Research Interests
Large, interacting stochastic systems appear in many facets of
today's world and are of broad importance. Examples include the banking
system, financial markets, electric power grids, engineering systems,
health care, and social networks. Due to their scale, complexity, and
large amounts of data, analysis is inherently challenging
and requires new theoretical and computational approaches. Justin
Sirignano's research develops models, computational methods, and statistical tools
for such systems. He is particularly interested in developing new datadriven
approaches for modeling and optimization of these systems. Thus,
Justin Sirignano's research interests lie at the intersection of machine learning,
optimization, and stochastics. His research has won the 2014 SIAM Financial
Mathematics and Engineering Conference Paper Prize. For a full list of
papers and presentations, please see Justin Sirignano's CV at the top
of the page. See Research Statement for a complete
description of research interests.
Selected Publications
Working Papers
 "Risk Analysis for Large Pools of Loans" (with K. Giesecke). Submitted. Winner of SIAM
Financial Mathematics and Engineering Conference Paper Prize.
 "Likelihood
Inference for Large Financial Systems" (with
G. Schwenkler and K. Giesecke). To be submitted soon.
 "Largescale Loan Portfolio Selection" (with K. Giesecke and
G. Tsoukalas). Submitted.
 "Correlated Default and Prepayment Modeling for Mortgages"
(with A. Sadhwani and K. Giesecke). Work in
progress. Default and prepayment model based upon detailed data set
which includes over 175 million mortgages and 97 percent of US real estate transactions.
 "Risk Premia for Mortgagebacked Securities" (with
M. Ohlrogge and K. Giesecke). Work in progress.
Presentations
 IPAM Workshop on Systemic Risk and Financial Networks, Los
Angeles, 2015.
 SIAM Financial Mathematics and Engineering Meeting, Chicago,
2014. Invited Speaker.
 INFORMS Annual Meeting, San Francisco, 2014. Invited Speaker
and Session Organizer of Financial Risks Session.
 Likelihood Estimation for Large Financial Systems.
Joint Mathematics Meeting, Baltimore, 2014. Invited Speaker.
 Fluctuation Analysis
for Loss from Default . INFORMS
Annual Meeting, Minneapolis, 2013. Invited Speaker.
 Lecture
on Subprime Crisis. For a general audience at Stanford University, 2013.
 Fifth Western Conference on Mathematical Finance, Stanford University, 2013. Invited Speaker.
 INFORMS Annual Meeting, Phoenix, October, 2012. Invited Speaker.
 Financial Mathematics Seminar, Stanford University, 2012. Invited Speaker.
 Systemic Risk Seminar, Department of Mathematics, Stanford University, 2012.
 SIAM Financial Mathematics and Engineering Meeting, Minneapolis, 2012. Chair of Credit Risk Session.
 Annual Meeting of the Canadian Applied and Industrial Mathematics Society, Toronto, 2012. Invited Speaker.
 5th Financial Risks International Forum, Paris, France, 2012.
 Financial Engineering Seminar, Stanford University, 2011.
