Bichuch, Maxim

Assistant Professor
Applied Mathematics And Statistics
http://www.ams.jhu.edu/~mbichuc1/

Whitehead Hall 306B
(410) 516-7195
mbichuch@jhu.edu

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About

Education
  • Ph.D. 2010, CARNEGIE MELLON UNIVERSITY
Research Areas
  • Credit and Counterparty Risks, Funding Costs, and Commodities
  • Mathematical Finance
  • Optimal Control with Transaciton Costs
  • Optimal Investment and Consumption
  • Optimal Portfolio Selection
  • Stochastic Volatility
  • VISCOSITY solutions
Awards
  • 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
Presentations
  • "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

Publications

Journal Articles
  • 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.
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