Justin Sirignano

PhD candidate
Finance Group
Department of Management Science and Engineering
Stanford University

Email: jasirign AT stanford.edu

Curriculum Vitae

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 data-driven 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.
  • "Large-scale 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 Mortgage-backed Securities" (with M. Ohlrogge and K. Giesecke). Work in progress.
  • 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.