Carnegie Mellon University

An Interview with Martin Larsson

By Ed Barr

How Do You Replace A Legend?

Martin Larsson smiles easily. He is relaxed when I interview him on Zoom, sitting in his den, a whiteboard in the back, outlining his next course.  You can feel his warmth, even without a fireplace in the room.  It’s in his eyes and smile. This is a guy who’s relaxed, comfortable in his own skin, and in his new role.

Martin has the unenviable task of replacing a legend, Steve Shreve, in the MSCF program. I ask him how it feels to be in this position.  “It feels good,” he says. “Steve’s a legend, not just in academia. I know him from the research community, where he’s also a legend. He’s done influential research and written many important papers. Now I know him in a different environment, MSCF and industry side. I hadn’t seen that.  I get a broader sense of his reputation every day.”

Martin has worked around legends.  “Steve reminds me in many ways of Paul Embrechts, a successful academic and a legend in banking, actuarial science, and risk in Zurich and its big banks. He also makes me think of Robert Jarrow (a person we’ll hear about later).”

Martin came to CMU from Zurich, Switzerland, a year and a half ago, where he was Assistant Professor at ETH Zurich for five years.  He went to college in Sweden at Lund University in an engineering program known as Engineering Mathematics. He completed his Master's in Zurich in a program offered jointly by ETH Zurich and the University of Zurich in the Master of Advanced Studies in Finance (which has since changed its name to Master of Science in Quantitative Finance). He completed his Ph.D. at Cornell in Operations Research and Information Engineering studying under the famed Robert Jarrow, one of the people who invented the Heath-Jarrow-Morton framework for interest rates, one of the standard approaches to interest rate modeling. Martin then spent two years as a postdoc at the Swiss Finance Institute in Lausanne, Switzerland. And now, we have him.

Pittsburgh seems a long way from the small town outside Stockholm where Martin grew up.  When I commented that he has great command of the English language, Martin said, “Language was always important to me.  Perhaps because my mother was a teacher of German and Swedish.  I was very interested in languages and almost majored in it.  Like the other kids, I watched the movies and TV and tried to learn the idioms.” 

Speaking of idioms, while studying for his masters, Martin met his wife-to-be, Lisa, who is from Marquette, Michigan, in the USA.  “She helps me get my idioms right,” he said. “She is also 3/8ths Swedish, according to her dad.  She did her Ph.D. at McGill in Canada and now works out of Pittsburgh, running a remote team.”

I asked Martin, “What makes you get up and go every morning? He answers, “Excellent oatmeal,” and we both laugh.  When we both mature-up, he says, “There’s a lot going on. There’s my research, work with grad students and a postdoc. I really like what I do.  Like all academics, I have a tremendous privilege to decide what I want to do every day. Your work is your hobby, right?”

What does his research entail? “CMU has fantastic math, computer science, machine learning, and statistics. I’m interested in how various ideas, concepts and tools developed by people doing mathematical finance can be used to tackle problems in statistics. I’m working with one of the professors in stats and machine learning. It turns out that there are all these fascinating connections that I am excited about.”  To illustrate, a recent talk of Martin’s was titled, “Trading analogies for sequential learning.”

Martin describes himself as a man with a competitive streak.  A soccer player at an early age, Martin saw STEM courses in high school that appealed to his competitive nature. When I questioned him about soccer, he said, “I don’t follow it that closely anymore, but I thought I’d have to learn a lot about the Steelers when I moved to Pittsburgh.”

Martin is now teaching Continuous Time Finance, sort of “Sto-Cal Light,” as he put it. He will be teaching Risk Management, taking it from Steve. The Sto-Cal courses are being adjusted in response to changes in industry and the needs of our students as reflected in their comments about their internships and jobs.

I asked Martin what he believes makes a great teacher. He quickly said, “When the students have ‘moments of understanding, ‘ when they have gained insights and understood things they didn’t understand before. But more importantly, it’s respect for the students.  The Faculty Course Evaluations ask something like this, ‘Did you feel that the teacher showed respect to everyone in the class?’ It’s extremely important. It’s the first one I look at. If they don’t feel respected, I feel I haven’t done a good job.”

About the MSCF program, Martin says, “This program exists to prepare the students with the skills to do the work. The program has been very successful in delivering it. It has been able to adjust its content to respond to changes in what employers are looking for. We will continue to do this. It’s key: respond to change. There are so many roles in finance, all different. We need to give the students the ability to learn, refine their job’s skills, quickly and efficiently. Give them the basics so that they can do that. Move with the environment but don’t overreact to the changes in the environment.”

“The MSCF program was built from the ground up by pioneers like Steve Shreve,” Martin continued. Now, more than 25 years after its founding, it has become an institution in and of itself. It has an outstanding reputation. It is in an excellent position to continue to move forward and adapt to an ever-evolving industry. The ingredients that made the MSCF program so successful are and will continue to be present: deeply dedicated people, close collaboration across disciplines, and tight connections with industry -- especially with our alumni community. 

Still, the question everyone asks is, “How can anyone possibly replace Steve Shreve?”

Martin responds, “Steve is not disappearing but he needs to be allowed to move toward retirement. While he will leave the Steering Committee, he will still do some teaching. He’s worked so hard helping to start all this and making it a successful enterprise. We owe it to him to ensure that this program will continue to prosper without his day-to-day involvement.” Martin Larsson brings the credentials to do just that.

In fact, when asked about Martin, Steve Shreve said, “Martin Larsson is a first-rate mathematician working in the field of quantitative finance.  He is an excellent teacher, a visionary, and a man with high ethical standards. It is time for younger, creative, energetic leadership of the MSCF program, and I can think of no one more qualified for that role than Martin.”

As I chat with Martin, feel his enthusiasm and energy, I know how he will deal with any questions about replacing the legendary Steve Shreve. Martin Larsson will become a legend of his own.