Research Areas
Applications of probability; statistical modeling; mathematical finance; modeling of price processes
Current Projects
Empirical and theoretical investigation of price processes
Representative Publications
The Cauchy-Schwarz Master Class. Cambridge University Press, 2004.
Stochastic Calculus and Financial Applications. Springer Verlag: New York, 2001.
Probability Theory and Combinatorial Optimization. Society for Industrial and Applied Mathematics, 1997.
Education
PhD, Stanford University, 1975; BA, Cornell University, 1971
Career and Recent Professional Awards; Teaching Awards
Fellow, Institute for Mathematical Statistics, 1984; Fellow, American Statistical Association, 1989; Frank Wilcoxon Prize, American Society for Quality Control and the American Statistical Association, 1990
Academic Positions Held
Wharton: 1990-present (named C.F. Koo Professor, 1991). Previous appointments: Princeton University; Carnegie Mellon University; Stanford University; University of British Columbia. Visiting appointments: University of Chicago, Columbia University
