Leading Expert in Mathematical Modeling of Financial Assets
CHICAGO, IL, August 24, 2004 -- The Department of Mathematics at the University of Chicago has appointed Roger Lee, Ph.D., as its first full time faculty member in its Masters of Science in Financial Mathematics Program, it was announced today by Niels Nygaard, Ph.D., who heads the program.
Dr. Lee comes to the University of Chicago from Stanford University, where he was for three years a Szego Assistant Professor of Mathematics.
"The University of Chicago’s Financial Mathematics program is, we believe, preeminent in providing advanced studies in an area that is gaining increased attention in the business and financial worlds. We are therefore delighted to have Roger Lee, who will devote his full time to teaching and researching in the field of Financial Mathematics, join our faculty," said Dr. Nygaard. "Our Financial Mathematics Program is attracting students from around the world and providing them with a curriculum that deals with the dynamics of applying mathematical modeling to complex financial instruments. The appointment of Dr. Lee underscores the University’s commitment to extending the bounds of a program that is experiencing increasing demand and is developing into a highly regarded curriculum for advancement in finance."
"I'm delighted and honored to join the University of Chicago, a center of mathematics and economics with an unsurpassed record of contributions to financial theory and applications," said Dr. Lee. "As financial markets continue to evolve and expand, the risks that they encompass will increase in magnitude, variety, complexity, and interdependence. Mathematical models and methodology play an essential part in the valuation and management of risky assets, and hence in meeting the challenges and seeking the opportunities inherent in these risks. So I'm confident that the faculty and students of our Financial Mathematics program are especially well-positioned to have influential roles in these developments."
The University of Chicago’s Financial Mathematics Program teaches applied mathematics and its application in the financial industry. With a faculty of Professors from the Mathematics, Statistics and Economics Departments, as well as financial industry professionals, it concentrates on providing both the theoretical background and the practical aspects of pricing derivatives and managing assets, together with a deep understanding of the underlying assumptions and limitations of the various models. Graduates of the program are awarded a Masters degree in Financial Mathematics (MFM).
Dr. Lee holds a BA from Harvard University in Applied Mathematics, summa cum laude, and a Ph.D. from Stanford in Scientific Computing and Computational Mathematics, where he also received MS degrees in Mathematics and Statistics. He has also been a Visiting Member and NSF Postdoctoral Fellow at the NYU Courant Institute of Mathematical Sciences.
Dr. Lee's recent projects focus on volatility modeling, option pricing by transform methods, and robust hedging of exotic derivatives. He has published in leading quantitative finance journals, including Mathematical Finance and the Journal of Computational Finance; and he regularly speaks at conferences and seminars of practitioners and academics. Most recently, at the Third World Congress of the Bachelier Finance Society, held in July 2004 in Chicago, he presented research on "Robust Replication of Volatility Derivatives", which financial industry press and practitioners have hailed as "novel" and "ground-breaking".
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Contacts:
Steven Anreder or
Jeff McKenzie
Anreder & Company
10 East 40th St. / Ste. 1308
New York, NY 10016
212-532-3232
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