Faculty

C.D. Aliprantis C.D. Aliprantis
Professor, Economics and Mathematics, founding member of the Computational Finance Program, deceased February 27, 2009.

Economic Theory, Game Theory, Mathematical Economics, Functional Analysis, Operator Theory.
Fabrice Baudoin Fabrice Baudoin
Associate Professor, Mathematics
765 494-1406
fbaudoin@math.purdue.edu

Stochastic calculus applied to financial modeling, Modeling of anticipations on financial markets, Portfolio optimization
Agostino Capponi Agostino Capponi
Assistant Professor, Industrial Engineering
765 494-4443
capponi@purdue.edu

Financial Engineering: Credit Risk Modeling and Valuation, Stochastic Filtering and Control, Dynamic Portfolio Optimization
Sugato Chakravarty Sugato Chakravarty
Professor, Consumer Science and Management
765 494-4908
sugato@purdue.edu
Michael Cooper Michael Cooper
Associate Professor, Management
765 494-4438
mcooper@krannert.purdue.edu

Investment Finance
Jose Figueroa-Lopez Jose Figueroa-Lopez
Assistant Professor, Statistics
765 494-6036
figueroa@stat.purdue.edu

Mathematical Finance: Calibration methods and portfolio optimization problems in continuous-time models. Emphasis on Levy driven and jump-diffusion models.

Elias Houstis Elias Houstis
Professor, Computer Science
765 494-6181
enh@cs.purdue.edu

Problem solving environments (PSEs), parallel computation, performance evaluation and modeling, computational intelligence, computational finance, and on-line learning.
Mihails Levins Michael (Mihails) Levine
Associate Professor, Statistics
765 496-7571
mlevins@stat.purdue.edu

Financial Econometrics, Nonlinear Time Series, and Nonparametric Regression
Ilya Pollak Ilya Pollak
Associate Professor, Electrical and Computer Engineering
765 494-5916
ipollak@ecn.purdue.edu

Signal processing with applications to finance, imaging, and video analysis
Bruce Schmeiser Bruce Schmeiser
Professor, Industrial Engineering
765 491-8665
bruce@purdue.edu

Stochastic operations research, especially Monte Carlo simulation methods
Charlene Sullivan Charlene Sullivan
Professor, Management
765 494-4382
sullivan@mgmt.purdue.edu

Personal bankruptcy, the evolution of cost management systems in manufacturing firms, and capital budgeting processes.
Frederi Viens Frederi Viens
Professor, Statistics and Mathematics
765 494-6035
viens@stat.purdue.edu

Stochastic analysis and control, and applications to finance, filtering, and fluid dynamics