Applied Probability, Financial Engineering

Office: 279 Rhodes Hall

Phone: 607.254.4825

Website: click here

Fax: 607.255.9129

Stefan Weber is an Assistant Professor in Financial Engineering and Applied Probability in the School of Operations Research and Industrial Engineering at Cornell.  He joined the department in July 2005.

Professor Weber received his M.Sc. in Mathematics from the University of Hanover, his M.A. in Economics from the European University Institute, Firenze and his Ph.D. in Mathematics from Humboldt University in Berlin. Before joining Cornell University, he was a Doctoral Research Fellow in the Mathematical Finance Group in Humboldt University in Berlin from 2001 - 2004. Prior to this, Weber served as a Research Fellow in the Department of Economics at the European University Institute, Firenze from 1999 - 2001.  Weber was a Fulbright Scholar at Purdue University and New York University.

Weber's research, teaching and consulting interests lie in the area of financial engineering, in particular credit risk models, risk management, Monte Carlo methods, and optimal portfolio choice. Professor Weber teaches an executive course in financial engineering at Operations Research Manhattan.

Select Publications

“Robust Utility Maximization with Limited Downside Risk in Incomplete Markets”. (With A. Gundel)

"Utility Maximization Under a Shortfall Risk Constraint". (With A. Gundel)

“Distribution-Invariant Risk Measures, Information, and Dynamic Consistency”. Mathematical Finance, 16(2), 419 - 442 (2006).

“Efficient Monte Carlo Methods for Convex Risk Measures”. (With J. Dunkel)

"Distribution-Invariant Risk Measures, Entropy, and Large Deviations”.

“Measuring the Risk of Extreme Events”. Event Risk, M. Avellaneda (Ed.), Risk Books (2005). (With K. Giesecke and T. Schmidt)

"Alternativen zu Value at Risk” Zeitschrift für die gesamte Versicherungswissenschaft, 4 (2005). (With T. Schmidt)

“Credit Contagion and Aggregate Losses”. Journal of Economic Dynamics and Control, 30(5), 741 - 767 (2006). (With K. Giesecke)   

“Cyclical Correlations, Credit Contagion, and Portfolio Losses”. Journal of Banking and Finance, 28(12), 3009-3036 (2004). (With K. Giesecke)

"A Continuous Time Limit of an Evolutionary Stock Market”. (With B. Buchmann)

University Activities

Member Operations Research Manhattan Committee