Andrew Schultz '36 PhD'41 Sesquicentennial Fellow
School of Operations Research and Information Engineering
acm299 "at" cornell.edu
222 Rhodes Hall
Ithaca, NY 14853
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 the Ecole Polytechnique Diploma.
Andreea Minca studies large systems under uncertainty, especially financial systems, and uses mathematical modeling to derive optimal policies that promote system stability. She is particularly interested in structural models for systemic risk, using networks to represent various types of interrelations among financial institutions. Her work has been published in leading Financial Mathematics and OR journals such as Mathematical Finance, Finance & Stochastics, SIAM Journal of Financial Mathematics, Operations Research.
Her research relies on stochastic analysis, network analysis and game theory and led to a broad set of methodological advances. The study of financial contagion in large systems led to developments in the asymptotic analysis of diffusions on random graphs with inhomogeneous structures.
She pioneered the use of random graphs to model partial information about the interconnections in the financial system. She proposed a setup for optimization under uncertainty about network structure, with application to the management of financial crises.
Her work on bank runs led to the development of a theory of optimal cash holdings under strategic uncertainty (ambiguity about the others' actions), when credit is provided by agents with heterogeneous beliefs. This relies on the study of equilibria of games with a large number of heterogeneous players.
Her new interests include machine learning and big financial data, in particular developing methods of data aggregation in network structures and the development of clustering algorithms, which can be used to identify system vulnerabilities.
Here is an interview with Andreea Minca concluding the program Broad Perspectives and New Directions in Financial Mathematics at the Institute of Pure and Applied Mathematics at UCLA, where she was an invited participant.
- Systemic Risk and Network Models in Finance
- Liquidity and Credit Risk; Optimal Cash Holdings
- Financial Econometrics
Financial Engineering, Stochastic Modeling, Probability and Statistics, Risk Management, Credit and Systemic Risk.
- Introduction to Engineering Stochastic Processes I (Undergraduate), Spring 2016
- Mathematics of Financial Systems (PhD), Spring 2015
- Risk Measures ORIE 6630, Fall 2014 (PhD) Syllabus
- Probability ORIE 6510, Spring 2013, Spring 2014 (PhD) Syllabus
- Financial Engineering with Stochastic Calculus I, ORIE 5600, Fall 2012, Fall 2013, Fall 2015 (MEng) Syllabus
- Introduction to Mathematical Finance, ORIE 4600, Fall 2011 (Undergraduate)
222 Rhodes Hall
Ithaca, NY 14853
(607) 255-9133 - phone
(607) 255-9129 - fax