Faculty

Updated Sept. 11, 2007      Print Page

Financial Engineering Research by Schulich Faculty: The faculty have been at the forefront of research into the design, development and implementation of innovative instruments. These include: Management compensations Weather derivatives Valuation techniques and estimation procedures for interest rate process Measures of interest rate risk and its use in the banking industry Risk management and insurance at the individual level Correct after-tax valuation of derivative and fixed income insturments The innovation of financial instruments and market frictions New valuation techniques for exotic options, etc Estimation of the term structure of interest rate No arbitrage conditions in market with frictions.

Faculty who are teaching or have Research Interests in Financial Engineering: Cao, Melanie Cook, Wade D. Dong, Ming Eckford, Andrew Huang, Huaxiong Ku, Hyejin Madras, Neal Milevsky, Moshe Arye Prisman, Eliezer Z. Promislow, S. David Roberts, Gordon S. Salisbury, Tom Tian, Yisong van Breugel, Franck Wong, Augustine Wu, Yuehua Zhu, Hongmei

Cao, Melanie	Associate Professor of Finance Director, Financial Engineering Programme
Research Interests include:	Pricing and evaluation of derivative securities; weather derivatives; general equilibrium asset pricing
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Teaching in the FinEng:	FNEN 6820

Cook, Wade D.	Associate Dean, Research Professor of Management Science
Research Interests include:	Productivity of service organizations; productivity in the financial services setting; group decision making; decision problems involving multiple criteria; decision problems involving subjective preferences
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Teaching in the FinEng:	OMIS 6000

Dong, Ming	Associate Professor of Finance
Research Interests include:	Stock valuation modeling and applications; continuous time finance; option pricing
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Teaching in the FinEng:	Not at this time

Eckford, Andrew	Assistant Professor of Computer Science
Research Interests include:	Wireless networking and error-control coding for telecommunications.
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Teaching in the FinEng:	CSE 5910

Huang, Huaxiong	Professor of Mathematics and Statistics
Research Interests include:	Mathematical modeling and scientific computing, financial and industrial mathematics, biomathematics, fluid mechanics.
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Teaching in the FinEng:	Not at this time

Ku, Hyejin	Professor of Mathematics
Research Interests include:	Mathematical Finance and Applied Probability; pricing and hedging derivative securities, measures of risk, and risk management
Teaching in the FinEng:	MATH 6910

Madras, Neal	Chair, Department of Mathematics and Statistics Professor of Mathematics and Statistics
Research Interests include:	Probability theory and applications, Monte Carlo methods, mathematical models in physics and biology
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Teaching in the FinEng:	Not at this time

Milevsky, Moshe Arye	Director, The IFID Centre Associate Professor of Finance
Research Interests include:	Mathematical financial economics; exotic option pricing; income taxation and its effect on the pricing, hedging and trading of derivative securities; quantitative personal financial planning, in particular, investment strategies for retiring individuals; alternative paradigms for risk quantification and measurement of long term financial market investment returns; insurance derivatives
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Teaching in the FinEng:	Not at this time

Prisman, Eliezer Z.	Professor of Finance Nigel Martin Chair in Finance
Research Interests include:	Methodological and commercial use of symbolic computation for financial models; tax effects in the derivative and fixed income markets; arbitrage models; fixed income securities term structure estimation and immunization; use of financial econometrics for medical decision making
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Teaching in the FinEng:	FNEN 6210 and  FNEN 6810

Promislow, S. David	Professor of Mathematics and Statistics
Research Interests include:	Functional analysis, group theory, actuarial mathematics, financial mathematics
Teaching in the FinEng:	Not at this time

Roberts, Gordon S.	Professor of Finance CIBC Professor of Financial Services
Research Interests include:	Banking; fixed income securities
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Teaching in the FinEng:	Not at this time

Salisbury, Tom	Professor of Mathematics and Statistics
Research Interests include:	Brownian motion, Markov processes
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Teaching in the FinEng:	Not at this time

Tian, Yisong	Professor of Finance
Research Interests include:	Value and incentive effects of executive stock options, pricing and efficiency of exchange-traded funds, subordinated binomial option pricing models
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Teaching in the FinEng:	FNEN 6850

van Breugel, Franck	Assistant Professor of Computer Science
Research Interests include:	Concurrency
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Teaching in the FinEng:	CSE 5910

Wong, Augustine	Director of Graduate Program in Mathematics and Statistics Professor of Statistics
Research Interests include:	Likelihood methods; asymptotic theory of statistics; inference; statistical computing
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Teaching in the FinEng:	Not at this time

Wu, Yuehua	Professor of Statistics
Research Interests include:	Linear models - model selection; asymptotics - m-estimation; multivariate analysis - signal processing; time series - applications
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Teaching in the FinEng:	Not at this time

Zhu, Hongmei	Assistant Professor of Mathematics and Statistics
Research Interests include:	Time series analysis; filtering techniques; pattern recognition; time-frequency analysis; factor analysis; and signal and image processing.
Teaching in the FinEng:	Not at this time