Stephan Sturm

Stephan Sturm is an Associate Professor in the Department of Mathematical Sciences at Worcester Polytechnic Institute (WPI). He holds a PhD from the Technical University of Berlin (2010) and a BS/MS from the University of Vienna (2004). His research focuses on financial mathematics, stochastic analysis, and stochastic volatility modeling, with particular emphasis on portfolio optimization under incentive schemes and arbitrage-free pricing frameworks. He contributes to WPI's professional master's program in financial mathematics and advises students on theses and MQPs.

His academic journey includes a postdoctoral position at Princeton University's Department of Operations Research and Financial Engineering. He has taught extensively at WPI and other institutions, covering topics like stochastic processes, financial risk management, and actuarial mathematics. His work bridges theoretical advancements in stochastic analysis with practical applications in financial engineering.

Key research themes include XVA valuation (CVA/DVA/FVA), systemic risk analysis in financial networks, and optimal consumption-investment problems under market frictions. His publications address both foundational mathematical challenges and real-world market dynamics, often employing sophisticated stochastic calculus and numerical methods.

Teaching highlights include courses on measure-theoretic probability, computational finance, and derivatives pricing. His contributions extend to curriculum development at WPI's IQP project centers in Asia, integrating financial mathematics with global industry challenges.