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, analyzing such systems is inherently challenging and will require new theoretical and computational approaches. My research develops models, computational methods, and statistical tools for such systems. I am particularly interested in data-driven models for these systems, along with computational and statistical methods to analyze and fit such models. My research has won the 2014 SIAM Financial Mathematics and Engineering Conference Paper Prize. For a full list of papers and presentations, please see my CV at the top of the page. See my Research Statement for a complete description of research interests.

Selected Publications

Working Papers
  • "Efficient Risk Analysis of Mortgage Pools" (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.
  • "Optimal Selection of Loan Portfolios" (with K. Giesecke and G. Tsoukalas). Work in progress.
  • "Geographic Risk for Mortgages" (with K. Giesecke). Work in progress.
  • "Risk Premia for Mortgage-backed Securities" (with K. Giesecke and M. Ohlrogge). Work in progress.
Presentations
  • 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.