Research area

Stochastic Optimal Control

Applied Probability

Parabolic Partial Differential Equations

Decision theory under uncertianty

Mathematical Finance

Curriculum Vitae

Currently, I am a professor of mathematics at the Swiss Federal Institute of Technology in Zurich (Eidgenössische Technische Hochschule Zürich). I teach and research on nonlinear analysis in partial differential equations, stochastic processes and mathematical finance. I also hold a Senior Chair at the Swiss Finance Institute. My current research is concentrated on mathematical finance and together with Professors Muhle-Karbe, Schweizer and Teichmann, we form the Stochastic Finance Group at ETH Zurich.

Prior to moving to Zurich, I spent nine years in Istanbul, Turkey and nineteen years in the United States of America. During my tenure in Turkey, I held the Isik Inselbag Chair at Sabanci University for two years and was a member of the Mathematics Department at Koc University for seven years prior to that. I also served as the Dean of the College of Administrative Sciences and Economics of Koc University between February 2002 and September 2007.

I received my Ph.D. from the Division of Applied Mathematics of Brown University. After a one-year postdoctoral stay at the Institute for Applied Mathematics, I joined the Department of Mathematical Sciences at Carnegie Mellon in 1986. In September 1998, I moved to Princeton and became the Paul M. Wyhtes '55 Professor of Engineering and Finance. At Princeton I was affiliated with the Program in Applied and Computational Mathematics, the Department of Operations Research and Financial Engineering (ORFE) and the Bendheim Center of Finance.

I have co-authored a book, with Wendell Fleming, on viscosity solutions and stochastic control; Controlled Markov Processes and Viscosity Solutions, Springer-Verlag, 1993 (second edition in 2005), and authored or co-authored several articles on nonlinear partial differential equations, viscosity solutions, stochastic optimal control and mathematical finance.

Currently, I am an associate editor for Applied Mathematics and Optimization (AMO), SIAM Journal of Financial Mathematics (SIFIN), Annals of Applied Probability, Journal of European Mathematics Society (JEMS), Interfaces and Free Boundaries, Mathematics and Financial Economics (MAFE) and the ESAIM Journal of Control, Optimization and Calculus of Variations (COCV).

In 2008, I was awarded a European Research Council Advanced Project titled Mathematical Methods for Financial Risk Management.

Since 2011, I have been the Executive Secretary of the Bachelier Finance Society.call_made

Additional information

Personal Web page https://people.www.cintaputih.com/~hmsoner/