The First Republic Bank Research and Lifelong Learning Program at Princeton University connects Princeton University's mission of teaching and research to the First Republic Bank's expressed interest in funding research in financial engineering, data science and stochastic optimization. The initiative is anchored in the Department of Operation Research and Financial Engineering (ORFE), which is part of the School of Engineering and Applied Science (SEAS).
Princeton and First Republic Bank will create, develop, and implement an initiative that provides faculty and banking professionals the opportunity to engage, test ideas, and stimulate new areas of inquiry that advances knowledge and technology for educational and societal benefit.
Professor of Operations Research & Financial Engineering
Ronnie Sircar is the Eugene Higgins Professor of Operations Research and Financial Engineering (ORFE) at Princeton University, and is affiliated with the Bendheim Center for Finance, the Program in Applied and Computational Mathematics, and the Andlinger Center for Energy and the Environment. He received his doctorate from Stanford University and taught for three years at the University of Michigan in the Department of Mathematics. He has received continuing National Science Foundation research grants since 1998. He was a recipient of the E-Council Excellence in Teaching Award for his teaching in 2002, 2005 and 2006, and the Howard B. Wentz Jr. Junior Faculty Award in 2003. His research interests center on Financial Mathematics, stochastic volatility models, energy markets and exhaustible resources, credit risk, asymptotic and computational methods, portfolio optimization and stochastic control problems, and stochastic differential games. He is a co-author of the book “Multiscale Stochastic Volatility for Equity, Interest-Rate and Credit Derivatives”, published by Cambridge University Press in 2011, and was founding co-editor-in-chief of the SIAM Journal on Financial Mathematics, from 2009-2015. He was Director of Graduate Studies for the master's in finance program at the Bendheim Center for Finance from 2015-2018. He is the current Chair of the ORFE department. He was made a Fellow of the Society for Industrial and Applied Mathematics (SIAM) in 2020 for “contributions to financial mathematics and asymptotic methods for stochastic control and differential games.”
William R. Kenan, Jr.,
Professor of Electrical Engineering
Sanjeev R. Kulkarni received degrees in mathematics and electrical engineering from Clarkson University, the M.S. degree in E.E. from Stanford University, and the Ph.D. in E.E. from M.I.T. in 1991. From 1985 to 1991 he was a Member of the Technical Staff at M.I.T. Lincoln Laboratory. Since 1991 he has been with Princeton University, where he is currently the William R. Kenan, Jr., Professor of Electrical and Computer Engineering and Operations Research and Financial Engineering. He is also an affiliated faculty member in the Department of Philosophy. Professor Kulkarni served as Dean of the Faculty at Princeton University from 2017-2021 and Dean of the Graduate School from 2014-2017. He is a Fellow of the IEEE and has received several teaching awards at Princeton University, including the President's Award for Distinguished Teaching in May 2007, and seven awards from the Undergraduate Engineering Council. His research interests include machine learning, pattern recognition, nonparametric estimation, information theory, and wireless networks.
Mete Soner is a Professor of Operations Research and Financial Engineering, at Princeton University. He is also affiliated with the Bendheim Center of Finance and with the Program in Applied & Computation Mathematics. Prof. Soner was one of the founders of ORFE in 1999 and recently was a professor of mathematics and the Chair of the department at ETH Zürich (the Swiss Federal Institute of Technology in Zurich) from 2009 -2019. His research is on decisions under uncertainty, and he works on related problems in stochastic optimal control, Markov decision processes, nonlinear partial differential equations, probability theory, mathematical finance and financial economics. Professor Soner co-authored a book, with Wendell Fleming, on viscosity solutions and stochastic control; Controlled Markov Processes and Viscosity Solutions, Springer-Verlag, 1993 (second edition in 2006), and authored or co-authored several articles on nonlinear partial differential equations, viscosity solutions, stochastic optimal control and mathematical finance. Currently, Professor Soner serves as Editor-in-Chief of SIAM Journal of Financial Mathematics (SIFIN), a Co-Editor of Mathematics and Financial Economics (MAFE) and an associate editor for Finance and Stochastics, Interfaces and Free Boundaries, Mathematics of Operations Research. During 2011-2016, Professor Soner served as the Executive Secretary of the Bachelier Finance Society. In 2014, Professor Soner was the recipient of the Alexander von Humbolt Foundation Research Award, and in 2015, was elected as a SIAM Fellow.
Kun Yang received his Ph.D. degree in Computer Science from the University of Chinese Academy of Sciences, Beijing, China, in 2018. Previously, he was a postdoctoral research scientist in the Department of Statistics at Columbia University supervised by Prof. Samory Kpotufe. He is currently an associate research scholar in the Department of Operations Research and Financial Engineering (ORFE) at Princeton University supervised by Prof. Sanjeev R. Kulkarni. His research interests include machine learning, cybersecurity, and network traffic analysis
Felix Ackon is a third year PH.D. student at the department of Operations Research and Financial Engineering at Princeton University, under the supervision of Professor Ronnie Sircar. His research interests include Game Theory, Applied Probability and Financial Econometrics. Felix received a Bachelor of Science degree in Statistics from the University of Delaware in 2017. During his tenure at the University of Delaware, he spent summers interning at JPMorgan Chase and with the Math department. After graduating, he spent two years as a Research Associate at the Federal Reserve Bank of Richmond to study topics in cryptocurrency and lenders of last resort.
Sinong Geng is a Ph.D. student at the department of Computer Science at Princeton University, under the supervision of Professor Ronnie Sircar. His research interests include stochastic optimal control, high-dimensional statistics, and reinforcement learning. Before Princeton, he got his Master of Science degree from the Department of Statistics at University of Wisconsin Madison (advisor: David Page). He received his Bachelor of Science degree from the School of Mathematics at Nankai University. As a research scientist, he has interned at Theory Group-4: Center for Nonlinear Studies of Los Alamos National Lab, Prime Economics team of Amazon and Two Sigma
Nikhil Krishnan is a third year Ph.D. student at the Department of Operations Research and Financial Engineering at Princeton University, under the supervision of Professor Ronnie Sircar. His research interests include financial mathematics, game theory, and optimal control. Previously, Nikhil received a Bachelor of Science and Master of Science in Applied Mathematics from the University of Colorado in 2019. While at the University of Colorado, he conducted research into computational neuroscience and optimal foraging.