Yerkin Kitapbayev

Faculty

Yerkin Kitapbayev

About

Yerkin Kitapbayev is a Senior Lecturer in Finance at the MIT Sloan School of Management.

His research focuses on mathematical finance, applying option pricing methods to optimal investment under uncertainty and capital structure problems. Kitapbayev’s recent work examines the investment in, and the valuation of, power generation projects such as renewables or fossil fuels. His work has appeared in academic journals, such as Mathematical Finance, SIAM Journal on Financial Mathematics, Quantitative Finance, Mathematics of Operations Research, Annals of Finance, and others. At MIT Sloan, he teaches 15.433 Financial Markets and 14.437 Options and Futures.

Kitapbayev holds a BSc and an MSc in mathematics from Lomonosov Moscow State University, and a PhD in mathematical finance from University of Manchester.

Current Research Focus:  His current research projects include the optimal investment in green energy in the context of real options, pricing of derivative securities, dynamic capital structure and default risk, foreign debt, asset pricing, and mortgage contracts design.

Publications

"On the American Swaption in the Linear-Rational Framework."

Filipovic, Damir and Yerkin Kitapbayev. Quantitative Finance. Forthcoming.

"On American VIX Options under the Generalized 3/2 and 1/2 Models."

Detemple, Jerome and Yerkin Kitapbayev. Mathematical Finance Vol. 28, No. 2 (2018): 550-581.

"American Options with Discontinuous Two-Level Caps."

Detemple, Jerome and Yerkin Kitapbayev. SIAM Journal on Financial Mathematics Vol. 9, No. 1 (2018): 219-250.

"On the Optimal Exercise Boundaries of Swing Put Options."

De Angelis, Tiziano and Yerkin Kitapbayev. Mathematics of Operations Research Vol. 43, No. 1 (2018): 252-274.

"Mean Reversion Trading with Sequential Deadlines and Transaction Costs."

Kitapbayev, Yerkin and Tim Leung. International Journal of Theoretical and Applied Finance Vol. 21, No. 1 (2018): 1-22.

"Optimal Investment under Cost Uncertainty."

Detemple, Jerome and Yerkin Kitapbayev. Risks Vol. 6, No. 1 (2018): 5. Download Paper.

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