McCormick Faculty with Primary Focus in Financial Engineering

Vadim Linetsky is Orrington Lunt Professor and Professor of Industrial Engineering and Management Sciences at McCormick School of Engineering and Applied Science at Northwestern University. He holds a PhD in mathematical and theoretical physics from the P.N. Lebedev Physics Institute of the Russian Academy of Sciences. His research interests are in mathematical finance and stochastic modeling. He is currently co-Editor of Mathematical Finance and Associated Editor of Management Science, past Associate Editor of Mathematics of Operations Research and Operations Research and past Area Editor of Operations Research Letters. He has published widely on mathematical models of financial markets.

Jeremy Staum, Associate Professor of Industrial Engineering and Management Sciences and Pentair-Nugent Professor, is an expert in financial engineering and computer simulation. His research group creates simulation algorithms for risk management. He has also worked on methods for pricing derivative securities when the resulting risks can not be thoroughly hedged. He is currently studying risk management of financial networks. His research has been funded by the Federal Deposit Insurance Corporation, the National Science Foundation, and the National Security Agency.

McCormick Faculty who Apply their Research to Financial Engineering

John R. Birge, Adjunct Professor of Industrial Engineering and Management Sciences and Jerry W. and Carol Lee Levin Professor of Operations Management at The University of Chicago Booth School of Business, is an expert in stochastic optimization and its applications in financial engineering. His research interests include portfolio optimization, asset liability management, interaction of financial and operational decisions, and integrated credit and market risk management. He has consulted with CalPERS, Deutsche Bank, Morgan Stanley, and Moody's KMV in the area of portfolio optimization.

Ming-Yang Kao, Professor of Electrical Engineering and Computer Science, is an expert in computer science. His research interests include applications of computer science concepts and techniques to finance.

Diego Klabjan, Professor of Industrial Engineering and Management Sciences, and Director, Master of Science in Analytics, excels in optimization, machine learning, and stochastic modeling. He has collaborated with The Chicago Mercantile Exchange Group on analytics problems and is applying stochastic optimization to options contracts.

Sanjay Mehrotra, Professor of Industrial Engineering and Management Sciences, is an expert in mathematical programming and optimization methodologies. He is currently working on robust and stochastic optimization approaches to asset-liability management problems, and he has developed stochastic nonlinear (semidefinite and convex) models and algorithms for such problems.

Barry L. Nelson, Industrial Engineering & Management Sciences Department Chairperson and the Charles Deering McCormick Professor of Industrial Engineering and Management Sciences, is an expert in the design and analysis of computer simulation experiments with a particular focus on problems requiring precise results and quantifiable precision. Nelson and Staum direct a research group that develops computationally efficient Monte Carlo simulation algorithms for firm-wide risk measurement and for evaluating the performance of derivatives hedging and trading strategies.

Jorge Nocedal, Director of the Computational Science Institute and Professor of Industrial Engineering and Management Sciences, is an expert in numerical analysis and optimization methodologies. He is a senior scientist at Ziena Optimization, Inc., whose KNITRO software is widely used in the investment industry for portfolio optimization applications. He is currently consulting Intel on designing chips to handle computationally intensive financial problems.

W. Edward Olmstead, Professor of Engineering Sciences and Applied Mathematics, is an expert in applied mathematics and partial differential equations. He has worked on applied options trading strategies, has written a regular options strategies column for an investment newsletter, and has recently published a book titled Options for the Beginner and Beyond.

Faculty in Other Schools at Northwestern University with Research Interests Related to Financial Engineering

Torben Andersen Elton Hsu
Ravi Jagannathan Robert Korajczyk
Robert McDonald Costis Skiadas
Viktor Todorov