Rene Carmona
Theory and Computation
Theory and Computation

Paul M. Wythes '55 Professor of Engineering and Finance, Professor of Operations Research and Financial Engineering

Research: Computational Neuroscience
Areas of Research: Stochastic models and image analysis
Research Lab
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210 ORFE

Research Focus

Stochastic Analysis

  • Stochastic Control and Stochastic Games (Probabilistic Approach to Mean Field Games)
  • Stochastic PDEs (Random Media and Disordered Systems), Stochastic Flows, Numerical Simulations

Financial Mathematics / Engineering

  • Energy and Commodity Markets
  • High Frequency Markets and Systemic Risk
  • Environmental Economics (Weather and Emissions Markets)

Signal / Image Analysis

  • Time Frequency Transforms (Wavelet & Gabor): Speech Processing, Underwater Acoustic
  • Medical Imagery, PDE and Global Optimization Approaches to Image Enhancement

Selected Publications

  • (with F. Delarue) Mean Field Forward-Backward Stochastic Differential Equations. Electronic Communications in Probability, 18 (2013) article #68, 1-15.
  • (with K. Webster) High Frequency Market Making. Mathematical Finance (2012) submitted for publication
  • (with F. Delarue) Control of McKean Vlasov Dynamics. Annals of Probability (2013) submitted for publication.
  • (with M. Coulon and D. Schwarz) The valuation of clean spread options: linking electricity, emissions and fuels. Quantitative Finance,12 (12) (2012) 1951-1965
  • (with M. Coulon and D. Schwarz) Electricity Price Modeling and Asset Valuation: a Multi-Fuel Approach. Mathematical and Financial and Economics, 7 (2012) 167-202.
  • (with F. Delarue) Probabilistic Analysis of Mean Field Games. SIAM Journal on Control and Optimization, 51 (4) (2013) 2705 - 2734.
  • (with J. Hinz) Least Squares Monte Carlo Approach to Convex Control Problems. IEEE Transactions on Automatic Control, (2011) under revision.

View Complete Publications list.