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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.



Upcoming Seminar

News

Fan Jia received honorable mention, 2016 SOLA Dissertation Award... Read More...

Professor Benjaafar - named Director of the Initiative on the Sharing Economy... Read More...

Symposium on the Sharing Economy held last May... Read More...

Sherwin Doroudi - joined the Department as an Assistant Professor... Read More...

Mehdi Behroozi, a recent ISyE PhD grad, offered position as Asst. Professor at Northeastern... Read More...

ISyE Undergrad student Christopher Kuehn - co-founder of AdrenaCard, an epi-pen alternative. Read More...

Dr. Leder awarded the NSF CAREER Award: Rare Events in Cancer Evolution with a grant in the amount of $500,000. Read More...

A paper by ISyE doctoral student Xiang Li was a finalist for the 2016 POMS-HK Best Student Paper Award. Read More...

Professor Benjaafar - keynote speaker at the Big Data and Connected Business Conference held in Taipei, Taiwan. Read More...

Mehdi Behroozi - Second Place Award in theĀ IIE Doctoral Colloquium Poster Presentations Competition. Read More...

Dr. Zhang's paper "Semidefinite Relaxation of Quadratic Optimization Problems" - 2015 SPS Signal Processing Magazine Best Paper Award.

ISyE professors Cooper and Wang awarded NSF grant of $269,000 for August 2015-2018 - "Revenue Management with Network Effects." Read More...

Dr. Zhang - awarded $299,999 NSF grant for his project "Gradient Methods for Solving Big Data (Tensor) Optimization Problems". Read More...