Harvard Statistics Summer Retreat

Biographical Information

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.

Stephen Blyth, Vice President at Harvard Management Company

Dr. Stephen Blyth is Vice President, International Fixed Income, of the Harvard Management Company, the wholly-owned subsidiary of Harvard University which is responsible for the management of the University's endowment and related accounts. He is also a member of the faculty of the Department of Statistics. Before joining Harvard in October 2006, Stephen was a Managing Director and head of the Proprietary Trading Group at Deutsche Bank in London, leading a team of professionals trading across global fixed income markets. Stephen joined Deutsche Bank in May 2003 from Morgan Stanley in New York where he was Managing Director in the Interest Rate Group, trading US interest-rate derivatives. He was previously Vice President in the Specialized Derivatives Group at HSBC. Stephen holds a PhD in Statistics from Harvard University and an MA in Mathematics from Christ's College, Cambridge University. After graduating from Harvard, he was a Lecturer in the Department of Mathematics at Imperial College London. Stephen has published in both academic and industry journals and is a frequent invited speaker at international finance conferences.

John Y. Campbell, Morton L. and Carole S. Olshan Professor of Economics, Department of Economics, Harvard University, a Board Member of Harvard Management Company

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 MarketsStrategic 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.

Emanuel Derman, Professor, Industrial Engineering & Operations Research, Columbia University, Head of Risk at Prisma Capital Partners

Emanuel Derman is a professor at Columbia University and director of their program in financial engineering, and is also the Head of Risk at Prisma Capital Partners, a fund of funds. His book, My Life as A Quant: Reflections on Physics and Finance was published by Wiley in September 2004, and was one of Business Week's top ten books of the year for 2004. Dr. Derman obtained a Ph.D. in theoretical physics from Columbia University in 1973. Between 1973 and 1980 he did research in theoretical particle physics, and from 1980 to 1985 he worked at AT&T Bell Laboratories. In 1985 Dr. Derman joined Goldman Sachs' fixed income division where he was one of the co-developers of the Black-Derman-Toy interest-rate model. From 1990 to 2000 he led the Quantitative Strategies group in the Equities division, where they pioneered the study of local volatility models and the volatility smile. He was appointed a Managing Director of Goldman Sachs in 1997. In 2000 he become head of the firm's Quantitative Risk Strategies group. He retired from Goldman, Sachs in 2002. Dr. Derman was named the IAFE/Sungard Financial Engineer of the Year 2000, and was elected to the Risk Hall of Fame in 2002.

Mohamed A. El-Erian, President and CEO of Harvard Management Company

Mohamed A. El-Erian is president and CEO of Harvard Management Company (HMC). El-Erian serves as a member of the faculty of Harvard Business School and as deputy treasurer of the University, providing advice to the president, CFO, and other administrators on Harvard's management of its financial resources. Prior to joining HMC, El-Erian, was a managing director at Pacific Investment Management Company (PIMCO), the institutional money manager specializing in fixed income management with over $600 billion in assets under management. He is a former managing director of Salomon Smith Barney/Citibank in London, where he oversaw the emerging markets economic research team in London. He spent 15 years, from 1983 to 1997, with the International Monetary Fund (IMF), leading policy work on debt and country issues. He has published widely on international economic topics. El-Erian has served on several boards, including the Emerging Markets Traders Association (EMTA) and the International Center for Research on Women. He is also a member of the U.S. Treasury Borrowing Advisory Committee and the IMF's Capital Markets Consultative Group. El-Erian earned a B.A. in economics from Cambridge University and doctoral and master's degrees in economics from Oxford University.

Jim Gatheral, Managing Director at Merrill Lynch, Adjunct Professor at Courant Institute NYU, Author of The Volatility Surface: A Practitioner's Guide

Jim Gatheral is a Managing Director at Merrill Lynch and an Adjunct Professor at the Courant Institute of Mathematical Sciences, NYU. Dr. Gatheral obtained a Ph.D. in theoretical physics from Cambridge University in 1983. A veteran of derivatives markets, Dr. Gatheral has been involved in all of the major derivative product areas as bookrunner, risk manager and quantitative analyst in London, Tokyo and New York. Between 1996 and 2005, Dr. Gatheral led the Equity Quantitative Analytics Group at Merrill Lynch. His current research is in equity market microstructure and algorithmic trading. Dr. Gatheral is a frequent speaker at both practitioner and academic conferences around the world. His recent bestselling book, The Volatility Surface: A Practitioner's Guide was editor's choice in Wilmott Magazine and has become a standard reference for practitioners, academics and students alike.

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.

Andrew Lo, Harris & Harris Group Professor, MIT Sloan School of Management, the Founder of AlphaSimplex Group, LLC

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.

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.

Andrew J. Morton, Head of European Fixed Income, Lehman Brothers

Andrew J. Morton is a managing director and head of Fixed Income, Europe at Lehman Brothers. Andy joined Lehman Brothers in 1993 as head of Fixed Income Derivatives Research. In 1997 he moved into trading, and in 1999, relocated to London to run European Fixed Income Derivatives. Andy was appointed co-head of Fixed Income, Europe in February 2004, and took on sole responsibility for the division in January 2007. During his academic career, prior to joining Lehman Brothers, Andy pursued a research programme focused on mathematical finance at the University of Illinois Chicago (1989-1992) and then under a visiting appointment at the University of Michigan (1992-1993). Andy is a co-developer of the Heath, Jarrow and Morton interest rate model, the widely-used framework for the valuation of interest rate derivatives. He holds a BA in Mathematics from the University of Waterloo and a PhD in Applied Probability from Cornell University.

Jan Vecer, Associate Professor, Department of Statistics, Columbia University

Professor Jan Vecer received his PhD in Mathematical Finance from Carnegie Mellon University. He held academic jobs at the University of Michigan and Kyoto University before joining the faculty of the Department of Statistics, Columbia University in 2001. He works in various areas within the fields of Financial Statistics, Financial Engineering and Applied Probability. These areas include Option Pricing, Optimal Trading Strategies, Stochastic Optimal Control, and Stochastic Processes. The method he developed for pricing Asian Options is widely used both in academia and the finance industry as a benchmark.