Math Faculty

William J. Hrusa
Professor of Mathematical Sciences, Dr. Hrusa earned his Ph.D. from Brown University.  His main areas of research are in partial differential equations, integral equations, and calculus of variations with particular emphasis on problems that arise in continuum mechanics. Current research is focused on Lavrentiev’s phenomenon in the calculus variations, i.e. with situations in which the infimum for a given variational problem is sensitive to the precise degree of regularity that is assumed for the competing functions. A major goal is to understand if this phenomenon can occur for realistic problems in nonlinear elasticity.

Dmitry Kramkov
Professor of the Department of Mathematical Sciences, Professor Kramkov earned his Ph.D. from the Steklov Mathematical Institute in Moscow in 1991. Dr. Kramkov then served there as a fellow from 1992 to 1997. In 1996 the Second European Congress of Mathematics in Budapest recognized him for his research on statistics and mathematical finance. From 1997 to 2000 Dr. Kramkov worked for Tokyo-Mitsubishi International in London, where he was the Head of Research and Product Development. His main responsibility was the evaluation of complex derivative contracts. Dr. Kramkov has been published in such journals as the Annals of Applied Probability and Probability Theory and Related Fields.

Kasper Larsen
Assistant Professor of Mathematical Sciences with a background in Mathematical Economics from the University of Southern Denmark. His research interests are mainly how mathematical tools can be applied to solve financial problems. The main research focus is utility theory and various applications hereof. As an example he had considered the portfolio delegation problem between a principal and an agent with hidden information.

R. A. Nicolaides
Professor of Mathematical Sciences, received his Ph.D. in 1972 from the University of London. His research and teaching interests include obtaining accurate information from mathematical models using partial differential equations, including models from electrodynamics, fluid mechanics, materials science and mathematical finance. He specializes in finite difference and finite element methods, and for integral equations, moment methods. Such mathematics have both a practical side, developing algorithms, writing programs and properly displaying the results, and a theoretical side, proving rates of convergence and complexity estimates for many different kinds of algorithms. He has been a member of the editorial boards of Journal of Computational Finance, SIAM Journal of Scientific Computing, and Journal of Computational Fluid Dynamics. Dr. Nicolaides has published in such journals as Quarterly of Applied Mathematics, Mathematics of Computation and several SIAM journals. Dr. Nicolaides has also edited and co-authored three books.

Steven Shreve
Hoch Professor of Mathematical Sciences and member of the MSCF Steering Committee. Professor Shreve earned his Ph.D. in 1977 from the University of Illinois. His research and teaching interests range from capital asset pricing models to various aspects of mathematical finance, including studying the effect of transaction costs and unknown volatility on option prices and the pricing and hedging of exotic options. Dr. Shreve is currently President of the Bachelier Finance Society. In 1991, Dr. Shreve founded the Ph.D. program in Mathematical Finance at Carnegie Mellon University and in 1994 was one of the co-founders of the Master's program in Computational Finance. Dr. Shreve also teaches executive education courses for investment banks and serves as Advisory Editor of Finance and Stochastics. He has co-authored a number of books, including Brownian Motion and Stochastic Calculus and Methods of Mathematical Finance. His most recent book is the two-volume work based on his teaching in the MSCF program, Stochastic Calculus for Finance.