Plenary III: Risk

David Heath 　 Carnegie Mellon University

Abstract

Management and control of risk is essential in many activities: the design of dams, the siting of nuclear reactors, inventory management, and the regulation of financial institutions, ... . Over the past few years, recent developments in the area of mathematical finance have led to new questions and new ideas in the management and control of risk. This talk will provide an introduction to these techniques and their application.

Brief Biography

David Heath received his PhD from the University of Illinois in 1969; his thesis advisor was Frank Knight. He then taught at the University of Minnesota for 5 years, received a CNRS-NSF grant to study in Strasbourg for one year, and then moved to Cornell University where he worked for 22 years. During this period, and during a one-year visit to U.C. Berkeley, he developed his interest in financial markets, working on several problems with Robert Jarrow. In the early '90s they initiated a program leading to a certificate in Financial Engineering. He moved to Carnegie Mellon University in 1997, where he is the Orion Hoch Professor in the Mellon College of Science.