This year’s contestants were Tushar Chawla’16, Weissman Mathematics; Bell Chen’17, Weissman Mathematics; Jonathan Romero’17, Zicklin Accounting; and, Gehua Zhang’17, Zicklin Mathematics. The team was prepared by Professor Jarrod Pickens, who also coached Baruch’s winning Rotman International Trading Competition in February, and by Baruch MFE student Anik Roy.
“Participating in this competition was a tremendous learning experience for our students,” said Dan Stefanica, co-director of the Master’s in Financial Engineering (MFE) program. “Preparing for the competition taught them about the algorithmic nature of the work, and being there, and winning the options market making case in competition with future traders from top schools around the country built confidence for their soon to be launched careers.”
Baruch’s team won the Options Market Making category, placed third in Cross-listed Shares Trading, and 10th in Algorithmic Sales & Trading. “Most importantly, our trading strategies had moderately high expected returns, but very low risk – we were in top eight in 8 out of 9 trading rounds in the competition,” says Stefanica.
The nation’s primary algorithmic trading competition, the UChicago Midwest Trading Competition serves as an opportunity for quantitatively driven students interested in financial markets to connect with premier financial services firms in the Chicago area.
]]>Selected answers may be viewed by clicking the section link below.
1.1 | 2.4 | 3.1 |
1.2 | 2.5 | 3.2 |
1.3 | 2.6 | 3.3 |
1.4 | 2.7 | 3.4 |
1.5 | 2.8 | 3.5 |
1.6 | 2.9 | 3.6 |
2.1 | 2.10 | 3.7 |
2.2 | 2.11 | 3.8 |
2.3 | 2.12 | 3.9 |
Department of Mathematics
Baruch College and the CUNY Graduate Center
Contact Information:
Email: elena.kosygina@baruch.cuny.edu
Phone: +1 (646) 312-4167
Mailing address:
One Bernard Baruch Way
Department of Mathematics, Box B6-230
Baruch College
New York, NY 10010
USA
Current research interests:
Education:
Undergraduate:
Graduate:
Graduate students:
Some papers and preprints:
Davini, A., Kosygina, E., Homogenization of viscous and non-viscous HJ equations: a remark and an application; Calculus of Variations and Partial Differential Equations, 56 (2017), paper 95, 21 pages; published version*; arXiv:1608.01893v2 (*print/download is not allowed; misprints introduced by the publisher: missing commas in A(x/ε,ω) between x/ε and ω in 3 places)
Kosygina, E., Peterson, J., Functional Limit laws for recurrent excited random walks with Markovian cookie stacks; Electronic Journal of Probability, 21 (2016), paper no. 70, 24 pp.
Kosygina, E., Zerner, M. P. W., A zero-one law for recurrence and transience of frog processes; (in press) Probability Theory and Related Fields, 168 (2017), no. 1-2, 317–346; arXiv:1508.01953
Kosygina, E., Peterson, J., Excited random walks with Markovian cookie stacks; to appear in Annales de L’Institute Henri Poincare; arXiv:1504.06280
Dolgopyat, D., Kosygina, E., Excursions and occupation times of critical excited random walks; ALEA Lat. Am. J. Probab. Math. Stat.12 (2015), no. 1, 427–450. arXiv:1410.7090
Kosygina, E., Zerner, M. P. W., Excursions of excited random walks on integers; Electronic Journal of Probability, 19 (2014), article 25, 1-25.
Kosygina, E., Crossing speeds of random walks among “sparse” or “spiky” Bernoulli potentials on integers, Journal of Statistical Physics, 152 (2013), no. 2, 213-236; arXiv:1212.4447
Kosygina, E., Zerner, M. P. W., Excited random walks: results, methods, open problems. Bulletin of the Institute of Mathematics. Academia Sinica (New Series) 8 (2013), no. 1, 105-157; Published version; arXiv:1204.1895
Dolgopyat, D., Kosygina, E., Scaling limits of recurrent excited random walks on integers. Electronic Communications in Probability 17 (2012), article 35, 1-14.
Kosygina, E., Mountford, T., Crossing velocities for an annealed random walk in a random potential. Stochastic Processes and their Applications 122 (2012), no. 1, 277–304. arXiv:1103.0515v1.
Kosygina, E., Mountford, T., Limit laws of transient excited random walks on integers. Annales de l’Institut Henri Poincare, Probabilites et Statistiques, 47 (2011), no. 2, 575-600. arXiv:0908.4356v2.
Kosygina, E., Mountford, T. S., Zerner, M. P. W., Lyapunov exponents of Green’s functions for random potentials tending to zero. Probability Theory and Related Fields, 150 (2011), no. 1-2, 43-59. arXiv:0903.4928v2.
Kosygina, E., Zerner, M. P. W., Positively and negatively excited random walks on integers, with branching processes. Electronic Journal of Probability, 13 (2008), paper 64, 1952-1979.
Kosygina, E., Varadhan S.R.S., Homogenization of Hamilton-Jacobi-Bellman equations with respect to time-space shifts in a stationary ergodic medium. Communications on Pure and Applied Mathematics, 61 (2008), no. 6, 816-847. PDF
Kosygina, E., Homogenization of stochastic Hamilton-Jacobi equations: brief review of methods and applications. Stochastic Analysis and Partial Differential Equations, Series of Contemporary Mathematics 429 (2007), American Mathematical Society, 189-204. PDF
Kosygina, E., Rezakhanlou, F., and Varadhan, S.R.S., Stochastic homogenization of Hamilton-Jacobi-Bellman Equations. Communications on Pure and Applied Mathematics, 59 (2006), no. 10, 1489-1521.PDF
Kosygina, E., Brownian flow on a finite interval with jump boundary conditions. Discrete and Continuous Dynamical Systems, Series B, 6 (2006), no. 4, 867-880. PDF
Kosygina, E., On the Cauchy problem for the generalized porous medium equation. Communications in Partial Differential Equations, 26 (2001), 841-858. PDF
Kosygina, E., The behavior of the specific entropy in the hydrodynamic scaling limit. The Annals of Probability, 29 (2001), no. 3, 1086-1110. PDF
Kosygina, E., The behavior of the specific entropy in the hydrodynamic scaling limit for Ginzburg-Landau model. Markov Processes and Related Fields, 7 (2001), no. 3, 383-417. PDF
CUNY Probability Seminar, Tuesdays, 4:15-5:15 p.m., Room 5417
Courant Institute Probability and Mathematical Physics Seminar, Fridays, 11 a.m.-12 p.m., Room 512
Columbia University Probability Seminar, Fridays, 12-1 p.m., Room 520
Baruch College of CUNY
The CUNY Graduate Center
e-mail: awapter@alum.mit.edu
Education:
B.S., Mathematics, M.I.T., 1975.
Ph.D., Mathematics, M.I.T., 1978.
Research Interests:
Mathematical Logic, specifically Set Theory: Large Cardinals and Forcing.
Acknowledgement and Logic Links:
Joel Hamkins, whom I thank for helping me to set up my initial web page, has created a page containing links of interest to logicians both in the greater New York area and elsewhere. Click here to access these links. Click here to find out information about MAMLS.
Slides:
Slides from my lecture “Some Results Concerning Strong Compactness and Supercompactness”, which I presented at the Winter Meeting of the ASL held January 17-18, 2003 in Baltimore, can be found by clicking here for the .dvi file, and here for the LaTeX file. Slides from my lecture “Indestructibility and Strong Compactness”, which I presented at Logic Colloquium 2003 held August 14-20, 2003 in Helsinki, Finland can be found by clicking here for the .dvi file, and here for the LaTeX file. Slides from the lecture I presented at the Baumgartner 60th Birthday Conference, held October 4-5, 2003 at Dartmouth College can be found by clicking here for the .dvi file, and here for the LaTeX file.
Current Publication List (last revised 9/12/15):
Students who need to take these courses receive a letter in June inviting them to register. It is strongly recommended that invited students participate in this tuition free program, it is required for SEEK and Prelude students.
The program begins after the July 4th break, and is offered in both the day and evening. The day program includes regular classroom instruction, tutoring and computer assisted instruction. The evening component has longer classroom instruction as it does contain tutoring or computer assisted instruction. The program runs six weeks, ending in mid August.
The courses offered in the Program are:
FSPM 0121: This course is identical in content to CSTM 0120 and covers topics in intermediate algebra. Students placed into this course have demonstrated a knowledge of elementary algebra. Students completing this course may register for MTH 1030 – College Algebra, in the fall.
FSPM 1031: This is a college algebra course, identical in content with MTH 1030. Students completing this course may register for MTH 2003 – Precalculus with Elements of Calculus, in the fall.
]]>Anita Mayo received a BA from Barnard College and a Ph.D. in mathematics from the Courant Institute, NYU. Her areas of specialization are numerical analysis, applied mathematics and, more recently, computational finance. In her work she has developed rapid and highly accurate methods for solving a variety of differential equations on general regions. She has applied these techniques to solving problems in elasticity, electrodynamics and fluid mechanics, including ones directly arising in the manufacture of IBM chips and recording devices. In particular she has helped engineers develop programs used for modeling deposition in CMOS manufacture and programs that were widely used for modeling thin film recording heads. She has also developed rapid methods for pricing certain financial options.
Publications
Mayo, A, On the numerical evaluation of option prices in the Variance Gamma model, International Journal of Computer Mathematics, 86(2) Feb. 2009, pp. 86-99.
Mayo, A., Methods for the pricing of PIDEs in Exponential and Merton Models, Journal of Computational and Applied Math., vol. 222, issue 1, December 2008, 128-143.
P. Carr and A. Mayo, On the numerical evaluation of option prices in jump diffusion models European Journal of Finance, vol.13, issue 4 June 2007, 353- 369.
Mayo, A. and Greenbaum, A. Fourth order accurate evaluation of integrals in potential theory on exterior 3d regions, J. of Computational Phys., vol 220, Issue 2, January 2006, pp. 900-914.
Mayo, A., Rapid fourth order accurate solution of the steady Navier Stokes equations on general regions, Dynamics of Continuous, Discrete and Impulsive Systems, Series B, 12, 2005, pp.59-72.
Mayo, A., High Order Accurate Implicit Method for Valuing American Options The European Journal of Finance, vol. 10, no.3, 2004, pp. 212-237.
Ruehli, A., Antonini, G., Esch, J., Mayo, A. and Orlandi, A., Non Orthogonal PEEC Formulation for Time and Frequency Domain EM and Circuit Modeling, IEEE Transactions Electro-Magnetic Compatibility, vol. 45, no.2, 2003, 167-.179.
Mayo, A., Rapid, fourth order accurate evaluation of particular solutions of the biharmonic equation on general regions, Contemporary Mathematics, American Mathematical Association (AMS), vol.323, 2003, pp 233-245.
Greenbaum, A. and Mayo, A., Rapid Parallel Evaluation of Integrals in Potential Theory on General Three Dimensional Regions, J. of Computational Phys, 145, 1998, pp. 731-742.
Mayo,A., Deferred Correction Finite Difference Methods for the Evaluation of Integrals in Potential Theory and Low Frequency Scattering, Integral methods in Science and Engineering,Vol. 2, Addison Wesley, 1997, pp.165-170.
Mayo, A., Hamaguchi , S., Rossnagel, S. and Joo, J., Across wafer nonuniformity of long throw sputter deposition systems, Journal of the Vacuum Society B. Vol. 15, October 1997, pp. 1788-1793.
Hamaguchi, S., Mayo, A., Rossnagel, S., Kotecki, D. and Milkove, K, Numerical Simulation of Etching and Deposition Processes, J. Journal Applied Physics,Vol. 36, No. 7B, 1997, pp. 4762 – 4768.
Greengard, L., Kropinski, M. C. and Mayo, A., Integral equation methods for Stokes flow and isotropic elasticity in the plane, J. of Computational Physics, v. 125, May 1996, pp. 403-41
McKenney, A., Greengard, L. and Mayo, A., A fast Poisson solver for complex geometries, J. of Computational Physics, Vol. 118, 1995, pp. 348-355.
Li, Z. and Mayo, A., ADI Methods for heat equations with discontinuities along an arbitrary interface, Symposia in Applied Mathematics, American Mathematics Society (AMS), Vol. 48, 1994, pp.311-333.
Mayo, A., and. Peskin, C., An implicit numerical method for fluid dynamics problems with immersed elastic boundaries, Contemporary Mathematics, American Mathematical Society (AMS), Vol. 141, 1993, pp. 261-277.
Mayo, A., The rapid evaluation of volume integrals of potential theory on genera regions, J. of Computational Physics, Vol. 100, No. 2, June 1992, pp.236- 245.
Greenbaum, A., Greengard, L. and Mayo, A., On the numerical solution of the biharmonic equation in the plane, Physica D, 60, 1992, pp. 216-225.
PATENTS
Mayo, A. and Rubin, B., Method for determining voltage, current and/or power distributions in a resistive structure using a rectangular grid algorithm modified for nonrectangular holes and contacts, Patent No. US 6,704, 669B2, Date of patent: May 9, 2004.
]]>Research Interests
My current research falls into two broad areas of application of probability theory: spatially disordered systems, and computational finance.
Spatially disordered systems is a class of probabilistic models generally motivated by physical problems arising in condensed matter physics and materials science. Two types of systems that I study are called first-passage percolation (FPP) and stochastic Ising dynamics. FPP has applications in areas as seemingly diverse as properties of porous media (aquifers, membranes, etc.), the growth of cancerous tumors, the propagation of cracks through concrete, and the flow of electricity through networks. Ising models capture some of the fundamental features of magnetized materials.
My work in computational finance generally focuses on the application of probabilistic methods and arbitrage-free pricing theory in valuing financial instruments and quantifying risk. It is practical in nature, much of it motivated directly by industry applications.
Mathematics Papers
Models of First-Passage Percolation, (C.D. Howard), Probability on Discrete Structures, (H. Kesten, Ed.), Springer-Verlag, 2004, 125 – 174.
The Percolation Transition for the Zero-Temperature Stochastic Ising Model on the Hexagonal Lattice, (C. D. Howard and C. M. Newman), Journal of Statistical Physics, 111(2003), 57 – 72.
Differentiability and Monotonicity of Expected Passage Time in Euclidean First-Passage Percolation, (C.D. Howard), Journal of Applied Probability, 38(2001), 815-827.
Geodesics and Spanning Trees for Euclidean Models of First-Passage Percolation, (C.D. Howard and C.M. Newman), Annals of Probability, 29(2001), 577-623.
Lower Bounds for Point-to-Point Wandering Exponents in Euclidean First-Passage Percolation, (C.D. Howard), Journal of Applied Probability, 37(2000), 736-747.
Zero-Temperature Ising Spin Dynamics on the Homogeneous Tree of Degree Three, (C.D. Howard), Journal of Applied Probability, 37(2000), 736-747.
From Greedy Lattice Animals to Euclidean Models of First-Passage Percolation, (C.D. Howard and C.M. Newman), Perplexing Problems in Probability: Papers in Honor of Harry Kesten, Birkhauser (M. Bramson and R. Durrett, Eds.), 1999.
Good Paths Don’t Double Back, (C.D. Howard), The American Mathematical Monthly, 105(1998), 354-357.
Euclidean Models of First-Passage Percolation, (C.D. Howard and C.M. Newman), Probability Theory and Related Fields, 108(1997), 153-170.
Distinguishing Certain Random Sceneries on Z via Random Walks, (C.D. Howard), Statistics and Probability Letters, 34(1997), 123-132.
Orthogonality of Measures Induced by Random Walks with Scenery, (C.D. Howard), Combinatorics, Probability, & Computing, 5(1996), 247-256.
Detecting Defects in Periodic Scenery by Random Walks on Z, (C.D. Howard), Random Structures and Alogrithms, 8(1996), 59-74.
Computational Finance Papers
Obtaining Distributional Information from Valuation Lattices, (C.D. Howard), Applied Mathematical Finance, 7(2000), 101-114.
Numerical Pitfalls of Latticed-Based Duration and Convexity Calculations, (C.D. Howard), Advances in Fixed-Income Valuation Modeling and Risk Management, Frank J. Fabozzi Associates, 1996, 327-336.
Valuing Path-Dependent Securities: Some Numerical Examples, (C.D. Howard), Advances in Fixed-Income Valuation Modeling and Risk Management, Frank J. Fabozzi Associates, 1996, 49-68. Also appears in: Investment Management for Insurers, (D.F. Babbel and F.J. Fabozzi, eds.) Frank J. Fabozzi Associates, 1999, 269-286.
Embedded Call Options and Refunding Efficiency, (C.D. Howard and A.J. Kalotay), Advances in Futures and Options Research, Vol. 3 (F.J. Fabozzi, ed.) JAI Press Inc, 1988, 97-117.
Long-Term Debt and Equity Markets and Instruments, (C.D. Howard and A.J. Kalotay) Handbook of Financial Markets and Institutions, (E.I. Altman, ed.) John Wiley & Sons, 1987, 5.1-5.37.
]]>Research Interests – Spectral Methods, High Performance Computing, Parareal Method, Fractional Calculus, Computational Finance, Learning Algorithms.
Computer Software – Numerical Hub
Research Publications – Google Scholar
Teaching at Baruch College
Special Courses:
College Mathematics:
Academic Education
Academic Employments
Contact
This site is under construction.
]]>J. Kynčl, J. Pach, R. Radoičić, G. Tóth. (2015). Saturated simple and k-simple topological graphs, Computational Geometry: Theory and Applications, Volume 48(4), pp. 295-310. click here.
E. Ackerman, J. Pach, R. Pinchasi, R. Radoičić, G. Tóth. (2014). A note on coloring line arrangements, The Electronic Journal of Combinatorics, Volume 21(2), p. 2-23. click here
J. Pach, R. Radoičić, G. Tóth. (2012). Tangled thrackles, in: Computational Geometry (XIV Spanish Meeting on Computational Geometry, EGC, Alcalá de Henares, Spain, June 27-30, 2011), Lecture Notes in Computer Science Festschrift Volume in Honour of Ferran Hurtado’s 60th Birthday, Volume 7579, Springer-Verlag, pp. 45-53; also in: Geombinatorics, Volume 21(4), pp. 157-169. click here.
J. Fox, M. Mahdian, R. Radoičić. (2008). Rainbow solutions to the Sidon equation, Discrete Mathematics, Volume 308, pp. 4773-4778. click here.
R. Radoičić. G. Tóth. (2008). The discharging method in combinatorial geometry and the Pach-Sharir conjecture, in: Surveys on Discrete and Computational Geometry: Twenty Years Later (eds. J. E. Goodman, J. Pach, R. Pollack), Contemporary Mathematics, Volume 453, American Mathematical Society, pp. 319-342. click here.
J. Pach, R. Radoičić, G. Tardos, G. Tóth. (2006). Improving the crossing lemma by finding more crossings in sparse graphs, Discrete and Computational Geometry, Special Issue (devoted to SoCG 2004), Volume 36, pp. 527-552. click here
J. Pach, R. Radoičić, J. Vondrák. (2006). On the diameter of separated point sets with many nearly equal distances, European Journal of Combinatorics, Volume 27, pp. 1321-1332. click here
N. Alon, R. Radoičić, B. Sudakov, J. Vondrák. (2006). A Ramsey-type result for the hypercube, Journal of Graph Theory, Volume 53, pp. 196-208. click here
R. Pinchasi, R. Radoičić, M. Sharir. (2006). On empty convex polygons in a planar point set, Journal of Combinatorial Theory, Series A, Volume 113, pp. 385-419. click here
R. Pinchasi, R. Radoičić. (2004). Topological graphs with no self-intersecting cycle of length 4, in: Towards a Theory of Geometric Graphs, Contemporary Mathematics, Volume 342, American Mathematical Society, pp. 233-243. click here
]]>