuch

Assistant Professor

Research Interests

  • 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.

His current projects include finding the asymptotic optimal strategy for portfolio optimization in a stochastic environment driven by correlated factors; identifying optimal electricity distribution pricing and optimal distributed photovoltaics generation by rational consumers; and exploring deep learning in a market with transaction costs.

Bichuch’s research has been supported by the National Science Foundation. He has also published in and refereed for journals such as Finance & Stochastics, Mathematical Finance and SIAM Journal on Financial Mathematics.

Bichuch earned a master’s degree in mathematics in finance from New York University in 2003, and a PhD in financial mathematics from Carnegie Mellon University in 2010. After completing postdoctoral research at Princeton University, Bichuch worked two years as an assistant professor in the Department of Mathematical Sciences at Worcester Polytechnic Institute in Massachusetts. He joined the Whiting School of Engineering faculty in 2015.


  • 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
Journal Articles
  • Bichuch M, Guasoni P (2020).  The Learning Premium.  Mathematics and Financial Economics.  14(1).
  • Bichuch M, Sircar R (2019).  Optimal investment with transaction costs and stochastic volatility part II: Finite horizon.  SIAM J. on Control and Optimization.  57(1).
  • Bichuch M, Feinshtein Z (2019).  Optimization of Fire Sales and Borrowing in Systemic Risk.  SIAM J. on Fin. Math.  10(1).
  • Bichuch M, Capponi A, Sturm S (2018).  Robust XVA.  Submitted. Available on SSRN http://ssrn.com/abstract=3124586.
  • Guasoni P, Bichuch M (2018).  Investing with Liquid and Illiquid Assets.  Mathematical Finance.  28(1).
  • Bichuch M, Capponi A, Sturm S (2018).  Arbitrage-Free XVA.  Mathematical Finance.  28(2).
  • 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).
  • 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.
Conference Proceedings
  • Bichuch M, Mallada, E., Shen Y. (2020).  On the Value of Lossless Storage for Reducing Ramping Cost.  European Control Conference (ECC), 2020.
  • "Optimal Investment with Correlated Stochastic Volatility Factors", Applied Math Colloquium.  February 14, 2020
  • "Robust XVA", Seminar.  November 11, 2019
  • "Incorporating Confidence into Systemic Risk", INFORMS 2019 Annual Meeting.  Seattle Washington, United States of America (the).  October 23, 2019
  • "Optimal Investment with Correlated Stochastic Volatility Factors", Probability/Math Finance Seminar.  September 23, 2019
  • "The Learning Premium", Financial Mathematics Seminar.  September 18, 2019
  • "Optimal Investment with Correlated Stochastic Volatility Factors", 2019 SIAM Conference on Financial Mathematics & Engineering.  June 7, 2019
  • "The Learning Premium".  Baltimore Maryland, United States of America (the).  April 24, 2019
  • "Optimal Investment with Correlated Stochastic Volatility Factors", Finance & Risk Seminar.  April 17, 2019
  • "Robust XVA", Seminar.  April 4, 2019
  • "The Learning Premium", Joint Mathematics Meetings AMS Special Session on Financial Mathematics.  January 16, 2019
  • "Incorporating Confidence into Systemic Risk".  October 29, 2018
  • "Robust XVA", 3rd Eastern Conference on Mathematical Finance.  October 28, 2018
  • "Optimal Electricity Distribution Pricing under Risk and High Photovoltaics Penetration", NSF AMPS -- PI Conference.  Washington DC.  October 12, 2018
  • "Incorporating Confidence into Systemic Risk".  Santa Barbara CA.  October 8, 2018
  • "Incorporating Confidence into Systemic Risk", Department of Applied Mathematics & Statistics Seminar.  Baltimore Maryland, United States of America.  September 27, 2018
  • "The Learning Premium", 10th World Congress of the Bachelier Finance Society.  Dublin, Ireland.  July 17, 2018
  • "Robust XVA".  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
  • Rutgers Mathematical Finance and PDE Conference.  May 1, 2015
  • Presentation at Bloomberg.  May 1, 2015
  • Seminar.  March 3, 2015
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