Interests

• Asset Pricing, Market Microstructure, Game Theory.

Employment

• Assistant Professor of Finance, University of Chicago, Graduate School of Business, July 2004 - present.

Education

• Ph.D. in Financial Economics, MIT Sloan School, June 2004.
• Ph.D. in Mathematics, MIT, June 1999.
• B.A. and Diploma in Mathematics, University of Bucharest, June 1994.

Research and Publications

• A Dynamic Model of the Limit Order Book;   Review of Financial Studies, forthcoming.
• Liquidity and Information in Order Driven Markets;   in preparation.
• Is Liquidity Caused by Trading Activity? Weather and Trading in a Limit Order Market;   with Juhani Linnainmaa; in preparation.
• Multi-Stage Game Theory in Continuous Time;   in preparation.
• A CAPM with Price Impact,   with Andrew Lo and Jiang Wang; in preparation.
• The Success Probability and Synergies of a Tender Offer via Stock and Option Prices,   with Alan Bester and Victor Martinez; in preparation.
• On the Derivation of the Black-Scholes Formula,   with Dan Stroock; Séminaire de Probabilités 37 (2004), 399-414.
• Equivariant Elliptic Cohomology and Rigidity,   American Journal of Mathematics 123 (2001), 647-677.
• Equivariant K-Theory and Equivariant Cohomology,   appendix with Allen Knutson; Mathematische Zeitschrift 243 (2002), 423-448.

Awards and Fellowships

• Merrill Lynch Fellowship (1999-2003), Zannetos Fellowship (2000-2001), Pappas Fellowship, Gerrity Fellowship (2001-2002), MIT Sloan School of Management.
• Charlie Housman Award for Excellence in Teaching 1997, MIT Department of Mathematics
• National Merit Scholarship, University of Bucharest, 1992-1994.

Invited Talks

• Finance Seminars: Stanford (04/08), Berkeley (04/08), Chicago (04/08), Bucharest (12/07), Chicago (07/07), Tel Aviv (06/06), Hebrew (06/06), Princeton (03/06), Chicago (11/05), WUSTL (10/05), CUNY-Baruch (10/05), Toronto (06/05), Bucharest (03/05), Chicago (02/04), Wharton (02/04), Michigan (02/04), Carnegie Mellon (02/04), Kellogg (01/04), Toronto (01/04), Notre Dame (01/04), Berkeley (01/04), MIT (10/03).
• Conference Talks: Trading Frictions in Asset Markets, Santa Barbara (12/07), Stochastic Processes and Applications, Paris (07/06), WFA (06/05), NBER Microstructure (05/04).
• Conference Discussions: AFA (01/08), NBER Microstructure (05/08, 10/05, 12/03).
• Mathematics Seminars: MIT/Tufts/UConn Statistics and Stochastics (03/02), Kentucky (04/98), Rochester (03/98), Brown (02/98), Chicago (12/97), Northwestern (12/97), Johns Hopkins (10/97). Mathematics Conferences: AMS Homotopy Theory Session (Baltimore, 01/98); Geometry and Topology (Lehigh, 07/97); Elliptic Cohomology and VOAs (Glasgow, 01/97).

Teaching Experience

• Chicago GSB: Investments (35000), Winters 2005, 2006, 2007, 2008, Spring 2007; Ph.D. course in Asset Pricing and Market Microstructure (35909), Spring 2006
• MIT: Undergraduate Topology (18.901), Fall 1998. Head Mentor in the Research Science Institute (RSI) program, 1997, 1998, and in the Summer Program in Undergraduate Research (SPUR), 1999