---------- Forwarded message ----------
Date: Tue, 3 Oct 2000 09:02:38 -0400 (EDT)
From: Steven E Shreve <shreve@matt.math.cmu.edu>
To: David Heath <heath@andrew.cmu.edu>
Cc: shreve@cmu.edu
Subject: Re: CCF news and requests

Dear Dave:

Here is the information you need from me for the CCF webpage.

Steven E. Shreve
Department of Mathematical Sciences
Carnegie Mellon University
Pittsburgh, PA  15213-3890

E-mail: shreve@cmu.edu
Direct Telephone: 412-268-8484
Department Telephone: 412-268-2545
Fax: 412-268-6380

On Fri, 29 Sep 2000, David Heath wrote:

> Members of the Center for Computational Finance,
> 
> We're moving forward ...
> 
> 1)  Bio request:  I've been working on the new website and we're now ready
> to use the brief faculty bios.  As you may recall, we'd like these to be
> written specifically for the Center.

STEVEN SHREVE
My Ph.D. is in mathematics from the University of Illinois, and I also
hold an M.S. degree in electrical engineering and a B.A. degree in German.
My research has centered around stochastic control, and in 1980 I began
work with John Lehoczky on extensions of the Merton capital asset pricing
model, which is really a problem in stochastic control.  Since that time,
I have worked on the effect of transaction costs and uncertain
volatility in the Black-Scholes model and the pricing and hedging of
exotic options.  More recently, I have become interested in credit
derivatives and credit risk.

In 1991 I founded the Ph.D. program in Mathematical Finance at Carnegie
Mellon, and was a member of the committee which founded the Master's
degree program in Computational Finance in 1994.  My  role in the
Master's program is teaching courses on stochastic calculus methods which
underly the models for equity and interest rate derivatives.  I also teach
two-day courses for RISK on stochastic calculus models for finance.
With Ioannis Karatzas, I have coauthored the books "Brownian Motion and
Stochastic Calculus" and "Methods of Mathematical Finance."

> 
> 2)  Sample bios:  I've enclosed three examples below.  We'd line one or
> two paragraphs for each.
> 
> 3)  Picture request:  If you have an electronic picture suitable for use
> (perhaps it's part of another website) please include it or its location.
> 

There is a picture of me on the webiste of the Department of Mathematical
Sciences:
http://www.math.cmu.edu/math/people/shreve.html

> 4)  More detailed website request:  If you have a website you already
> maintain, please include this in your reply and we'll add it to the CCF
> page.

I maintain my website at
http://www.math.cmu.edu/users/shreve/

> 
> Please send your responses to me and I'll be sure that they are sent to
> the constructor of the website.
> 
>                           Thanks!
> 
>                             Dave Heath
> 
> 
> 
> 
> 
> 
> Professor Roy Nicolaides (Ph. D. University of London 1972):  I am a
> specialist in computational mathematics. My major interest is in
> computational techniques for partial differential equations. Prior 1995 I
> worked mainly on computational and numerical methods in fluid dynamics,
> electrodynamics and other fields. In 1995 Professor Shreve invited me to
> teach a course on numerical methods for finance problems in our MSCF
> program. Teaching this course was an eye opening experience and I learned
> that computational finance is a field with many novel and challenging
> computational difficulties. I have taught this course every year since
> 1995 and its content continues to evolve. During this time period I have
> had one doctoral student whose thesis was on computational finance
> problems and I am coadvising another. I am also currently at work on a
> book on numerical methods in mathematical finance. My current research
> centers around a spectral method for CIR models. This approach does not
> require the domain to be truncated and produces a smooth function rather
> than a table of numbers as its output.
> 
> 
> Professor Michael Gallmeyer (Ph.D. University of Pennsylvania 1998): I
> am a specialist in continuous-time asset pricing where my main interest
> is the equilibrium effect of market imperfections on security prices and
> investor behavior. My work focuses on several types of market frictions
> including differential taxation across investors, heterogeneous beliefs
> about security returns, and incomplete markets. My current research
> centers around market manipulation induced by over the counter
> derivative positions as well as the valuation of stocks with uncertain
> growth opportunities when investors have diverse opinions about the
> stock's prospects.
> 
> Professor David Heath (Ph.D. University of Illinois 1969):  I am a
> specialist  in applied probability; I began working in financial 
> applications in 1977. Many of my PhD students are employed in the
> financial industry.  I  am a co-author of the HJM framework for term
> structure modelling, which I teach in
> the MSCF program at CMU, and continue to work on models for the
> fluctuations of securities prices.  More recently my principal research
> interest has been in risk measurement, management and control, where my
> colleagues and I have introduced and studied coherent measures of risk.
> I am a Fellow of the PriceWaterhouseCoopers Risk Institute and a member of
> the boards of directors of Lehman Brothers Financial Products and Lehman
> Brothers Derivative Products.
>