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Andreea Minca
Assistant Professor
Andrew Schultz '36 PhD'41 Sesquicentennial Fellow
School of Operations Research and Information Engineering

Andreea Minca pic

acm299 "at" cornell.edu
(607)-255-9133

222 Rhodes Hall
Cornell University
Ithaca, NY 14853

Curriculum Vitae


Bio

Andreea Minca is an Assistant Professor in the School of Operations Research and Information Engineering at Cornell University. Andreea Minca received her PhD in Applied Mathematics from the University Paris 6 Pierre et Marie Curie in 2011. Prior to that, she received a M.S. in Probability and Finance from the University Paris 6 Pierre et Marie Curie and "Diplôme de l'Ecole Polytechnique".

Research

Minca's research has focused on mathematical modeling in finance, within the areas of systemic risk, liquidity risk and credit risk. She is particularly interested in structural models for systemic risk, using networks to represent various types of interrelations among financial institutions.

The mathematical framework of her research draws on a broad set of analytical tools. The study of financial contagion in large systems uses asymptotic analysis of diffusions on random graphs. Minca's work on the optimal control of financial contagion uses decision theory. The problem of optimal equity infusions in a system prone to contagion is posed as a Markov decision process and solved using dynamic programming. The recent work on funding liquidity risk poses the problem of understanding bank runs in a game theoretic framework with heterogeneous agents.

Research Areas


Teaching

  • Probability ORIE 6510, Spring 2013, Spring 2014 (PhD) Syllabus
  • Financial Engineering with Stochastic Calculus I, ORIE 5600, Fall 2012, Fall 2013 (MEng) Syllabus
  • Introduction to Mathematical Finance, ORIE 4600, Fall 2011 (UG)



Contact Information

Andreea Minca
Cornell University
222 Rhodes Hall
Ithaca, NY 14853

(607) 255-9133 - phone
(607) 255-9129 - fax