Members


The Center is governed by an Executive Committee, consists of the following members:
  • Karl Sigman, Director, Industrial Engineering and Operations Research ÷ Secretary
  • Awi Federgruen, Management Science and Operations Management ÷ Representative, Graduate School of Business
  • Ioannis Karatzas, Mathematics÷ Representative, Graduate School of the Arts and Sciences
  • David D. Yao, Industrial Engineering and Operations Research ÷ Representative, School of Engineering and Applied Science
Faculty
  • Jose Blanchet:  Applied Probability, Computational Finance, MCMC, Queneing Theory, Rare-Event Analysis, Simulation Methodology, and Risk Theory.
  • Mark Broadie: Option Pricing, Portfolio Selection and Investments, Numerical Methods
  • Sid Browne: Stochastic Control, Asset Allocation and Portfolio Theory, Risk Management, Stochastic Games.
  • Joel E. Cohen: Probability, Stochastic processes, Population dynamics
  • Edward G.  Coffman
  • Rama Cont: Stochastic Modeling and Computational Methods in Finance, Inverse Problems and Model Uncertainty, Random Graphs and Social Networks
  • Richard A. Davis: Applied Probability, Time Systems, Stochastic Processes   
  • George Deodatis: Risk analysis and management of civil infrastructure systems subjected to natural and technological hazards, stochastic mechanics
  • Cyrus Derman: Markovian Decision Processes, Reliability
  • Robert S. Erikson: Political Science
  • Awi Federgruen: Dynamic Programming, Markov Decision Processes, Logistics and Distribution
  • Guillermo Gallego: Stochastic Inventory, Dynamic Programming, Optimal Control
  • Paul Glasserman: Derivatives and Risk Management, Monte Carlo Methods
  • Takaki Hayashi: Financial Engineering; Derivatives Pricing/ Hedging, Risk Management, Investment Technology
  • Marc Henry: Time Series, Econometric Theory
  • Garud Iyengar: Stochastic Optimization, Applied Probability, Mathematical Finance, Information Theory, Communication Networks.
  • Predrag Jelenkovic:  Long-tailed/Subexponential/Long Dependent Traffic Models: Dynamic Channel Allocation Algorithms, Caching Algorithms, Advanced Reservation,  Packing Problems, and Information Theory
  • Ioannis Karatzas: Probability, Random Processes, Optimization, Mathematical Economics
  • Steve Kou: Simulation Theory, Mathematical Statistics, Applied Stochastic Processes, and Mathematical and Computational Finance
  • Aurel A. Lazar: Resource Allocation and Networking Games, Multiple Time Scales and Subexponentiality,Telecommunications
  • Costis Maglaras: Quantitative Pricing and Revenue Management, The Economics, Design, and Operations of Service Systems, and Financial Engineering
  • Ciamac Moallemi: Optimization and Control of Large-Scale Stochastic Systems: Service and Communications Networks, E-Commerce, Data-Mining, and Financial Enigneering
  • Mariana Olvera-Cravioto: Applied Probability, in particular, Stochastic Systems, Queueing Theory, Heavy-Tailed Distributions, Simulation, and Inventory Control.
  • Victor de la Pena: Probability, Martingales, De-Coupling Methods
  • Jay Sethuraman: Scheduling, Discrete Optimization and its Applications, and Applied Probability
  • Yongzhao Shao: Probability, Stochastic Optimization, Empirical Processes and their Applications, Limit Theorems, Statistical Estimation
  • Lawrence Shepp: Probabilistic, combinatorial, and statistical analysis of problems in physics and engineering, Computer tomography, Mathematical finance, Genetics
  • Karl Sigman: Queueing Theory, Stability Theory, Point Processes, Risk Theory
  • Suresh Sundaresan: Fixed Income Markets, Term Structure Theory, Auctions, Design and Valuation of Debt Contracts, Derivative Markets and Risk Management
  • Joseph Traub:Information Based Complexity, Limits to Scientific Knowledge, Average Case Analysis, Financial Computations
  • Garrett van Ryzin: Queueing Systems and Control, Stochastic Optimization, Logistics and Yield Management Applications
  • Jan Vecer: Financial Engineering, Option Pricing, Stochastic Optimal Control, Risk Management, Stochastic Processes
  • Ward Whitt: Stochastic processes, Queueing networks, Telecommunication applications
  • Henryk Wozniakowski: Computer Science, Complexity of Continuous Problems, Financial Computations
  • David D. Yao: Stochastic Models, Queues and Queueing Networks, Discrete Event Systems, Manufacturing and Telecommunication Applications
  • Assaf Zeevi: Stochastic Modeling and Statistics, and their applications to problems arising in service operations, Revenue Management and Financial Services.
Affiliated Members
  • Marco Avellaneda: (Courant Institute, New York U.) Partial differential equations, Mathematical finance
Corporate Affiliates
  • IBM Research
Postdoctoral Fellows
  • Reade Ryan: (PhD, Courant, NYU, 1996) Stochastic differential equations, Long range dependence
  • Andrew Lim: (2000), stochastic differential equations, mathematical finance/financial engineering
  • Wonjae Chang:  (2001) (TBA)