Applied mathematics · stochastic systems · high-dimensional modeling

Guillermo Alonso Alvarez

Postdoctoral Assistant Professor

Department of Mathematics, University of Michigan

I am a postdoctoral assistant professor at the University of Michigan, where I work with Erhan Bayraktar and Ibrahim Ekren. My research sits at the intersection of stochastic control, contract theory, mean field games, and machine learning, with applications in finance and actuarial mathematics.

Before joining Michigan, I completed my PhD in Applied Mathematics at Illinois Tech under the supervision of Sergey Nadtochiy. I build mathematical models for dynamic decision-making under uncertainty, with a particular interest in incentives, high-dimensional systems, and modern computational methods.

Selected Publications

  • G. A. Alvarez, I. Ekren, L. Huang

    Contracting with discretionary bonuses

    Submitted for publication · 2025

    arXiv
  • G. A. Alvarez, E. Bayraktar, I. Ekren

    Contracting a crowd of heterogeneous agents

    Submitted for publication · 2025

    arXiv
  • G. A. Alvarez, I. Ekren, A. Krastios, X. Yang

    Neural operators can play dynamic Stackelberg games

    Journal of Machine Learning Research, 26(303):1–61 · 2025

    JMLR
  • G. A. Alvarez, E. Bayraktar, I. Ekren, L. Huang

    Sequential optimal contracting in continuous time

    Frontiers of Mathematical Finance, 4:114–139 · 2025

    Publisher
  • G. A. Alvarez, S. Nadtochiy

    Optimal contract design via relaxation: application to the problem of brokerage fee for a client with private signal

    Finance and Stochastics · 2025

    Springer
  • G. A. Alvarez, S. Nadtochiy, K. Webster

    Optimal brokerage contracts in Almgren-Chriss model with multiple clients

    SIAM Journal on Financial Mathematics, 14(3):855–878 · 2023

    DOI

Teaching

  • Fall 2023, 2024, 2025 — MATH 472: Numerical Analysis with Financial Applications, University of Michigan.
  • Winter 2024, 2026 — MATH 474: Introduction to Stochastic Analysis with Financial Applications, University of Michigan.
  • Winter 2025 — MATH 574: Continuous Time Mathematical Finance, University of Michigan.

Awards

  • Allen Shields Outstanding Postdoctoral Professor Teaching Award in Mathematics, University of Michigan (2025).
  • Best PhD Thesis in Applied Mathematics, Illinois Tech (2023).
  • College of Computing Excellence in Teaching Assistance Award, Illinois Tech (2023).

Talks

  • Seminar on Mathematical Finance and Stochastics, Illinois Tech — November 2025.
  • Seminar on Mathematical Finance, University of Michigan — September 2025.
  • SIAM Conference on Financial Mathematics and Engineering, Miami — July 2025.
  • Byrne B2A2 Conference, University of Michigan — June 2025.
  • AMS Eastern Sectional Meeting, Hartford — April 2025.
  • Joint Mathematics Meeting, Seattle — January 2025.
  • Seminar on Mathematical Finance, University of Michigan — December 2024.
  • Peter Carr Memorial Conference, University of Maryland — November 2024.