Research Associate

Department of Applied Mathematics
University of Washington

Office: Lewis Hall # 315

Email: bahmang@uw.edu

My CV (pdf)

Bahman Angoshtari

Education


  • D.Phil. in Mathematics (2014), University of Oxford


  • M.Sc. (with distinction) in Applied mathematics (2009), University of Twente


  • B.Sc. in Industrial engineering (2004), Sharif University of Technology



Research interests


  • Financial and Actuarial Mathematics, Stochastic Optimization, Stochastic Analysis, Reinforcement Learning, Financial Data Analysis.



Publications


  1. "Optimal investment to minimize the probability of drawdown", with Erhan Bayraktar and Virginia Young, Stochastics, 88(6):946-958, 2016.

  2. "Minimizing the probability of lifetime drawdown under constant consumption", with Erhan Bayraktar and Virginia Young, Insurance: Mathematics and Economics, 69:210-223, 2016.

  3. "Minimizing the expected lifetime spent in drawdown under proportional consumption", with Erhan Bayraktar and Virginia Young,
    Finance Research Letters, 15:106-114, 2015.


Preprints and working papers




  • "Optimal dividend policies under ratcheting and drawdown constraints on dividends", with Erhan Bayraktar and Virginia Young, in preparation.


Theses




Teaching


  • Instructor for Machine Learning for Finance (CFRM 521), University of Washington, Spring 2018.


  • Instructor for Financial Data Science (CFRM 502), University of Washington, Winter 2018.


  • Instructor for Introduction to Probability (MATH 425), University of Michigan, Spring 2017.


  • Instructor for Mathematics of Finance (MATH 423), University of Michigan, Fall 2016, and Winter 2017.


  • Instructor for Numerical Methods with Financial Applications (MATH 472), University of Michigan, Fall 2015.


  • Instructor for Discrete State Stochastic Processes (MATH/STAT 526), University of Michigan, Fall 2014, Winter 2015, Winter 2016.


  • Instructor for Calculus I (MATH 115), University of Michigan, Fall 2014.


  • Tutor for Stochastic Control and Dynamic Asset Allocation, University of Oxford, Winter 2011. 


  • Teaching assistant for Martingales Through Measure Theory, University of Oxford, Fall 2010.