Faculty Visitors Janosi, Matteson and Wissel Continue Teaching ORIE Students
ORIE's faculty roster includes three visitors in the 2010-11 academic year, all of whom have prior involvement with our students. They are Tibor Janosi, David S. Matteson, and Johannes Wissel. Additional visitors come to ORIE to work collaboratively with faculty members but without teaching responsibilities.
Tibor Janosi joins ORIE as a Visiting Assistant Professor, having already taught required courses in ORIE's financial engineering concentration for several years as a Visiting Assistant Professor of Finance in the Johnson Graduate School of Management at Cornell. His Ph.D. from Cornell is in Computer Science and Finance, advised by Professors Ken Birman and Robert Jarrow. With Jarrow and Johnson School alumnus Yildiray Yildirim, he has published pioneering research estimating the extent to which the prices of stocks and bonds reflect expected losses, illiquidity, and the probability of default, and has worked on models that were applied to portfolios worth billions of dollars.
Janosi studied at the Technical University of Budapest, Hungary, on an honorary fellowship. As a student he established a national record by winning prizes Olympiads in Computer Science, Mathematics, and Physics. While at Cornell he also has worked as a researcher at a top-50 hedge fund, on projects involving the valuation of reinsurance bonds, trading strategies for various options, valuation of mortgage-backed securities, and other financial and technical problems. In the fall 2010 he will advise projects in the Financial Engineering Masters concentration.
David S. Matteson
A Ph.D. graduate in Statistics from the University of Chicago with an undergraduate degree in Business from the University of Minnesota, Matteson joined ORIE as a Visiting Assistant Professor in July, 2008. He is also a New Researcher Fellow at the Statistical and Applied Mathematical Sciences Institute (SAMSI) in Durham, NC. His statistical work has been applied to financial markets, emergency medical services information systems, and internet data transmission.
While in ORIE, Matteson has taught the Basic Engineering Probability and Statistics course required of ORIE undergraduates and taken by students from all engineering majors, Applied Time Series Analysis and Statistics for Financial Engineering, a core course in the Financial Engineering Masters concentration. He has advised several Masters of Engineering projects, including one for Goldman Sachs that won an annual project award.
In the Fall 2010 semester, Matteson will teach an advanced graduate course, Topics in Time Series Analysis. His research deals with the statistical analysis of time-dependent data resulting from processes with a large number of dimensions (i.e. variables). The objective of such analysis is prediction.
Matteson is interested in applying new techniques to matters as diverse as the rates at which 911 calls arrive at emergency services in the city of Toronto and the ways in which prices move in relation to each other within financial markets. He strives to develop forecasting models that are parsimonious, in that they predict the behavior of highly multi-dimensional processes as the consequence of a small number of unobserved, or latent, variables. His techniques are particularly applicable to 'heavy-tailed' (non-Gaussian) distributions in which current values may be dependent on previous observations and variables are dependent on each other.
Johannes Wissel also joined ORIE as a Visiting Assistant Professor in the summer of 2008, following completion of his Ph.D. studies in Mathematics at ETH Zurich, the Swiss Federal Institute of Technology in Zurich. At Cornell he has taught the undergraduate Introduction to Financial Engineering, both semesters of the Financial Engineering with Stochastic Calculus course, a core series in the Financial Engineering Masters program, and Quantitative Risk Management, a Ph.D. level course. He will teach Financial Engineering with Stochastic Calculus again in Fall 2010.
Wissel's work has focused on the development of new models for the pricing of options (such as the purchased right to buy or sell an underlying security at some future time and price). Unlike models widely used in industry and academia that base the price of an option on the volatility of the underlying security, as estimated from prices experienced in the market, Wissel and his colleagues are working to develop pricing models based directly on the options market itself. Doing so requires fewer assumptions about the process and may better explain what actually happens in the market, avoiding certain ad hoc corrections necessary in the current approach and possibly leading to more accurate prices and better trading strategies.
ORIE Director Adrian Lewis commented that "it is great to have the continued involvement of David, Johannes and Tibor in our program. They supplement our permanent faculty admirably, broadening our perspective and expertise especially in the areas of statistics and financial engineering."