Postdoctoral researcher at the SFI @ EPFL

Email: yaroslav.melnyk@epfl.ch Phone: +41 21 69 30406 Postal: SFI @ EPFL, Quartier UNIL-Dorigny, Extranef 246, 1015 Lausanne, Switzerland

 

Yaroslav Melnyk is a Postdoctoral Researcher at SFI @ EPFL. Prior to joining the Swiss Finance Institute@EPFL, Yaroslav Melnyk completed both a master’s degree program in Financial Mathematics and his PhD studies in 2011 and 2015 at the University of Kaiserslautern, Germany. His Bachelor of Science degree in Mathematics he received from the Kyiv National Taras Shevchenko University, Ukraine, in 2009. His doctoral thesis investigates stochastic control problems under intervention costs and their applications in economy and finance such as reversible and irreversible investments and portfolio optimization. His current research is focused on singular and impulse control as well as asymptotic methods in portfolio optimization. As a Postdoctoral Researcher at the Swissquote Chair in Quantitative Finance, he studies polynomial preserving processes and their applications in finance. Yaroslav works with Prof. Damir Filipovic.

Publications and articles in preparation

1. Stochastic Impulse Control with Regime-Switching Dynamics, with Ralf Korn and Frank Thomas Seifried, 2015. Available at SSRN

2. Small-Cost Asymptotics for Long-Term Growth Rates in Incomplete Markets, with Frank Thomas Seifried, 2015. Available at SSRN