Harvard Statistics Summer Retreat

Keynote and Plenary Speakers

John Y. Campbell, Morton L. and Carole S. Olshan Professor of Economics, Department of Economics, Harvard University

John Y. Campbell grew up in Oxford, England, and received a BA from Oxford in 1979. He came to the United States to attend graduate school, earning his PhD from Yale in 1984. He spent the next ten years teaching at Princeton, moving to Harvard in 1994. Campbell has published over 70 articles on various aspects of finance and macroeconomics, including fixed-income securities, equity valuation, and portfolio choice. His two books, The Econometrics of Financial Markets (with Andrew Lo and Craig MacKinlay, Princeton University Press 1997) and Strategic Asset Allocation: Portfolio Choice for Long-Term Investors (with Luis Viceira, Oxford University Press 2002), have both won Paul Samuelson Awards for Outstanding Scholarly Writing on Lifelong Financial Security from TIAA-CREF. Campbell has co-edited the American Economic Review and the Review of Economics and Statistics. He is a Fellow of the Econometric Society and the American Academy of Arts and Sciences, a Research Associate and former Director of the Program in Asset Pricing at the National Bureau of Economic Research, and served as President of the American Finance Association in 2005. At Harvard, Campbell is a member of the board of the Harvard Management Company. He is also a founding partner of Arrowstreet Capital, LP, a Cambridge-based quantitative asset management firm specializing in global equities.

Andrew Lo, Harris & Harris Group Professor, Director, MIT Laboratory for Financial Engineering, MIT Sloan School of Management

Andrew Lo is a widely recognized expert in financial engineering and computational finance. He is the director of the MIT Laboratory for Financial Engineering, a research partnership between academia and industry designed to support and promote quantitative research in finance. He is co-author of The Econometrics of Financial Markets (Princeton University Press, 1997). This textbook develops the most important mathematical and statistical tools for implementing such financial models as portfolio optimization, linear factor-pricing models, term structure theories, and the pricing and hedging of derivative securities. Lo also co-authored A Non-Random Walk Down Wall Street (Princeton University Press, 1999), which brings together his studies of the violations of the Random Walk Hypothesis and describes the implications for predicting stock market performance. Lo is also the founder of AlphaSimplex Group, LLC (ASG), a quantitative investment management company based in Cambridge, Massachusetts.

Sheldon Ross, Epstein Chair Professor, Department of Industrial and Systems Engineering, University of Southern California.

Sheldon Ross is one of the world's leading experts in applied probability, simulation and financial engineering. He joined the Department of Industrial and Systems Engineering in August of 2004, and was previously a Professor of Industrial Engineering and Operations Research at University of California at Berkeley. Ross received his Ph.D in statistics from Stanford University in 1968, and has published more than 100 technical articles as well as a variety of textbooks in the areas of applied probability, statistics, and industrial engineering. He is the founding and continuing editor of the journal Probability in the Engineering and Informational Sciences, a fellow of the Institute of Mathematical Statistics, and a recipient of the Humboldt U.S. Senior Scientist Award.

Instructors

Jose Blanchet, Assistant Professor, Department of Statistics, Harvard University

Jose Blanchet holds a M.Sc. in Engineering-Economic Systems and Operations Research and a Ph.D. in Management Science and Engineering, both from Stanford University. He also holds two B.Sc. degrees: one in Actuarial Science and another one in Applied Mathematics from ITAM (Mexico). Prior to joining Stanford, Blanchet worked for two years as an analyst in Protego Financial Advisors, a leading investment bank in Mexico, where he was responsible for the design of quantitative models in mergers and acquisitions of major firms in several industries. Blanchet has research interests in applied probability, computational finance, performance engineering, queueing theory, risk management, rare-event analysis, statistical inference, stochastic modeling, and simulation.

Rustam Ibragimov, Assistant Professor, Department of Economics, Harvard University

Rustam Ibragimov received his Ph.D. in Economics from Yale University. He also holds a Ph.D. degree in Mathematics from the Uzbek Academy of Sciences. Ibragimov's current research focuses on a unified analysis of a number of models in econometrics, economic theory and risk management under heavy-tailedness, dependence and nonlinearity. His Ph.D. dissertation and recent papers deal with development of new majorization theory for thick-tailed risks and applications of copulas and martingale convergence methods.

Samuel Kou, John L. Loeb Associate Professor of the Natural Sciences, Department of Statistics, Harvard University

Samuel Kou is widely recognized for his expertise in stochastic modeling and statistical inference in finance, biology and chemistry. He is also a leading researcher in Monte Carlo and nonparametric statistical methods. Samuel Kou received his Ph. D. in statistics from Stanford University, upon the completion of which he joined Harvard University as an Assistant Professor of Statistics. He is currently the John L. Loeb Associate Professor of the Natural Sciences. Besides research articles, Samuel Kou's scholarly contributions have been widely recognized by invitations to speak at renowned finance conferences, such as Risk USA congresses. He is a recipient of the National Science Foundation CAREER award.

Yoonjung Lee, Assistant Professor, Department of Statistics, Harvard University (Summer Retreat Program Chair)

Yoonjung Lee has a joint Ph.D. in Statistics and Finance from the University of Wisconsin, Madison. Prior to joining Harvard she was a Visiting Assistant Professor at the Financial Engineering Program in the School of Operation and Industrial Engineering at Cornell University, where she taught a consulting course sponsored by Credit Suisse and First Boston. She has also served as a pricing analyst in Aquila Inc., modeling energy derivatives. Her research interests focus on the applications of stochastic process in financial modeling, in particular, in the areas of the market microstructure, high-frequency data modeling, liquidity risk and credit risk modeling. Her theoretical interests include non-linear filtering and stochastic partial differential equations.

Jun Liu, Professor, Department of Statistics, Harvard University

Jun Liu is Professor of Statistics at Harvard. He was the recipient of the 1995 NSF Career Award and the 2002 COPSS (Committee of Presidents of Statistical Societies) Award. He is a leading expert on Monte Carlo methods and is responsible for the general mathematical formulation of sequential Monte Carlo, which has found a broad array of applications ranging from financial data modeling to computational biology. He is also well-known in the emerging field of bioinformatics and computational biology.

Xiao-Li Meng, Professor and Chair, Department of Statistics, Harvard University

Xiao-Li Meng is Professor and Chair of the Department of Statistics at Harvard University. He was the recipient of the 2001 COPSS Award, and was ranked (by Science Watch) among the world's top 25 most cited authors for articles published and cited during 1991-2001 in mathematical sciences. He is generally regarded as a world leading authority on statistical analysis with missing data, Bayesian modeling, statistical computation, in particular Markov chain Monte Carlo and EM-type algorithms.