Justin Sirignano

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

Email: jasirign AT stanford.edu

Curriculum Vitae

Research Interests

My research interests lie in the mathematical and statistical modeling of large, complex systems, with one of my primary focuses being financial systems. Due to their scale and complexity, analyzing such systems is inherently challenging. I am particularly interested in developing data-driven models that take advantage of the large amounts of data typically available for such systems. To address problems in this area, I employ tools from stochastics, partial differential equations, optimization, statistics, and machine learning. My dissertation papers address several key challenges arising in this area. For a full list of papers and presentations, please see my CV at the top of the page.

Selected Publications

Working Papers
  • "Efficient Risk Analysis for Mortgage Pools" (with K. Giesecke). To be submitted soon to Operations Research.
  • "Likelihood Estimation for Large Financial Systems" (with G. Schwenkler and K. Giesecke). To be submitted soon to Annals of Statistics.
  • "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
  • Fluctuation Analysis for Loss from Default . INFORMS Annual Meeting, Minneapolis, 2013. Invited Speaker.
  • Likelihood Estimation for Large Financial Systems. Joint Mathematics Meeting, Baltimore, 2014. Invited Speaker.
  • Lecture on Subprime Crisis. For a general audience at Stanford University, 2013.
  • 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.
  • 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.