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Dec. 4: Shreve Named Hoch Chair


Lauren Ward

Amy Pavlak

Steve Shreve Appointed Orion Hoch Chair
Of Mathematical Sciences at Carnegie Mellon

Appointment Recognizes Leadership in Computational Finance Research and Education    

PITTSBURGH—Steve Shreve, internationally recognized for research in computational finance, has been appointed the Orion Hoch Chair of Mathematical Sciences at Carnegie Mellon University.    

"Steve Shreve is the foundation of our university's leadership in the field of computational finance," said Richard D. McCullough, dean of the Mellon College of Science (MCS). "He is universally considered a pioneer in this field, both in conducting research and in educating students to assume key positions in industry and academia."   

Steve ShreveComputational finance is a field in which a deep knowledge of mathematics, statistics and probability is applied to problems in finance.    

Steve has guided the development of a complete curriculum in computational finance, including innovative bachelor's, master's and doctor's degrees," said Roy Nicolaides, head of the Department of Mathematical Sciences. "In addition to this singular achievement, he is arguably among the top 10 leaders in his field."

Shreve came to Carnegie Mellon in 1980 as assistant professor of mathematical sciences and became a full professor in 1989. He received a master's degree in electrical engineering and a doctorate in mathematics in 1977 from the University of Illinois. His bachelor's degree in German is from West Virginia University. Before joining Carnegie Mellon, Shreve held appointments at the University of California, Berkeley, and the University of Delaware.  

Shreve's work in quantitative finance has established new methods for pricing exotic derivative securities, including knock-out options, a type of derivative security whose payoff can see a large jump as a result of a small change in the underlying asset price. Shreve has contributed to the basic understanding of convertible bond prices and dealt with mathematical models of markets in which financial risk cannot be hedged using available securities. While at Carnegie Mellon, Shreve joined John Lehoczky, dean of the College of Humanities and Social Sciences, to apply his work in process engineering to financial problems. Together, they built on the work of Nobel Laureate Robert Merton to show how to form optimal portfolios of stocks in an unstable, unpredictable climate.     

In 1991, Shreve founded the doctoral program in computational finance, which currently has 12 students. He is also one of the founders of the Master of Science in Computational Finance (MSCF) program, now in its 12th year. Considered by many to be the top quantitative finance program in the country, the MSCF is an intensive, 17-month course of study with an internship component. All graduates of the MSCF in 2006 obtained jobs, with a median starting salary of $95,000, excluding bonuses.     

This fall, Shreve is overseeing the launch of an integrated Bachelor of Science in Computational Finance (BSCF) program. The BSCF brings together the highly ranked Department of Mathematical Sciences, the Tepper School of Business (ranked third internationally in 2006 by the Wall Street Journal); and the H. John Heinz III School of Public Policy and Management, which is consistently ranked in the top 10 by U.S. News and World Report magazine. The BSCF is designed to meet the increasing worldwide demand for individuals trained to develop math-based tools for the finance industry.    

During his tenure at Carnegie Mellon, Shreve has received accolades on many fronts. His most recent book, "Stochastic Calculus for Finance II: Continuous-Time Models," was named "New Book of the Year in Quantitative Finance" by Wilmott magazine, the leading Web resource for the academic and professional quantitative finance community. Shreve is president-elect of the Bachelier Finance Society, the world's leading professional society for quantitative finance. He is also principal investigator on projects that have received more than $1.7 million in funding from the National Science Foundation to conduct research in the mathematics of financial risk management and to support postdoctoral studies in the field.

Shreve succeeds David Heath, who held the chair from its inception in 1999 until his retirement this past spring. Heath co-developed the Heath-Jarrow-Morton model, a widely adopted tool used to consistently price financial instruments that depend on bond yields.    

The chair is named for philanthropist and industrialist Orion Hoch, who is chairman emeritus and a director of Litton Industries, a leading aerospace and defense company. Hoch received his bachelor of science in physics from Carnegie Mellon in 1952 and his doctorate from Stanford in 1957. Throughout the years, he has served Carnegie Mellon in various capacities. Elected a trustee in 1985 and a life trustee in 1991, Hoch is now an emeritus life trustee. He has also served on the MCS Advisory Board and the Physics Advisory Board.    

For more information about computational finance programs at Carnegie Mellon, visit (BSCF), (MSCF) and (Ph.D.).