Faculty

Rene Carmona
Paul M. Wythes '55 Professor of Engineering and Finance

Sherrerd Hall 210

rcarmona@princeton.edu

http://www.princeton.edu/~rcarmona

Telephone: 2310

Courses: ORF405: Regression and Applied Time Series, ORF505: Modern Regression and Time Series, ORF557: Stochastic Analysis Seminar

Research Interests: signal and image processing, stochastic processes, financial mathematics, stochastic partial differential equations, time frequency analysis, wavelets, image analysis
Patrick Cheridito
Associate Professor

Sherrerd Hall 204

dito@princeton.edu

http://www.princeton.edu/~dito

Telephone: 8281

Courses: ORF527: Stochastic Calculus and Finance, ORF/FIN535: Financial Risk Management

Research Interests: security pricing, stochastic processes, stochastic modeling, mathematical finance, risk analysis
Erhan Çinlar
Norman J. Sollenberger Professor in Engineering

Sherrerd Hall 328

ecinlar@princeton.edu

Telephone: 0101

Courses:

Research Interests: stochastic models and queuing theory, renewals, martingales, Markov processes, stochastic differential equations, dynamic point processes, mass transport by stochastic flows, applications to mathematics of insurance and finance, reliability of complex systems, modelling and estimation of natural hazards
Alexandre d'Aspremont
Assistant Professor

Sherrerd Hall 207

aspremon@princeton.edu

http://www.princeton.edu/~aspremon

Telephone: 8773

Courses: ORF515: Asset Pricing II: Stochastic Calculus and Advanced Derivatives

Research Interests: financial econometrics, financial management and risk analysis, optimal design, security pricing, convex optimization, mathematical finance, interest rate derivatives, model calibration, risk-management methods
Jianqing Fan
Frederick l. Moore Class of 1918 Professor in Finance

Sherrerd Hall 205

jqfan@princeton.edu

http://www.princeton.edu/~jqfan

Telephone: 7924

Courses: ORF245: Fundamentals of Engineering Statistics, ORF570: Special Topics in Statistics and Operations Research

Research Interests: financial econometrics, risk management, bioinformatics, Data-analytic modeling, Nonlinear time series, analysis of longitudinal data, model selections, nonparametric inferences, wavelets, survival analysis, generalized linear models, mathematical statistics, computational biology, statistics theory and methods
Alain Kornhauser
Professor

Sherrerd Hall 229

alaink@princeton.edu

http://www.princeton.edu/~alaink

Telephone: 4657

Courses: ORF467: Transportation

Research Interests: dynamic resource management, traveler information and decision support, automated vehicle control systems, traveler information systems, personal rapid transit
William Massey
Edwin S. Wilsey Professor

Sherrerd Hall 206

wmassey@princeton.edu

http://www.princeton.edu/~wmassey

Telephone: 7384

Courses:

Research Interests: stochastic models and queuing theory, performance and pricing models for telecommunications systems, symptotic analysis and stochastic bounds for queueing networks, theories of queues with time-varying rates, stochastic networks
John Mulvey
Professor

Sherrerd Hall 329

mulvey@princeton.edu

http://www.princeton.edu/~mulvey

Telephone: 5423

Courses:

Research Interests: Financial optimization models and associated algorithms. Asset management strategies for global pension plans, (re) insurance companies, and other long-term investors. Dynamic portfolio tactics for hedge funds. Replicating performance of active managers.
Warren Powell
Professor

Sherrerd Hall 230

powell@princeton.edu

http://castlelab.princeton.edu

Telephone: 5373

Courses: ORF411: Operations and Information Engineering

Research Interests: dynamic resource management, approximate dynamic programming and optimal learning, with applications in energy, homeland security, health and complex resource allocation problems
Philippe Rigollet
Assistant Professor

Sherrerd Hall 202

rigollet@princeton.edu

http://www.princeton.edu/~rigollet

Telephone: 1044

Courses: ORF245: Fundamentals of Engineering Statistics

Research Interests: Nonparametric statistics, statistical learning theory, aggregation theory, stochastic optimization, dimension reduction, and bandit problems.
Birgit Rudloff
Assistant Professor

Sherrerd Hall 203

brudloff@princeton.edu

http://www.princeton.edu/~brudloff

Telephone: 4558

Courses: ORF 515: Asset Pricing II: Stochastic Calculus and Advanced Derivatives

Research Interests: financial management and risk analysis, hedging in incomplete markets, convex and coherent risk measures, convex analysis, mathematical finance, risk-management
Ronnie Sircar
Professor and Acting Department Chair 09-10

Sherrerd Hall 208

sircar@princeton.edu

http://www.princeton.edu/~sircar

Telephone: 2841

Courses: ORF 335, ORF 538, ORF 575

Research Interests: security pricing, stochastic models of finance, numerical methods and approximations of solutions, modeling and statistics of volatility, stochastic differential equations and computational methods
Ramon Van Handel
Assistant Professor

Sherrerd Hall 227

rvan@princeton.edu

http://www.princeton.edu/~rvan

Telephone: 0973

Courses:
ORF 474, ORF 526, ORF 557

Research Interests:
Probability theory, stochastic analysis, applied probability, mathematical finance, mathematical statistics, signal processing, nonlinear filtering, stochastic control, dynamical systems, mathematical physics.
Robert Vanderbei
Professor and Department Chair (on Sabbatical 09/10)

Sherrerd Hall 106

rvdb@princeton.edu

http://www.princeton.edu/~rvdb

Telephone: 0876

Courses: ORF522: Linear Optimization

Research Interests: optimal design, convex optimization, global optimization, antenna array synthesis, structural design, facility location