Statistical Modeling in Finance 2006 Conference

Abstracts

Speakers

David Ruppert

Andrew Schultz, Jr., Professor of Engineering, and Professor of Statistical Sciences, Cornell University

Published Books:

Transformation and Weighting in Regression,
Measurement Error in Nonlinear Models,
Semiparametric Regression
Statistics and Finance: An Introduction,

Carol Alexander

Professor of Risk Management and Director of Research at the IMSA Center, the Business School of Reading University, U.K.

She holds an honorary professorship at the Academy of Economic Studies in Bucharest. She is Chair of the Academic Advisory Council of the Professional Risk Management International Association.

Professor Alexander has published numerous papers in international academic and professional journals. Her current research interests are in continuous and discrete time volatility and correlation analysis, hedge funds, multifactor pricing models and operational risk. She has edited several books, and is author of the best selling text book Market Models: A Guide to Financial Data Analysis. Since 1990 the professional side of Carol's career has focused on developing mathematical models for risk management and investment analysis.

Her consultancy work involves the design of software for risk management, portfolio optimization and trading.

E. Robert Fernholz

Chief Investment Officer, INTECH

Dr. E. Robert fernholz founded INTECH in June 1987 and has over 22 years of investment experience. In 1982, Bob published a paper titled, "Stochastic Portfolio Theory and Market Equilibrium," which became the basis for INTECH's investment process.

Prior to starting INTECH, he was Director of Research at Metropolitan Securities, and has held various academic positions in mathematics and statistics at Princeton University, the City University of New York, Universidad de Buenos Aires and the University of Washington. He speaks extensively on the topic of mathematical finance and his research continues to advance new and innovative ideas in the field. Bob earned an A.B. in Mathematics from Princeton University and received his Ph.D. in Mathematics from Columbia University.

Zvi Wiener

Senior Lecturer in Finance, The Hebrew University of Jerusalem.

Research: contingent claims, risk management, financial engineering, fixed income, ESO.

Consulting: developing risk management systems, risk measuring, structured financial products, investment banking, real options.

Gloria Gonzalez-Rivera

Professor of Economics, University of California, Riverside

Research: Econometrics, Time Series Analysis (theoretical and applied), Volatility modeling, financial econometrics, Risk Management. Stress testing

Teo Jasic

University of Karlsruhe, Germany

The Fox School of Business and Management