The Society for Industrial and Applied Mathematics (SIAM) Activity Group on Financial Mathematics and Engineering (SIAG/FME) awards its Junior Scientist Prize to an outstanding junior researcher for distinguished contributions to the mathematical modeling of financial markets. Established in 2010, the prize gives awardees a hand-calligraphed certificate and a plaque.
Sergey Nadtochiy of Oxford University has been awarded the 2012 prize for his impressive contributions to mathematical finance and his original, sophisticated, and rigorous mathematical analysis of challenging problems in volatility modeling and derivative pricing theory.
Nadtochiy delivered the associated prize lecture, Market-Based Approach to Modeling Derivatives Prices on the morning of Tuesday, July 10, and accepted the prize at the Prizes and Awards Luncheon that followed, at the SIAM Annual Meeting held in Minneapolis, Minnesota.
He is a senior postdoctoral research fellow at the Oxford-Man Institute of Quantitative Finance and the Mathematical Institute of the University of Oxford. He earned a Specialist (MSc) Degree in mathematics from Moscow State University, in addition to an MA and PhD in Operations Research and Financial Engineering from Princeton University.
His research interests are in the areas of market-based models for derivatives prices; optimal investment; static hedging; inverse problems; stochastic analysis; and PDE.