Discussion: Professor Darrell Duffie, Stanford Graduate School of Business
Speaker: Professor Peter Carr, Tandon School of Engineering, New York University, A Half-Century of Derivatives Pricing
Lars Peter Hansen is David Rockefeller Distinguished Service Professor in Economics, Statistics, Booth School of Business & The College, University of Chicago.
He is a leading expert in economic dynamics who works at the forefront of economic thinking and modeling, drawing approaches from macroeconomics, finance, and statistics. He is a recipient of the 2013 Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel.
Professor Hansen has made fundamental advances in our understanding of how economic agents cope with changing and risky environments. He has contributed to the development of statistical methods designed to explore the interconnections between macroeconomic indicators and assets in financial markets. These methods are widely used in empirical research in financial economics today.
The Nobel Prize recognizes this work, which has been used to test theories and models that have shaped our modern understanding of asset pricing. His recent research explores how to quantify intertemporal risk-return tradeoffs and ways to model economic behavior when consumers and investors struggle with uncertainty about the future. Improving models that measure risk and uncertainty have important implications for financial markets, fiscal policy, and the macroeconomy.
Hansen’s recent work focuses on uncertainty and its relationship to long-run risks in the macroeconomy. He explores how models that incorporate ambiguities, beliefs, and skepticism of consumers and investors can explain economic and financial data and reveal the long-term consequences of policy options. Hansen, Thomas J. Sargent, and their co-authors have recently developed methods for modeling economic decision-making in environments in which uncertainty is hard to quantify. They explore the consequences for models with financial markets and characterize environments in which the beliefs of economic actors are fragile.
Darrell Duffie is the Adams Distinguished Professor of Management and Professor of Finance at Stanford Graduate School of Business. He is a fellow and member of the Council of the Econometric Society, a research fellow of the National Bureau of Economic Research, a fellow of the American Academy of Arts and Sciences. Professor Duffie was the 2009 president of the American Finance Association. In 2014, he chaired the Market Participants Group, charged by the Financial Stability Board with recommending reforms to Libor, Euribor, and other interest rate benchmarks. Professor Duffie’s recent books include How Big Banks Fail (Princeton University Press, 2010), Measuring Corporate Default Risk (Oxford University Press, 2011), and Dark Markets (Princeton University Press, 2012).
Professor Duffie’s research interests include over-the-counter markets, banking, financial stability, credit risk, valuation and hedging of derivative securities, financial market infrastructure, the term structure of interest rates, financial innovation, security design, and market design.
Professor Duffie is the recipient of numerous awards and distinctions, including the Amundi Pioneer Prize by The Journal of Finance, Financial Engineer of the Year by International Association of Financial Engineering, and NYSE Prize for Equity Research by the Western Finance Association.
Jens Carsten Jackwerth is Professor of Economics, University of Konstanz, Germany. He has held positions at the London School of Economics, the University of Wisconsin, and the University of Zurich.
Professor Jackwerth’s research is in the area of asset pricing and derivatives. He has made outstanding contributions in recovering investor’s risk aversion from option prices, mispricing of derivatives, and market manipulation. Professor Jackwerth is the recipient of several awards and distinctions, including INQUIRE (U.K.) and Institute for Quantitative Research in Finance.
Peter Carr is the Chair of the Finance and Risk Engineering Department at NYU Tandon School of Engineering. He has headed various quant groups in the financial industry for the last twenty years. He also presently serves as a trustee for the National Museum of Mathematics and WorldQuant University. Prior to joining the financial industry, Dr. Carr was a finance professor for eight years at Cornell University after obtaining his Ph.D. from UCLA in 1989. He has over 85 publications in academic and industry-oriented journals and serves as an associate editor for eight journals related to mathematical finance.
Professor Carr was selected as Quant of the Year by Risk Magazine in 2003 and Financial Engineer of the Year by IAQF/Sungard in 2010. From 2011 to 2014, Dr. Carr was included in Institutional Investor’s Tech 50, an annual listing of the 50 most influential people in financial technology. His research interests are in the areas of financial engineering, quantitative finance, mathematical finance, derivatives, and volatility. ____________________________
Sanjay Nawalkha is a Professor of Finance at Isenberg School of Management. His area of research is fixed income valuation, derivative pricing, and asset pricing.
He has co-authored four books, Dynamic Term Structure Modeling: The Fixed Income Valuation Course (Wiley & Sons, 2007), Interest Rate Risk Modeling: The Fixed Income Valuation Course (Wiley & Sons, 2005), Interest Rate Risk Measurement and Management (Institutional Investors, 1999) and Closed-Form Duration Measures and Strategy Applications (The Research Foundation of the Institute of Chartered Financial Analysts, 1990). He has published over 30 scholarly articles in the areas of term structure modeling, risk management, and arbitrage pricing theory.