2007 GSO Spring Speaker: Professor Rene Carmona

02-09-2007

The Purdue Statistics Graduate Student Organization (GSO) was pleased to have Professor Rene Carmona as this year's spring speaker. Professor Carmona spoke on Thursday, February 8, 2007 at 4:30pm in MATH 175. The title of his talk was "Convertible Bonds as Dynkin Games: A Monte Carlo Approach." Refreshments were served in HAAS 101 at 4:00pm. 

Professor Carmona is the Paul Wythes '55 Professor of Engineering and Finance, Princeton, New Jersey. He is also the Director of Graduate Studies for the Bendheim Center for Finance, Princeton Unversity; Director of the Committee on Statistical Studies, which oversees the teaching of statistics at Princeton; a member of the Program in Applied and Computational Mathematics; and an associate member of the Department of Mathematics. Dr. Carmona's publications include over eighty articles and seven books in probability and statistics. In 1984 he was elected Fellow of the Institute of Mathematical Statistics. Professor Carmona is on the editorial board of several peer reviewed journals and book series, and is the scientific advisor for several companies.

In collaboration with colleagues and students, Dr. Carmona developed several computer programs, including the S-PLUS libraries "Swave" for research in signal analysis, and more recently "EVANESCE" for the analysis of heavy tail distributions and copulas. The latter was included in the Finmetrics toolbox of S-PLUS.

Dr. Carmona has a long history of statistical consulting for energy companies and financial institutions. His most recent research is concerned with the energy markets and credit derivatives.