Paul Glasserman To Present Carnegie Mellon's Nash Lecture in Quantitative Finance
By Jocelyn Duffy
PITTSBURGH—Paul Glasserman, Columbia University business professor and adviser to the U.S. Treasury's Office of Financial Research, will present Carnegie Mellon University's seventh Nash Distinguished Lecture in Quantitative Finance. His lecture, titled "Systemic Risk and the Risk Management Paradox," will be held at 4:30 p.m., Monday, Oct. 6 in McConomy Auditorium on Carnegie Mellon's Oakland campus. The lecture is free and open to the public.
As participants in financial markets become more sophisticated in how they measure risk, they become more nimble in responding to it. Paradoxically, this can make the system less stable. In his lecture, Glasserman will discuss systemic risk and stabilizing countermeasures, emphasizing old and new tools from quantitative finance that can be used to assess risk.
Glasserman is the Jack R. Anderson Professor of Business at Columbia Business School. He also serves as the research director of the Program for Financial Studies and is a member of the Financial Analytics Center in Columbia's Institute for Data Sciences and Engineering. He held a visiting position at the Federal Reserve Bank of New York from 2008 to 2009 and works with the Office of Financial Research in the U.S. Treasury, an independent agency created by the Dodd-Frank Act to monitor financial stability.
Glasserman is the author of "Monte Carlo Methods in Financial Engineering," which received the 2006 Lanchester Prize and the 2005 I-Sim Outstanding Publication Award. He is a past recipient of the Young Investigator Award from the National Science Foundation, IBM University Partnership Awards, the TIMS Outstanding Simulation Publication Award, the Erlang Prize, the IMS Medallion from the Institute of Mathematical Statistics, a fellowship from the FDIC Center for Financial Research, and the Wilmot Award for Cutting-Edge Research in Quantitative Finance. In 2007, he was named Risk Magazine's Quant of the Year.
This biennial lecture is named after John F. Nash, Jr., who in 1948 earned his bachelor's and master's degrees in mathematics from Carnegie Institute of Technology and his doctoral degree from Princeton University in 1950. In 1994, Nash, along with John Harsanyi and Reinhard Selten received the Nobel Prize in Economic Sciences for their pioneering analysis of equilibria in the theory of non-cooperative games. This work, sometimes called the Nash Equilibrium, has greatly influenced research in economics and finance.