William Anderson
Visiting Assistant Professor, ORIE
Research interests include: Lévy processes in finance, stochastic differential equations, time series; Interest rate modeling, options pricing, inverse problems and model calibration, regularization methods; Numerical analysis, empirical legal studies, Bayesian statistics, MCMC.

Hazem Daouk
Assistant Professor, AEM
Research interests include: Financial time series, conditional variance and skewness, futures and options markets, market imperfections including short selling constraints, high frequency time series and statistical arbitrage.

Xin Guo
Assistant Professor, ORIE (on leave from Cornell, At UC, Berkeley)
Research interests include: Stochastic control, filtering, optimal stopping problems, Markov-modulated processes, statistical estimation and robustness, and change-point detection, especially in financial time series and network data.

Shane Henderson
Associate Professor, ORIE
Research interests include: Discrete event and Monte Carlo simulation. Yongmiao Hong Professor, Economics Web Page Research interests include: Nonlinear and nonparametric time series analysis, financial econometrics. Applications to finance include: density forecasts, predictivity of financial returns, specification testing for continuous-time diffusion models and dynamic asset pricing models, volatility spillover and large risk transmission between financial markets.

Robert Jarrow
Professor, Johnson Graduate School of Management
Research interests include: Mathematical finance, credit risk valuation, option pricing, the valuation and hedging of liquidity risk, existence and uniqueness of equivalent martingale measures.

Mark Lewis
Associate Professor, ORIE
Research interests include discrete-time stochastic control/Markov decision processes, dynamic pricing particularly as it relates to other areas of operations research, applied probability.

Tim Mount
Professor, AEM
Research interests include: Econometric modeling, the behavior of energy prices and the implications of deregulation on financial risk and investment incentives in the electric utility industry.

Soumik Pal
Visiting Assistant Professor, ORIE and Mathematics
Research interests include: Probability in finance, measures of risk, portfolio optimization, pricing and hedging in incomplete markets.

Philip Protter
Professor, ORIE
Director of Financial Engineering Program
Research interests include: Mathematical finance, robustness of models under weak convergence, computation of hedging strategies, numerical pricing of options, various questions arising from incomplete markets, modeling credit risk.

Sidney Resnick
Professor, ORIE
Research interests include: Extreme value problems in finance and insurance including Value at Risk; stochastic models for dependent heavy tailed data such as ARCH and GARCH; multidimensional heavy tailed problems pertaining to exchange rate returns.

David Ruppert
Professor, ORIE
Research interests include: regression, splines, MCMC, modeling of term structure, measurement error models, semiparametric modeling. Author of the recent textbook, "Statistics and Finance: an Introduction."

Gennady Samorodnitsky
Professor, ORIE
Research interests include: Financial models that include heavy tails, or long range dependence within the market noise, especially shot noise models; risk analysis and optimal portfolio selection, high dimensional problems in finance.

Stefan Weber
Assistant Professor, ORIE
Research interests include: Mathematical finance, risk management and risk measures, Monte Carlo simulation, credit risk and optimal portfolio selection.

Martin T. Wells
Professor, Social Statistics
Research interests include: Credit risk and valuation of defaultable securities, estimation of stochastic processes parameters, financial time series, portfolio optimization.