Graeme Baker

I am a Term Assistant Professor in the Department of Statistics at Columbia University where I also teach in the M.A. in Mathematical Finance program. I received my PhD in Applied & Computational Mathematics at Princeton University in 2023, advised by Mykhaylo Shkolnikov. In Summer 2022 I worked as a quantitative finance intern in the Fixed Income Division at Morgan Stanley.

My research lies in probability theory and mathematical finance. I primarily study interacting particle systems with singular interactions through hitting times and local times. The mean-field limits of these systems are closely tied to free boundary problems such as the supercooled Stefan problem. On the applied side, I build models of credit and systemic risk, most recently a multi-credit model based on elastically stopped Lévy processes calibrated to credit default swap index data.

I actively supervise undergraduate research. Recent student collaborations include a published paper on Skorokhod reflection with an application to reinsurance (with Ankita Chatterjee, Barnard College) and a working paper on rank-based particle systems calibrated to U.S. equity market data (with Caroline Smyth, Columbia College).

I co-organize the Applied Probability Seminar at Columbia University, and from 2023 to 2025 co-organized ENYGMMa (Empowering New York Gender Minority Mathematicians), which was held jointly between CUNY, Columbia, NYU, and Stony Brook.

I am on the academic job market in Fall 2026, seeking tenure-track positions starting 2027.

Email: g.baker@columbia.edu; Google Scholar; CV upon request.