Zachary Feinstein

• PhD (2014) Princeton University (Operations Research and Financial Engineering)
• MA (2011) Princeton University (Operations Research and Financial Engineering)
• BS (2009) Washington University in St. Louis (Systems Science and Engineering)

• Stevens Society of Financial Engineers Chair

• INFORMS Finance Section Secretary and Treasurer

Journal Article

1. Feinstein, Z. (2022). Clearing prices under margin calls and the short squeeze. SIAM Journal on Financial Mathematics (4 ed., vol. 13, pp. SC113-SC122).
2. Bichuch, M.; Feinstein, Z. (2022). Endogenous inverse demand functions. Operations Research.
   https://doi.org/10.1287/opre.2022.2325.
3. Chen, Y.; Feinstein, Z. (2022). Set-valued dynamic risk measures for processes and vectors. Finance and Stochastics (vol. 26, pp. 505-533).
4. Banerjee, T.; Feinstein, Z. (2022). Pricing of debt and equity in a financial network with comonotonic endowments. Operations Research (4 ed., vol. 70, pp. 2085-2100).
   https://pubsonline.informs.org/doi/10.1287/opre.2022.2275.
5. Bichuch, M.; Feinstein, Z. (2022). A repo model of fire sales with VWAP and LOB pricing mechanisms. European Journal of Operational Research (1 ed., vol. 296, pp. 353-367).
   https://www.sciencedirect.com/science/article/pii/S037722172100374X.
6. Banerjee, T.; Feinstein, Z. (2021). Price mediated contagion through capital ratio requirements with VWAP liquidation prices. European Journal of Operational Research (3 ed., vol. 295, pp. 1147-1160).
   https://www.sciencedirect.com/science/article/pii/S0377221721002794.
7. Feinstein, Z.; Sojmark, A. (2021). Dynamic default contagion in heterogeneous interbank systems. SIAM Journal on Financial Mathematics (4 ed., vol. 12, pp. SC83-SC97).
   https://epubs.siam.org/doi/abs/10.1137/20M1376765.
8. Feinstein, Z.; Rudloff, B.; Zhang, J. (2021). Dynamic set values for nonzero sum games with multiple equilibriums. Mathematics of Operations Research (1 ed., vol. 47, pp. 616-642).
9. Ararat, C.; Feinstein, Z. (2020). Set-valued risk measures as backward stochastic difference inclusions and equations. Finance and Stochastics (vol. 25, pp. 43–76).
10. Clark, B.; Feinstein, Z.; Simaan, M. (2020). A machine learning efficient frontier. Operations Research Letters (5 ed., vol. 48, pp. 630-634).
11. Feinstein, Z. (2020). Capital regulation under price impacts and dynamic financial contagion. European Journal of Operational Research (2 ed., vol. 281, pp. 449-463). Elsevier BV.
    http://dx.doi.org/10.1016/j.ejor.2019.08.044.
12. Feinstein, Z. (2019). Obligations with Physical Delivery in a Multilayered Financial Network. SIAM Journal on Financial Mathematics (4 ed., vol. 10, pp. 877-906). Society for Industrial & Applied Mathematics (SIAM).
    http://dx.doi.org/10.1137/18m1194729.
13. Banerjee, T.; Feinstein, Z. (2019). Impact of contingent payments on systemic risk in financial networks. Mathematics and Financial Economics (4 ed., vol. 13, pp. 617-636). Springer Science and Business Media LLC.
    http://dx.doi.org/10.1007/s11579-019-00239-9.
14. Feinstein, Z.; Pang, W.; Rudloff, B.; Schaanning, E.; Sturm, S.; Wildman, M. (2018). Sensitivity of the Eisenberg–Noe clearing vector to individual interbank liabilities. SIAM Journal on Financial Mathematics (4 ed., vol. 9, pp. 1286-1325).
15. Feinstein, Z. (2017). Financial contagion and asset liquidation strategies. Operations Research Letters (2 ed., vol. 45, pp. 109-114). Elsevier BV.
    http://dx.doi.org/10.1016/j.orl.2017.01.004.
16. Feinstein, Z.; Rudloff, B.; Weber, S. (2017). Measures of Systemic Risk. SIAM Journal on Financial Mathematics (1 ed., vol. 8, pp. 672-708). Society for Industrial & Applied Mathematics (SIAM).
    http://dx.doi.org/10.1137/16m1066087.
17. Cassidy, A.; Feinstein, Z.; Nehorai, A. (2016). Risk measures for power failures in transmission systems. Chaos: An Interdisciplinary Journal of Nonlinear Science (11 ed., vol. 26, pp. 113110). AIP Publishing.
    http://dx.doi.org/10.1063/1.4967230.