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Assistant Professor Dan Mitchell

mitchell

 

Ph.D., Information, Risk & Operations Management, University of Texas, 2014
M.S., Mathematics, New York University, 2009
B.S., Mathematics, University of Texas, 2007

Office: Lind 356 - phone: (612) 625-6380
Email: damitche@umn.edu


Research

Dan received his PhD in Information, Risk, & Operations Management from the University of Texas. He then was an assistant professor at Singapore University of Technology and Design in the Engineering Systems and Design pillar. His main research interests are focused on financial engineering, specifically applying stochastic control to problems in finance. He has worked on projects in option pricing, algorithmic trading, federal intervention in the interest rate market, and human mortality forecasting.

Publications

Mitchell, D., Feng, H., Muthuraman, K. Impulse Control of Interest Rates. Operations Research, 2014. 62 (3), pp. 602-615.

Mitchell, D., Goodman, J., Muthuraman, K. Boundary Evolution Equations for American Options. Mathematical Finance, 2014. 24 (3), pp. 505-532.

Mitchell, D., Brockett, P., Mendoza-Arriaga, R., Muthuraman, K. Modeling and Forecasting Mortality Rates. Insurance: Mathematics and Economics, 2013. 52 (2), pp 275-285.

Li, L., Mendoza-Arriaga, R., Mo, Z., Mitchell, D. Modeling Electricity Prices: A Time Change Approach. Quantitative Finance.

Mendoza-Arriaga, R., Li, L., Mitchell, D., Analytical Representations for the Basic Affine Jump Diffusion. Operations Research Letters.



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