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Ruoting Gong

Ruoting Gong, Ph.D.

Assistant Professor of Applied Mathematics






Rettaliata Engineering Center, Room 116B

Office Hours: 

Tuesdays 9:00 - 10:00 AM, Thursdays 10:00 - 11:00 AM


Ph.D. in Mathematics, Georgia Institute of Technology (2012)
M.S. in Statistics, Georgia Institute of Technology (2010)
B.A. in Pure and Applied Mathematics, Tsinghua University (2006)

Research & Accomplishments 

Mathematical Finance: Small-Time Asymptotics of Option Prices, with Emphasis on Lévy-Based Models, Stochastic Volatility Models, and General Jump-Diffusion Models.
Probability and Stochastic Processes: Random Sequence Alignments, Lévy Processes, Stochastic Control, Stochastic Differential Equations, Feynman-Kac Formula, Stochasitc Partial Differential Equations. 


Top Graduate Student Award, School of Mathematics, Georgia Institute of Technology, 2012
Scholarship for Excellent Students, Tsinghua University, 2003-2006



Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility (with J. E. Figueroa-López and M. Lorig). Submitted, 2017. arXiv:1608.07863v1. 
A Central Limit Theorem for the Optimal Alignments Score in Multiple Random Words (with C. Houdré and U. Islak). Submitted, 2017. arXiv: 1512.05699v2.
Lower Bounds on the Generalized Central Moments of Optimal Alignments Score of Random Sequences (with C. Houdré and J. Lember), To appear in Journal of Theoretical Probability, 2017. 
Trajectory Fitting Estimators for SPDEs Driven by Additive Noise (with I. Cialenco and Y. Huang). To appear in Statistical Inference for Stochastic Processes, 2017. DOI:10.1007/s11203-016-9152-2
High-Order Short-Time Expansions for ATM Option Prices of Exponential Lévy Models (with J. E. Figueroa-López and C. Houdré), Mathematical Finance, Vol. 26, No. 3, pp. 516-557, 2016. DOI:10.1111/mafi.12064 
Small-Time Expansions of the Distributions, Densities, and Option Prices of Stochastic Volatility Models with Lévy Jumps (with J. E. Figueroa-López and C. Houdré)Stochastic Processes and Their Applications, Vol. 122, Issue 4, pp. 1808-1839, 2012. DOI:10.1016/

Professional Societies 

American Mathematical Society (AMS):
Institute of Mathematical Statistics (IMS):