Faculty Research
Daniel Bienstock, Ph.D.
Combinatorial optimization and integer programming, parallel computing, applications to telecommunications.
Jose Blanchet, Ph.D.
Applied probability, computational finance, MCMC, queueing theory, rare-event analysis, simulation methodology, and risk theory.
Mark Broadie, Ph.D. (Graduate School of Business)
Financial engineering, computational finance, pricing of derivative
securities, portfolio optimization, risk management, Monte Carlo
simulation.
Maria Chudnovsky, Ph.D.
Graph theory and Combinatorial optimization.
Ed Coffman, Ph.D. (Electrical Engineering)
Stochastic modeling, scheduling theory, bin packing theory, probabilistic analysis of algorithms.
Rama Cont, Ph.D.
Stochastic modeling and computational methods in finance, inverse
problems and model uncertainty, random graphs and social networks.
Emanuel Derman, Ph.D.
Financial theory, financial engineering, derivatives valuation, volatility, risk management.
Awi Federgruen, Ph.D. (Graduate School of Business)
Modeling of stochastic systems, physical distribution management, dynamic programming.
Guillermo Gallego, Ph.D.
Inventory control, yield management, production planning, scheduling, semi-conductor manufacturing.
Paul Glasserman, Ph.D. (Graduate School of Business)
Stochastic systems, simulation, gradient estimation, variance reduction techniques, queueing.
Donald Goldfarb, Ph.D.
Algorithms for linear, quadratic, and nonlinear programming, network
flows, large sparse systems, telecommunications applications.
Martin Haugh, Ph.D.
Quantitative finance, Monte-Carlo simulation, supply chain management and dynamic programming.
Xuedong He, Ph.D.
Behavioral finance, portfolio choice and stochastic control.
Garud Iyengar, Ph.D.
Convex optimization, robust optimization, queueing networks,
combinatorial optimization, mathematical and computational finance,
communication and information theory.
Soulaymane Kachani, Ph.D.
Dynamic Pricing and revenue optimization, logistics and supply chain
management, transportation network management, game theory, variational
inequalities and equilibrium problems.
Ioannis Karatzas, Ph.D. (Mathematics)
Stochastic differential equations, finance applications.
Steven Kou, Ph.D.
Mathematical and computational finance, simulation, queueing theory, mathematical statistics.
Peter J. Kolesar, Ph.D. (Graduate School of Business)
Service system management in the public and private sectors, quality management and improvement, statistical quality control.
Mariana Olvera-Cravioto, Ph.D
Applied probability, stochastic systems, queueing theory, heavy-tailed distributions, simulation,
and inventory control.
Jay Sethuraman, Ph.D.
Queueing networks, deterministic and stochastic scheduling, discrete optimization.
Karl Sigman, Ph.D.
Queueing theory, stochastic networks, point processes, insurance risk, economics.
Clifford Stein, Ph.D.
Design and analysis of algorithms, combinatorial optimization, scheduling, network algorithms, computational biology.
Ward Whitt, Ph.D.
Queues, stochastic processes, numerical transform inversion, telecommunication applications, customer contact centers.
David Yao, Ph.D.
Stochastic models, queueing networks, supply chains, financial engineering, systems and control.