Congratulations to these two members of the SIAM community, who were recently awarded the SIAM Activity Group on Financial Mathematics and Engineering Early Career Prize.
Daniel Lacker
Daniel Lacker of Columbia University has received the 2019 SIAM Activity Group on Financial Mathematics and Engineering Early Career Prize. The award was made on June 5, during the 2019 SIAM Conference on Financial Mathematics & Engineering (FM19), which ran June 4-7, 2019 at the University of Toronto in Toronto, Ontario, Canada. The award recognizes Lacker for his remarkable contributions to the probabilistic theory of Mean Field Games and its applications in mathematical finance.
The SIAM Activity Group on Financial Mathematics and Engineering Early Career Prize is awarded at the SIAM Conference on Financial Mathematics & Engineering to an individual in their early career for distinguished research contributions to the mathematical modeling of financial markets, based on publication in peer-reviewed journals in the period since the previous conference. Either the recipient must be a graduate student or the key paper must have been published no more than three years after the candidate received the PhD.
Daniel Lacker is an assistant professor in the Department of Industrial Engineering and Operations Research at Columbia University. He received his BS in computational finance in the Department of Mathematical Sciences at Carnegie Mellon University and a PhD. in operations research and financial engineering at Princeton University. Before joining Columbia University, he was an NSF Postdoctoral Fellow in the Division of Applied Mathematics at Brown University. Lacker was awarded the inaugural SIAM Activity Group on Financial Mathematics and Engineering Conference Paper Prize in 2014 for his thesis work on the convergence problem in mean field game theory. A major focus of his research is on the theory and applications of mean field games, where the areas of interacting particle systems, stochastic control, and game theory intersect.
Q: Why are you excited to be awarded this prize?
A: It is a great honor to be awarded the SIAM Activity Group on Financial Mathematics and Engineering Early Career Prize and to join the ranks of the talented people who earned it before me. I have long drawn inspiration from the SIAM community, and it is a privilege to have my own work recognized by this distinguished organization.
Q: Could you tell us a bit about the research that won you the prize?
A: Much of my research has focused on developing probabilistic methods for the analysis of mean field games (MFGs), which is a relatively new paradigm for modeling large-scale dynamic games. Broadly speaking, the idea of mean field theories is that an infinite-population or continuum approximation is often more tractable than the original large but finite model. Whereas classical mean field theories apply to interacting particle systems, MFG theory pertains to systems of strategic decision-makers, and this renders the continuum models of MFG theory more difficult to analyze. The work that has been recognized by the SIAM Activity Group on Financial Mathematics and Engineering Early Career Prize outlines a versatile probabilistic compactification approach for rigorously addressing the fundamental questions of the theory, such as solvability of continuum MFG models and the validity of the mean field approximation.
Q: What does your research mean to the public?
A: Mean field game theory has become a widespread framework for modeling large systems of interacting decision-makers in various contexts in the social sciences and in engineering, from financial markets to pedestrian crowds. The demands of applications often far exceed the theoretical foundations of mean field game theory, and my research helps to solidify these foundations. Answering fundamental questions about how mean field game models work can in turn facilitate applications of the theory to the modeling of a variety of complex systems.
Q: What does being a SIAM member mean to you?
A: I always look forward to the stimulating interactions that come with SIAM conferences, which I have attended since I was a graduate student. Being a part of the SIAM community connects me with scholars from around the world, and the regular SIAM meetings provide a great way to keep up with the latest research.
Mykhaylo Shkolnikov
Mykhaylo Shkolnikov of Princeton University has been awarded the 2019 SIAM Activity Group on Financial Mathematics and Engineering Early Career Prize. The award was made on June 5, during the 2019 SIAM Conference on Financial Mathematics & Engineering (FM19), which ran June 4-7, 2019 at the University of Toronto in Toronto, Ontario, Canada. The award recognizes Shkolnikov for his major contributions to the study of large systems of competing particles and applications to rank-based models in the Stochastic Portfolio Theory.
The SIAM Activity Group on Financial Mathematics and Engineering Early Career Prize is awarded at the SIAM Conference on Financial Mathematics & Engineering to an individual in their early career for distinguished research contributions to the mathematical modeling of financial markets, based on publication in peer-reviewed journals in the period since the previous conference. Either the recipient must be a graduate student or the key paper must have been published no more than three years after the candidate received the PhD.
Mykhaylo (Misha) Shkolnikov is currently an assistant professor in the Department of Operations Research and Financial Engineering, an affiliated faculty member with the Bendheim Center for Finance, and an associated faculty member with the Program in Applied & Computational Mathematics (PACM) at Princeton University. Prior to that, he was an assistant professor in the Department of Mathematics at Princeton and a postdoctoral fellow at the University of California, Berkeley and MSRI. He earned his PhD in mathematics at Stanford University. Shkolnikov is the recipient of the 2018 Erlang Prize from the Applied Probability Society of the Institute for Operations Research and the Management Sciences (INFORMS). His research focuses on stochastic portfolio theory (and, more generally, optimal investment), interacting particle systems, random matrix theory, as well as probabilistic approaches to partial differential equations.
Q: Why are you excited to be winning this prize?
A: I am very honored to be receiving the SIAM Activity Group on Financial Mathematics and Engineering Early Career Prize, as a recognition of my co-authors' work and mine in stochastic portfolio theory. I much appreciate the continued attention this field has attracted from the financial mathematics community.
Q: Could you tell us a bit about the research that won you the prize?
A: In their pioneering work on stochastic portfolio theory, Robert Fernholz and Ioannis Karatzas have proposed a large class of portfolio strategies, called functionally generated portfolios, which are widely used in the financial industry. The performance of such portfolios stems from two components: the fluctuations of the market diversity and the excess growth of the portfolio relative to the market. Together with my co-authors, we have been able to quantify the contributions of these two components in the context of rank-based market models, originally also proposed by Fernholz and Karatzas.
Q: What does your research mean to the public?
A: A better understanding of the available investment strategies is beneficial to both individual and institutional investors. More broadly, research in financial mathematics and applied probability allows us to quantify (and, thus, shed light on) the random phenomena intrinsic to finance, as well as other disciplines of science and engineering.
Q: What does being a SIAM member mean to you?
A: SIAM and, more specifically, the SIAM Activity Group on Financial Mathematics and Engineering are fantastic platforms for the exchange of ideas in applied mathematics, especially through its journals and the regular meetings it organizes. In particular, I much appreciate the visibility it gives to the work of early career researchers.
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