Our Directors
Robert Jarrow, PhD | President
Robert Jarrow is a Professor at Cornell University and director of research at Kamakura Corporation. He is a creator of the Heath-Jarrow-Morton model, the forward price martingale measure, and reduced form credit risk models. His research was the first to distinguish forward/futures prices and study option pricing with market manipulation. He has been the recipient of numerous prizes and awards including the CBOE Pomerance Prize for Excellence in Options Research, the Graham and Dodd Scrolls Award, the Bernstein Fabozzi/Jacobs Levy Award, and the 1997 IAFE/SunGard Financial Engineer of the Year. In 2009 he was awarded Risk Magazine’s Lifetime Achievement Award.
He is included in both the Fixed Income Analysts Society Hall of Fame and Risk Magazine’s 50 member Hall of Fame. He has written seven text books, including the first on the Black Scholes and HJM models, and has over 200 academic journal publications.
Freddy Delbaen, PhD
Freddy Delbaen is Professor Emeritus at ETH Zurich and an invited Professor at the University of Zurich. He has published many papers in Journals dealing with pure and applied mathematics, as well as insurance and financial mathematics. He has been an invited Professor at many universities in Japan, Australia and China. He has given several invited talks at the biannual World Congresses of the Bachelier Finance Society (BFS). He was president and vice president of BFS and is now an honorary member of BFS. He is the recipient the Stipend of the Belgian Government to travel, the Louis Empain Prize and the international INA prize for actuarial sciences awarded by the Accademia Nazionale dei Lincei (Rome). He is a Fellow of the Institute of Mathematical Statistics and a Fellow of the American Mathematical Society.
Stanley R. Pliska, PhD
Stanley R. Pliska is Professor Emeritus of Finance at the University of Illinois at Chicago. Previously he was a professor in the Department of Industrial Engineering and Management Sciences at Northwestern University. He held visiting positions at Kyoto University, the London School of Economics, Tsukuba University (Japan), and Stanford University. He was the Rothschild Visiting Professor and the Prudential Distinguished Visiting Fellow for two separate financial mathematics programs at the Isaac Newton Institution for Mathematical Sciences in Cambridge. At these two times he was the John Harvard Visiting Fellow at Emmanuel College at the University of Cambridge.
Most of his research has been in the area of financial mathematics, and he is noted for his paper Martingales and Stochastic Integrals in the Theory of Continuous Trading, co-authored with J. Michael Harrison. He also has several books involving financial mathematics to his credit, including Introduction to Mathematical Finance: Discrete Time Models. In addition, he has published research in other areas including stochastic optimization, economics, and health services research.
Pliska was an undergraduate at the Massachusetts Institute of Technology and earned a Ph.D. at Stanford University in Operations Research. A highlight of his time at MIT was the investments class taught by Paul H. Cootner. Inspirational was the book he published at this time (1964), entitled The Random Character of Stock Market Prices. It was a collection of published papers including ones by Paul Samuelson and Henry McKean. Also included was the first English translation of the thesis Theory of Speculation, written by a French professor by the name of Louis Bachelier.
Nizar Touzi, PhD
Nizar Touzi is Professor of Applied Mathematics at Ecole Polytechnique since 2006. His research is focused on financial mathematics, stochastic control and stochastic differential games, and Monte Carlo approximation. He was an invited session speaker at the International Congress of Mathematicians (Hyderabad 2010). He received the Louis Bachelier prize of the French Academy of Sciences in 2012, and the Paris Europlace prize of Best Young Researcher in Finance in 2007. He is Co-editor and Associate Editor in various international journals in the fields of financial mathematics, applied probability, and control theory.
Dilip Madan, PhD | Treasurer/Secretary
Dilip Madan is Professor Emeritus of Mathematical Finance at the Robert H. Smith School of Business. Currently he serves as a consultant to Morgan Stanley, and Norges Bank Investment Management. He has also consulted with Citigroup, Bloomberg, the FDIC, Wachovia Securities, Caspian Capital, Meru Capital and Market Toppers.
He is a founding member and Past President (2000-2002) of the Bachelier Finance Society. He received the 2006 von Humboldt award in Applied Mathematics, was the 2007 Risk Magazine Quant of the year, received the 2008 Medal for Science from the University of Bologna and held the 2010 Eurandom Chair. He was inducted into the Circle of Discovery of the College of Computer, Mathematical and Natural Sciences in 2014. He has published over 200 papers, has served on the Advisory Board of Mathematical Finance (2013-2019), is Co-editor of the Review of Derivatives Research, and an Associate Editor for Quantitative Finance, among other Journals.
Eckhard Platen, PhD
Eckhard Platen is Professor Emeritus at the University of Technology Sydney, where he was holding the Chair in Quantitative Finance. He was Head of the Center for Financial Mathematics at the Institute of Advanced Studies at the Australian National University and Head of the Sector Stochastics at the Weierstrass Institute at the Academy of Sciences Berlin. His main research interests are in Mathematical and Quantitative Finance. He has co-authored three books on Numerical Methods for Stochastic Differential Equations, a book on his Benchmark Approach and a monograph on Functionals of Multidimensional Diffusions with Applications to Finance, all published at Springer Verlag. He has authored over 200 papers, held more than 90 visiting appointments and presented many invited keynote lectures at leading conferences. He founded and chaired for 25 years the Quantitative Methods in Finance conference series. Eckhard was President of the Bachelier Finance Society. He is or was Advisor, Co-Editor or Associate Editor of seven journals and a book series and is Fellow of the Australian Mathematical Society.
Philip Protter, PhD
Philip Protter is a Professor at Columbia University. His primary research interests include mathematical finance (capital asset pricing theory, the pricing and hedging of derivatives, liquidity issues, financial bubbles, insider trading, high frequency trading, and credit risk), stochastic integration theory, stochastic differential equation theory, numerical solutions of stochastic differential equations, discretization of stochastic processes (as a branch of mathematical statistics), backward and forward-backwards stochastic differential equations, Markov process theory, and filtering theory. He has authored or co-authored two textbooks and two research books. He is a Fellow of the Institute of Mathematical Statistics, a Fellow of the AAAS, and serves as Associate Editor of nine different journals over the years, and he is the former editor-in-chief of Stochastic Processes and their Applications. He was the 2007 Fulbright Distinguished Chair at the University of Paris (Dauphine). He has given many invited lectures, including the R. Von Mises Lecture, Humboldt Universitat, Germany (Inaugural Lecture), June 7, 2007; the Bullitt Lecture, University of Louisville, KY, April 3, 2008; and Lundis de la Connaissance, Nice, France, July 6, 2009. He has been a visiting member of the Institute of Advanced Study and an invited visitor at many Universities worldwide. He holds two best teacher awards.