Numerix, the leading provider of cross-asset analytics for derivatives valuations and risk management, today announced that Professor Paul Glasserman, author of Monte Carlo Methods in Financial Engineering, has joined the Numerix Quantitative Advisory Board, established to further the standardization and advancement of pricing and risk for the OTC derivatives market.
Professor Glasserman’s publications include the book, Monte Carlo Methods in Financial Engineering (Springer, 2004), which received the 2006 Lanchester Prize and the 2005 I-Sim Outstanding Publication Award. Among his many other awards, Professor Glasserman received the 2004 Wilmott Award for Cutting-Edge Research in Quantitative Finance and Risk Magazine’s 2007 Quant of the Year Award. He is also a two-time recipient of the Dean’s Award for Teaching Excellence (1994, 2000).
Professor Glasserman’s research and teaching focus on risk management, the pricing of derivative securities, Monte Carlo simulation, statistics and operations. Prior to joining Columbia University, Glasserman was with Bell Laboratories and has also held visiting positions at Princeton University, NYU, and the Federal Reserve Bank of New York.
Glasserman also serves on the editorial boards of Finance & Stochastics, Mathematical Finance, the Journal of Computational Finance, and the SIAM Journal on Financial Mathematics. He chairs the Education Committee of the Professional Risk Managers International Association (PRMIA). Glasserman held the position of senior vice dean of the Columbia Business School in 2004-2008 and served as interim director of the Sanford C. Bernstein & Co. Center for Leadership and Ethics in 2005-2007.
“It is an honor and a privilege to have someone of Professor Glasserman’s high caliber join the Numerix Advisory Board, and I would personally like to welcome him,” said Steven R. O’Hanlon, president and coo at Numerix. “Numerix works closely with some of the world’s most innovative leaders in quantitative research, and to have Professor Glasserman join the Advisory Board further expands the breadth and depth of our quantitative knowledge,” O’Hanlon added.
“The research that Professor Glasserman has carried out is at the forefront of innovation when it comes to financial engineering and Monte Carlo methods,” added Dr. Serguei Issakov, senior vice president of Quantitative Research & Development at Numerix. “He is a known pioneer in the acceleration of Monte Carlo techniques, including calculation of sensitivities needed for stable hedging, and we are truly honored to have someone with Professor Glasserman’s industry expertise as a member of the Advisory Board,” said Dr. Issakov.
“It is a tremendous privilege to be named as a member of the Advisory Board,” said Professor Glasserman. Professor Glasserman is the third member to be appointed to the Numerix Quantitative Advisory Board. The Advisory Board creates an industry leadership forum comprised of the “top professional minds” from quantitative research across the academic and financial services industry at large. The Advisory Board will also seek to promote professional interaction between renowned academics, researchers and Numerix.
Numerix provides the industry’s most sophisticated cross-asset pricing platform for traders, quants and risk managers of derivatives and structured products. Numerix allows users to structure complex derivatives using a proprietary scripting language and price them using a wide range of model and calibration options.
