CompFin Program Co-Director
read more...Eric Zivot, CompFin Program Co-Director
Eric Zivot is the Robert Richards Chaired Professor in the Economics Department, Adjunct Professor of Statistics, Adjunct Professor of Finance, and Adjunct Professor of Applied Mathematics (effective September, 2011). He regularly teaches courses on econometric theory, financial econometrics and time series econometrics, and is the recipient of the Henry T. Buechel Award for Outstanding Teaching. He was an associate editor of the Journal of Business and Economic Statistics. He is co-author of Modeling Financial Time Series with S-PLUS and co-developer of S+FinMetrics, and has consulted on the use of S-PLUS and R in the finance industry. He has published in the leading econometrics journals, including Econometrica, Econometric Theory, the Journal of Business and Economic Statistics, Journal of Econometrics, and the Review of Economics and Statistics, and in empirical finance journals including the Journal of Empirical Finance, the Journal of Financial Markets, and the Journal of International Money and Finance. He holds the Ph.D. in Economics from Yale University. EducationUndergraduate Economics/Statistics, University of California Berkeley; Ph.D. in Economics, Yale University.
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Instructor, Applied Mathematics
read more...Guy Yollin, Instructor, Applied Mathematics
Mr. Yollin studied Electrical Engineering at Drexel University and has been heavily involved in computer programming since 1981. In 1986, Yollin founded Cybernetic Systems and Automation, Inc. a high technology manufacturer of pattern recognition systems. Upon the sale of the company to Electro Scientific Industries, Inc., Mr. Yollin served as the Director of Engineering for ESI’s Vision Products Division. In 2002, Mr. Yollin earned a master’s degree in computational finance and subsequently became the Director of Financial Engineering for the Insightful Corporation (the developers of S-PLUS). From 2007 through 2010, Yollin served as a Quantitative Research Analyst for Rotella Capital Management, a hedge fund manager specializing in the trading of global futures and foreign exchange markets. Yollin joined the UW Computational Finance program in 2011 and his current interests are focused on the R language for statistical computing (www.r-project.org) applied to portfolio optimization, time series forecasting, and predictive analytics. EducationB.S., Electrical Engineering, Drexel University; M.S., Computational Finance, Oregon Health & Science University
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read more...Hong Qian, Professor
Professor Qian (Q=Ch) received his B.A. in Astrophysics from Peking University in China in 1982, and his Ph.D. in Biochemistry from Washington University School of Medicine in St. Louis in 1989. Subsequently, he worked as postdoctoral researcher at University of Oregon and Caltech on biophysical chemistry and mathematical biology. Before joining the University of Washington, he was an assistant professor of Biomathematics at UCLA School of Medicine. From 1992-1994, he was a fellow with the Program in Mathematics and Molecular Biology (PMMB), a NSF-funded multi-university consortium. Professor Qian's main research interest is the mathematical approach to and physical understanding of biological systems, especially in terms of stochastic mathematics and nonequilibrium statistical physics. In recent years, he has been particularly interested in a nonlinear, stochastic, open system approach to cellular dynamics. Similar population dynamic approach can be applied to other complex systems and processes, such as those in ecology, infection epidemics, and economics. He believes his recent work on the statistical thermodynamic laws of general Markov processes can have applications in ecomomic dynamics and theory of values. In his research on cellular biology, his recent interest is in isogenetic variations and possible pre-genetic biochemical origins of oncogenesis. EducationB.A, Astrophysics, Peking University; Ph.D., Biochemistry, Washington School of Medicine.
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read more...J. Nathan Kutz, Professor and Chair
Professor Kutz was awarded the B.S. in physics and mathematics from the University of Washington (Seattle, WA) in 1990 and the PhD in Applied Mathematics from Northwestern University (Evanston, IL) in 1994. He joined the department in 1998 and became Chair in 2007. Professor Kutz is especially interested in a unified approach to applied mathematics which includes modeling, computation and analysis. His area of current interest concerns phenomena in the optical sciences: laser dynamics and modelocking in fiber lasers, soliton propagation and mode-coupling dynamics for optical fiber communications, and pattern formation and stability of optical structures in optical parametric oscillators. Mathematically, the analysis and computation of the above phenomena naturally fall within the context of the methods of contemporary dynamical systems, nonlinear wave propagation, perturbation and asymptotic methods, and bifurcation theory applied to the underlying nonlinear differential equations and partial differential equations. EducationB.S., Physics and Mathematics, University of Washington; Ph.D., Applied Mathematics, Northwestern University.
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Professor, Applied Mathematics
read more...Ka-Kit Tung, Professor, Applied Mathematics
Professor Tung's current research is in time-series data analysis, in particular the analysis of past and present climate data to understand the factors that are responsible for the observed variation. Professor Tung received his baccalaureate and master's degrees at the California Institute of Technology, both in 1972, in the field of Aeronautical Engineering. He earned his doctorate degree in Applied Mathematics at Harvard University in 1977. Professor Tung joined the Department in late 1988 and became Department Chair in August 1993, a position he held until July 2007. He teaches courses on Mathematical Modeling, Partial Differential Equations and Investment Science. His research on climate data analysis is supported by NSF and NASA. He is the Chief Editor of Journal of Atmospheric Sciences, and also serves as an Editor of Discrete and Continuous Dynamical Systems. EducationB.S., Engineering Science, California Institute of Technology; M.S., Aeronautics, California Institute of Technology; Ph.D., Applied Mathematics, Harvard University.
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read more...Kjell Konis, Assistant Professor
Professor Konis' research interests are in statistical computing. He is the author and maintainer of several packages for the R environment for statistical computing including robust (robust statistical models), lpSolveAPI (linear programming), and RHugin (Bayesian belief networks). Before joining the Applied Mathematics department, Kjell was a postdoctoral research associate in the Chair of Mathematical Statistics at the Swiss Federal Institute of Technology in Lausanne, Switzerland (École Polytechnique Fédérale de Lausanne; http://www.epfl.ch) where he conducted research in single particle electron microscopy, kernel smoothing, and forensic science. EducationB.S. Mathematics & Statistics, B.S. Economics, University of Washington; M.S.c. Applied and Computational Mathematics, D.Phil. Computational Statistics, University of Oxford.
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Professor and CompFin Director
read more...R. Douglas Martin , Professor and CompFin Director
Martin is Professor of Statistics, Adjunct Professor of Applied Mathematics, Adjunct Professor of Finance, and Director of Computational Finance at the University of Washington, and former Chairman of the Department of Statistics. Martin was a consultant in the Mathematics and Statistics Research Center at Bell Laboratories from 1973 to 1983. In 1987 he founded Statistical Sciences to commercialize the S language for data analysis and statistical modelling in the form of S-PLUS. Subsequently he was a co-founder and Chairman of FinAnalytica, Inc., developer of the Cognity portfolio construction and risk management system, and served as CEO from 2006 to 2008. Martin has authored numerous publications on time series and robust statistical methods, and is co-author of two books: Modern Portfolio Optimization (2005), and Robust Statistics: Theory and Methods (2006). His research is on applications of modern statistical methods in finance and investment, He holds the Ph.D. in Electrical Engineering from Princeton University.. EducationEE/Physics B.S.E., Princeton; M.S. in Electrical Engineering, University of Washington; Ph.D. in Electrical Engineering, Princeton.
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read more...Randy LeVeque, Professor
Professor LeVeque completed his undergraduate work at the University of California at San Diego in 1977. He obtained his doctorate from Stanford University in 1982. He has held appointments at the Courant Institute, UCLA, and ETH-Zürich, and has been on the faculty at the University of Washington since 1985. Professor LeVeque enjoys teaching, and concentrates on classes in the fields of numerical analysis, partial differential equations, and nonlinear phenomena. He has written textbooks and lecture notes that are used at many universities. His research interests span many areas, including numerical analysis, computational fluid dynamics, nonlinear partial differential equations, mathematical theory of conservation laws, and software development, including the CLAWPACK software for solving conservation laws and other hyperbolic systems modeling wave propagation. He is also involved in research in many applications areas, including astrophysics, geophysics, and biophysics. Professor LeVeque is a Fellow of SIAM, the Society for Industrial and Applied Mathematics, and currently serves as Chair of the Journals Subcommittee. EducationB.A., Mathematics, University of California at San Diego; Ph.D., Computer Science, Stanford University.
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read more...Steven Golbeck, Assistant Professor
Golbeck’s research interests are in developing stochastic models and estimation techniques for use in asset-backed finance, in particular equipment and real estate financing. This research has involved numerous branches of applied mathematics, such as stochastic simulation, PDEs, and stochastic differential equations. Before developing an interest in finance, he carried out research in elementary particle physics, studying the symmetry properties of bound states of quarks. Steven has also provided extensive consulting support for an ongoing study of export credit guarantee pricing in the aircraft sector since 2008. Before joining the UW Applied Mathematics Department, where he is focused on the Computational Finance and Risk Management program, Steven lectured at the University of California, San Diego and Northwestern University. EducationB.A. in Physics and Mathematics from New York University in 2001 and graduate degrees in Physics (UCSD,’04) and Finance (Alabama, ’07). Ph.D. in Industrial Engineering & Management Sciences at Northwestern University in 2012.
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