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Master of Financial Mathematics

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REQUEST FOR AUTHORIZATION TO ESTABLISH

A NEW DEGREE PROGRAM

(revised April 1, 2002)

MASTER OF

FINANCIAL MATHEMATICS

North Carolina State University

Approved:

Dean, College of Agriculture & Life Sciences Date

Dean, College of Engineering Date

Dean, College of Management Date

Dean, College of Physical & Mathematical Sciences Date

Dean, Graduate School Date


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January 21, 2002

Request for Authorization to Establish a New Degree Program

The University of North Carolina

North Carolina State University

CIP Discipline Specialty Title: Multi/InterdisciplinaryStudies,Other

CIP Discipline Specialty Number: 30.9999

Level: Master

Proposed date of establishment: May 2002

Master of

Financial Mathematics

Department Signature DateAgricultural and Resource Economics

Economics

Industrial Engineering

Mathematics

Statistics


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TABLE OF CONTENTSTABLE OF CONTENTS................................................................................................................ 3

1. Description of Proposed Program........................................................................................... 4

A. Purpose................................................................................................................................ 4

B. Educational Objectives ....................................................................................................... 4

C. Relationship to Institutional Mission.................................................................................. 4

D. Relationship to Existing Programs at NC State .............................................................. 5

E. Specific Course Offerings and Requirements..................................................................... 5

F. Admission and Advising..................................................................................................... 7

2. Comparison to Other Programs in the State & Nation ........................................................... 7

3. Current and Projected Demand for Graduates ........................................................................ 7

A. Student Target Audiences ................................................................................................... 8

B. Employment Trends and Needs in Financial Industry........................................................ 8

4. Organization of the Program................................................................................................... 9

Timeline .................................................................................................................................... 10

5. Financing............................................................................................................................... 10

Planning Committee: (one representative in each participating department) .............................. 12

Appendix A. Graduate Faculty, Rank, and Vitae ................................................................... 13

Appendix B. Resource Commitments by Participating Units................................................ 36

Appendix C. Course Descriptions .......................................................................................... 38

Appendix D. Letters of Support ............................................................................................. 42

From Academics: ...................................................................................................................... 42

From the Financial industry...................................................................................................... 43


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1. Description of Proposed Program

A. Purpose

The recent explosive growth in financial markets, as well as the rapid development of knowledgein the quantitative approaches to finance, has led to the demand for technically trainedprofessionals. Job opportunities exist for individuals with an understanding of how to valuefinancial derivatives and complex investments, and assess the associated risks. Employers hiringindividuals with training in financial Mathematics include banks, investment firms, financialtrading companies and financial exchanges, insurance companies, power companies, naturalresource based firms, agribusinesses, and government regulatory institutions. Such individualsmust have a rigorous training in mathematics, especially in the area of stochastic processes andprobability, in statistics and in computation, together with a foundation in the institutionaloperation of financial markets.

The proposed program would serve to provide a structured program to develop these skills.Although NCSU currently has many courses useful in training quantitatively oriented financialanalysts, they are scattered through many degree programs. Furthermore, obtaining the right mixis difficult within the current structure of any one of those degree programs.

This program is limited to a Masters degree, but will be closely related to research programs andPh. D. degrees conducted in participating departments. The seminar series organized inconjunction with this program will expose the students in the program to the ideas of outsideacademics and practitioners. It will also serve the wider purpose of bringing together the variouscomponents of the program and these research programs.

B. Educational Objectives

The proposed two-year program provides an integrated set of tools for students seeking careersin quantitative financial analysis. The curriculum would draw on resources in the departments ofMathematics, Industrial Engineering, Statistics, Economics and Agricultural and ResourceEconomics. The first year will consist of six core courses, providing the common foundation forthe program. The second year allows the student the flexibility either to pursue a broad view ofthe subject, or to specialize on a topic of his or her choice. It will consist of four elective coursesand a project/internship.

C. Relationship to Institutional Mission

The proposed FM program fits appropriately into the University's mission, academic programs,


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and resources. As a land-grant university, NC State has historic strengths in agriculture,technology, and engineering. The University has demonstrated newly developing strengths inemerging fields such as computational sciences. The proposed Master of Financial Mathematicsdegree program exploits the University's historic and developing strengths, bringing together thevarious threads needed to train students in the new discipline of quantitative finance and riskanalysis.

NC State has a unique opportunity to train the future leaders of this emerging field, and topromote the development of the financial industry, both its practice and its regulation, in NorthCarolina and the region. The campus already possesses the expertise to capitalize on thisopportunity to create a world-class program in quantitative finance, joining the few currently inexistence.

D. Relationship to Existing Programs at NC State

No current program meets the needs of quantitative finance. Although NCSU currently has manycourses useful in training quantitatively oriented financial analysts, they are scattered throughmany degree programs. Obtaining the right mix is difficult within the current structure of anyone of those degree programs. The goals of the proposed program are to offer that mix, within atwo-year time frame, and to graduate trained professionals ready for the work-place.

The program could also be used to complement various existing programs at the Masters andPh.D. level. Students in Ph.D. programs in the participating departments and others would findthe combination of degrees attractive. We also anticipate recruiting top-level students in theprogram, some of whom will be attracted to research and will choose to continue in related Ph.D.programs.

E. Specific Course Offerings and Requirements

The FM program is a four semester program consisting of six core courses, four elective coursesand a six credit project/internship. The core courses have been chosen to provide the necessarymathematical background, the statistical and computational tools, and a comprehensivedescription of financial markets. Most of the courses currently exist, and some either have beenrevised to reflect the needs of the program or are currently under revision.

The first two semesters would cover the following six core courses (XXX indicates a newcourse):Semester 1 Introduction to Financial Engineering (IE711-revised) Probability and Stochastic Processes I (MA/ST546) Asset Pricing (ECGXXX - new course)

Semester 2


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Financial Mathematics (MA547 starting 2002 - currently special topics) Statistical Theory II (ST522) Computational Methods in Economics & Finance (MA/ECG790C - currently special topics)

The admission committee will ensure that the prerequisites for these courses are met by requiringfurther reading during the Summer preceeding the admission and reading courses during the Fallsemester if needed.

After completing core requirements students must have a plan of work approved by their advisor.Four elective courses must be taken from the following list (course substitutions may be madewith advisor approval): ECG 716 Topics In Environmental and Resource Economics ECG 749 Monetary Aspects of International Trade ECG/ST 751 Econometrics ECG/ST 752 Topics In Econometrics ECG 784 Advanced Macroeconomics IE 709 Dynamic Programming IE 712 Bayesian Decision Analysis For Engineers and Managers IEXXX Optimization and Simulation in Finance (new course) MA/ST 747 Probability and Stochastic Processes II MA/ST 748 Stochastic Differential Equations MA584 Numerical Solution Of Partial Differential Equations-Finite Difference Methods ST730 Applied Time Series Analysis ST782 Time Series Analysis: Time Domain ST783 Time Series Analysis: Frequency Domain ST810 Credit Risk in Financial Derivatives (currently special topics)

Course descriptions are attached in Appendix C.

The six credit project/internship is a requirement for completion of the degree program. Thismay be a combination of an industry internship and a supervised on-campus project.The goal isto provide students with experience working on real world problems in Financial Mathematicsunder the guidance of faculty actively engaged in research. Students will submit a written reportto their advisors that details their internship experience from both a professional and personalviewpoint. The advisors will then evaluate the internship based upon the report and discussionwith the student.

In addition, a non-credit seminar course would be implemented; participation in the program'sseminar series would be expected of all students. A weekly seminar for the F.M. students willhelp to establish the program's unique identity. Monthly seminars with other professional sciencemaster's students will explore professional development issues such as ethics, communication,negotiation, and management skills.


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F. Admission and Advising

Applications for admission to the program will be considered by a committee of the programfaculty. Students will be selected based on aptitude for quantitative reasoning. Graduate RecordExamination (GRE) scores will be required. A demonstrated grasp of mathematics at a highundergraduate level will be required including facility in multivariate calculus, linear algebra,differential equations and elementary probability. Undergraduate courses or experience incomputer programming, statistics, or economics is also highly encouraged. International studentsfrom non-English speaking countries will be required to provide TOEFL certification.

The committee will assign each student in the program an academic advisor from among theprogram faculty, on the following basis:

� a student receiving financial support will have an advisor from the department providing thesupport;

� other students will be assigned advisors on the basis of their interests and the availability offaculty.

Each student's enrollment will be credited to the home department of the advisor.

2. Comparison to Other Programs in the State & NationFinancial Mathematics is a new, rapidly growing field; only a few institutions in the countryoffer similar programs, none in the state of North Carolina. Related courses may be found at theUniversity of North Carolina at Chapel Hill and at Duke University, as they are at NC State, butno program combining the elements of mathematics, economics, and engineering has beenorganized at either institution.Numerous programs in this area have started up in the last few years. These include programs atNYU, Stanford, Michigan, Chicago and Georgia Tech. A unique aspect of the proposed programat NCSU is the ability to provide for specialization in commodity, resource and energy orientedindustries.

3. Current and Projected Demand for GraduatesEnrollment EstimatesThe following are estimates for equivalent full-time program enrollment:

YEAR ENROLLMENTS TOTAL

1 10 10

2 15 25

3 20 35


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A. Student Target Audiences

Students will be drawn from three groups:

- Those possessing a bachelor's degree in one of the fields related to the program, desiringgraduate education for professional development and an entrée into this emerging field;

- Students currently enrolled in other Masters' or Ph. D. programs at NC State, wishing tosupplement their education with skills in computational finance;

- Finance industry practitioners in North Carolina possessing at least a bachelor's degree,seeking to update their knowledge and skills.

All students will have the background and meet the prerequisites presented in Section 1.F of thisRequest.

B. Employment Trends and Needs in Financial Industry

The demand for quantitative financial analysts is currently high and growing rapidly. In additionto demand from traditional financial services and investment firms, innovation in informationand communications technology and deregulation of energy, agricultural and other markets hasincreased the demand for risk management services and produced many new markets, products,and instruments, such as weather derivatives, mutual funds and retirement plans, catastrophebonds, swaps and options, and indices on everything from internet stocks to volatility.

Many institutions in North Carolina are affected by these innovations, and more will be createdto exploit the opportunities that they offer. For instance,

- The financial center of North Carolina is Charlotte, home to Bank of America (as a result ofthe merger of NationsBank with Bank of America) , the largest bank in the country by assetsand by deposits, and to First Union-Wachovia, another top bank. These institutions arealready active in the markets for financial derivatives, and recruit steadily to build theirexpertise.

- Winston Salem is another financial center, with Wachovia and BB&T.

- North Carolina and the southeast is home to a number of agribusiness firms, including themajor tabacco processors and several poultry and hog production and processing firms.These firms face considerable risk, both from commodity price fluctuations and,increasingly, from currency fluctations in their international marketing operations. Theexpertise available at NCSU in these areas is unique among financial Mathematics programs.

- Major utilities in North Carolina are Duke Power Co., Inc., Carolina Power and Light Co.(Progress Energy); these companies face risks associated with weather as a natural part of


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their business, and will need to establish and expand their capabilities for assessing theserisks and using the new techniques to manage them.

- Cary-based SAS Institute is developing financial software in the areas of data-warehousing,data-mining, value-at-risk analysis, and financial time series analysis. SAS needs peopletrained in quantitative finance and have already shown interest in some current courses thatwill be part of the core curriculum.

- Startup companies like Blackbird (an interbank electronic brokage market) in Charlotte andIntegrated Energy Services (risk management, trading and hedging consultant) in theResearch Triangle are examples of companies established specifically to develop thesemarkets and instruments.

- Centennial Campus will offer opportunities for companies developing in this field anddesiring close contact with NC State. Applied Mathematics, Inc., is one example where suchcontacts have already begun.

4. Organization of the ProgramProgram planning is conducted by the planning committee. An administrative committee,chaired by the Dean of the Graduate School and having broad oversight authority, will beformed. The members of the committee will consist of the Deans of the participating Colleges:

College of Agriculture and Life Sciences,College of Management,College of Engineering, andCollege of Physical and Mathematical Sciences.

On receipt of authorization to establish the program, the Dean of the Graduate School willappoint the initial program faculty, upon the recommendation of the planning committee, whichwill then be dissolved.

A program director shall then be appointed by the Dean of the Graduate School, with the consentof the Dean of the candidate's home college, upon the recommendation of the program faculty.The director will be responsible for program administration, including student admission andadvising and coordination of program activities (course scheduling, seminars). In addition, thedirector will be responsible for submitting an annual activity report to the deans and departmentheads of participating units.

A program advisory committee, consisting of program faculty (one from each participatingdepartment) and at least two representatives from the financial industry, will be formed. Thiscommittee will advise the director on the program administration.

Subsequently, new members of the FM faculty will be nominated by a member of the faculty andupon a majority vote of the faculty be recommended for appointment by the Dean of theGraduate School.


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Timeline

May 2002 FM Program is approved by UNC Office of the President.

Program informational brochure is developed and printed.

Student recruitment begins.

Fall 2002 First graduate students enter program.

Student recruiting is intensified on national and international levels.

Summer 2003 First internship experiences are offered for FM students.

Fall 2003 Second cohort of graduate students enter program.

May 2004 First class of students graduates from program.

5. FinancingThis program can be initiated with the existing faculty resources within the University andresources committed by the participating departments.

The program directorship would be a three year term with salary supplement and coursereduction. The Department of the Director would provide the course reduction and a half-timeGraduate Secretary. The College of the Director would provide one month of Summer salary.

The program will seek outside supports for the operating budget. The company Progress Energyis already contributing and the planning committee, with the support of the Graduate School, hassuccessfully applied for a Sloan fundation grant for the creation of a new Master degree ($75,000for starting and promoting the program).

Progress Energy Foundation has already committed $35,000 per year for two years to the FMProgram. The program will invest $25,000 of this award, every year for four years (if the awardis renewed for the 3rd and 4th year), to establish the Progress Energy Graduate AwardEndowment in Financial Mathematics. This endowment can be used in perpetuity to supportstudent activities and to provide fellowship supplement. The remainder of the award willsupplement the following estimated program budget.


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Estimated Annual Budget:

Office operating expenses: fax, phone, copy, etc $20K

Miscellaneous: travel, seminar expenses, journal subscriptions, dataacquisition, etc

$20K

Total: $40K

Space and Equipment:

By the 2004-2005 academic year, the program will need space for 40 cubicles with lockers andnetworking connections for students. However, no commitment has been made.


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Planning Committee: (one representative in each participating department)

Economics/Agricultural and Resource Economics:Paul Fackler (Associate Professor)[email protected]

919-515-4535

Economics:John Seater (Professor)[email protected]

919- 515-7873

Industrial Engineering:Salah E. Elmaghraby (Professor)[email protected]

919-515-5281

Mathematics:Jean-Pierre Fouque (Professor)[email protected]

919-515-8588

Statistics:Peter Bloomfield (Professor)[email protected]

919-515-1913


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Appendix A. Graduate Faculty, Rank, and VitaeEconomics/Agricultural and Resource Economics:Paul Fackler (Associate Professor)Thomislav Vukina (Associate Professor)Economics:Ed Erickson (Professor)John Seater (Professor)Industrial Engineering:Richard H. Bernhard (Professor)Salah E. Elmaghraby (Professor)Jim Wilson (Professor, Head)Mathematics:Jean-Pierre Fouque (Professor)Jeffrey S. Scroggs (Associate Professor, Assistant Head)Statistics:Peter Bloomfield (Professor)


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Richard H. BernhardProfessor, Department of Industrial Engineering

[email protected]

Education

Bachelor of Mechanical Engineering (with distinction), Cornell University, 1956.

Master of Science, Sloan School of Management, Massachusetts Institute of Technology, 1958.

Ph. D., Industrial Engineering and Operations Research, Cornell University, 1961.

Positions

Assistant Professor, Industrial Engineering and Operations Research, Cornell Univ., 1961-69.

Associate Professor, Industrial Engineering, North Carolina State University, 1969-80.

Professor, Industrial Engineering, North Carolina State University, 1980-Present.

NSF Science Faculty Fellow, (City & Regional Planning), UNC-Chapel Hill, 1971-72.

Visiting Professor, Norwegian School of Econ. & Business Adm., Bergen, Norway, 1977-78.

Visiting Lecturer, Commerce, University of Canterbury, Christchurch, New Zealand, 1982.

Fulbright Scholar, Prod. & Sys. Engr., Fed. Univ. of Santa Catarina, Florianopolis, Brazil, 1986.

Visiting Professor, Economics, Norwegian Inst. of Tech., Trondheim, Norway, 1988-89.

Visiting Professor, Industrial Engineering, American Univ. of Armenia, Yerevan, 1993 & 1994.

Professional Affiliations

Instutute of Industrial Engineers; American Society for Engineering Education;

Associate Editor & Member of Editorial Board: The Engineering Economist, Institute of

Industrial Engineers Transactions, Journal of Financial & Quantitative Analysis, Journal of

Engineering Valuation & Cost Analysis.


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ResearchSubjects of interest:

Capital Investment Economic Analysis

Bayesian Decision Analysis

Multi-Attribute Decision Making

Financial Engineering

Partial Publication List� Bernhard, Richard H., “Risk-Adjusted Values, Timing of Uncertainty Resolution and the

Measurement of Project Worth,” Journal of Financial and Quantitative Analysis, 19(1984):83-99.� Bernhard, Richard H., “Some Basic Conceptual Shortcomings in the Proposed New EPA Tests

for Affordability of Further Pollution Control,” The Engineering Economist, 30(1984):1-18.� Bernhard, Richard H.; Holthausen, Duncan M., Jr.; and Shin, Myong Ho, “Application of the

Capital Asset Pricing Model to Multi-Period Investments: Comments and a Modified Procedure,”� Revista Brasileira de Mercado de Capitais (Brazilian Journal of Capital Marketing),13(1987):15-

28.� Bernhard, Richard H., “Improving the Economic Logic Underlying Replacement Age Decisions

for Municipal Garbage Trucks,” The Engineering Economist, 35(1990):129-147.� Bernhard, Richard H. and Canada, John R., “Some Problems in Using Benefit/Cost Ratios with

the Analytic Hierarchy Process,” The Engineering Economist, 36(1990):55-65.� Bernhard, Richard H., “Adjusted Present Values, Costs of Capital and their Underlying Debt

Financing Implications,” Revista Brasileira de Mercado de Capitais (Brazilian Journal of CapitalMarketing), 16(1991):23-35.

� Bernhard, Richard H., “Income, Wealth Base and Rate of Return Implications of AlternativeProject Evaluation Criteria,” The Engineering Economist, 38(1993):165-175.

� Bernhard, Richard H., “A New Look at Some Capital Project Acceptability Criteria and theirUnderlying Assumptions,” in Ekern, Steinar; Gjesdal, Froystein; and Sandmo, Agnar, (Editors),

� Analyses and Perspectives on Managerial Economics, Fagbokforlaget, Bergen , Norway,(1996):13-28.

Teaching (graduate courses):� OR501: Introduction to Operations Research� IE631: Multi-Attribute Decision Analysis� IE711: Capital Investment Economic Analysis� IE712: Bayesian Decision Analysis for Engineers and Managers


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Peter BloomfieldProfessor of [email protected]

Education

1967 B.Sc. Mathematics University of London

1970 Ph.D. Statistics University of London

Positions

1969-1970 Assistant Lecturer, Department of Mathematics, Imperial College of Science andTechnology, London

1970-1971 Lecturer, Department of Mathematics, Imperial College of Science and Technology,London

1971-1975 Assistant Professor, Department of Statistics, Princeton University, Princeton, NJ

1974 (Summer) Visiting Fellow, Computer Centre and Department of Statistics, Institute forAdvanced Study, Australian National University, Canberra

1975 Visiting Research Associate, Department of Statistics and Statistical Laboratory,University of California

1975-1979 Associate Professor, Department of Statistics, Princeton University

1979-1983 Professor and Chairman, Department of Statistics, Princeton University

1982 (Summer) Visiting Professor, Instituto de Matematica Pura e Aplicada, Rio de Janeiro

1982-1983 Visiting Professor, Department of Statistics, University of North Carolina at ChapelHill

1983-Present Professor, Department of Statistics, North Carolina State University (Interim Head,August 1993-February 1994)

1990 (Fall) Visiting Fellow, Climatic Research Unit, University of East Anglia

1991 (Spring) Visiting Senior Research Scientist, Geophysical Fluid Dynamics Laboratory,Princeton University

1992-Present Senior Fellow, National Institute of Statistical Sciences, Research Triangle Park,North Carolina


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1994-1996 Business Development Manager, Merrill Lynch Derivative Products, New York

1998-1999 Manager, Special Projects, Merrill Lynch Capital Services, New York

Professional AffiliationsFellow, Royal Statistical Society, 1969--present

Member, American Statistical Association, 1974--present (elected Fellow, August 1993)

Member, Institute of Mathematical Statistics, 1974--present (elected Fellow, August 1976)

PublicationsBooks

� Fourier Analysis of Time Series: An Introduction. New York: Wiley. (1976; 2nd edition, 2000).� Least Absolute Deviations. Theory, Applications, and Algorithms. Boston: Birkhauser. (1983)

(with W. L. Steiger).

Recent Papers in Refereed Journals� Periodic correlation in stratospheric ozone data. Journal of Time Series Analysis, Vol. 15, 127-

150. (1994) (P. Bloomfield, H. L. Hurd, and R. B. Lund)� Estimating the urban bias of surface shelter temperatures using upper-air and satellite data. 1.

Development of models predicting surface shelter temperatures. Journal of Applied Meteorology,Vol. 34, 340-357. (1995) (D. L. Epperson, J. M. Davis, P. Bloomfield, T. R. Karl, A. L. McNab,and K. P. Gallo).

� Estimating the urban bias of surface shelter temperatures using upper-air and satellite data. 2.Estimation of the urban bias. Journal of Applied Meteorology, Vol. 34, 358-370. (1995) (D. L.Epperson, J. M. Davis, P. Bloomfield, T. R. Karl, A. L. McNab, and K. P. Gallo).

� Climatological time series with periodic correlation. Journal of Climate, Vol. 8, 2787-2809.(1995) (R. Lund, H. Hurd, P. Bloomfield, and R. Smith)

� Accounting for Meteorological Effects in Measuring Urban Ozone Levels and Trends.Atmospheric Environment, Vol. 30, 3067-3077. (1996) (Peter Bloomfield, J. Andrew Royle,Laura J. Steinberg, and Qing Yang)

Other Recent Papers� Inferred lifetimes. Chapter 3 of Report on Concentrations, Lifetimes, and Trends of CFCs,

Halons, and Related Species. NASA Reference Publication 1339. (1994)� Modeling ozone in the Chicago urban area. Chapter 2 of Case Studies in Environmental

Statistics, ed. Douglas Nychka, Walter W. Piegorsch, Lawrence H. Cox, pp. 5-26. By Jerry M.Davis, Brian K. Eder, and Peter Bloomfield. New York: Springer (1998)

� Regional and temporal models for ozone along the Gulf Coast. Chapter 3 of Case Studies inEnvironmental Statistics, ed. Douglas Nychka, Walter W. Piegorsch, Lawrence H. Cox, pp. 27-50. By Jerry M. Davis, Brian K. Eder, and Peter Bloomfield. New York: Springer (1998)


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SALAH E. ELMAGHRABY

Mailing Address: University Professor, Industrial Engineering and Operations Research, NorthCarolina State University, Raleigh NC, 27695-7913. Telephone (919)515-7077. FAX (919)515-5281. e-address: "[email protected]"

Education: B.Sc., Mechanical Engineering (Hons), Cairo University (1948); M.Sc., IndustrialEngineering , Ohio State University (1955); Ph.D., Industrial Engineering, Cornell University(1958)

Professional Experience(July 1967 to Present): University Professor, Operations Research and Industrial Engineering,N.C. State University, Raleigh, N.C. (January 1970 to June 1990): Director, Graduate Program inOperations Research. (July 1971 to June 1975) Associate Head and Graduate Administrator,Industrial Engineering Dept., N.C. State University. (July 1962 to July 1967): AssociateProfessor, Dept. of Adm. Sci., Yale University, New Haven, Connecticut. (Spring Semester,1967): Visiting Associate Professor, School of Industrial Engineering, Cornell University, Ithaca,N.Y. (June 1958 to July 1962) :Research Leader, Western Electric Company, EngineeringResearch Center, Princeton, New Jersey. (Sept. 1955 to June 1958): Research Assistant, CornellUniversity, Ithaca, N.Y. (Jan. 1949 to October 1949): Teaching Assist., School of Engineering,Cairo, Egypt. (Aug. 1948 to Jan. 1949): Plant Manager, The Coca Cola Bottling Co., Cairo,Egypt.

Foreign Experience of Professional Nature� (October 1949 to June 1954): Inspecting Engineer, Foreign Inspection Office of the Egyptian

State Railways in London, Brussels and Budapest. - firsthand experience of the majority ofWestern European industry: England, France, Belgium, Holland, Denmark, Norway,Luxembourg, Federal German Republic, Austria and Italy, and the Hungarian heavyindustries

� Visiting Professor, European Institute for Advanced Studies in Management, in Brussels, andthe Katholic University of Leuven, in Leuven, Belgium, Academic year 1974-75.

� Visiting Lecturer, Department of Production Engineering, Alexandria University, Egypt,December 1976.


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� Principal Scientist, Kuwait Institute for Scientific Research, Kuwait, Academic years 1981-83, on leave from NCSU.

� Visiting Professor, The Thomson Chair Professor of Production Management, ClaudeBernard University of Lyon I, Lyon, France, May-June 1991 and May-June 1992, June-July1995.

� Visiting Professor, Department of Systems Engineering, Nagoya Institute of Technology,Nagoya, Japan, December 1997-March, 1998.

� Guest Lecturer at: The Mathematische Centrum, Amsterdam Holland; The Center ofOperations Research and Econometrics; Universite Catholique de Louvain; KatholiekeUniversiteit Leuven; Faculte Universitaire de Mons, all in Belgium; The Lucas Center forEngineering Production, Birmingham, England; The Univ. of Bonn; The Free Univ. ofBerlin; The Technical Univ. of Aachen, all in Germany; The Univ. of Lille; The Univ. ofGrenoble, France; The Tech. Univ. of Linkoping, Sweden; The Univ. of Petroleum andMinerals, Dharan, Saudi Arabia; The University of the United Arab Emirates, Dubai, UAE;The Technical University of Lisbon, Portugal; Bilkent University, Ankara, Turkey; NagoyaInst. of Technology, Nagoya; Osaka Inst. Of Tech., Osaka; Aoyama Gakuin University,Tokyo; Ashikaga Inst. Of Tech., Ashikaga, all in Japan.

Membership in Honorary Societies

Alpha Pi Mu (Industrial Engineering); Phi Kappa Phi (Science); Sigma Xi (ScientificResearch); Tau Beta Pi (Engineering); Sigma Iota Rho (International).

Special Honors and Awards

The Alexander Quarles Holladay Medal, NCSU (2000); Honorary Doctorate, University Lyon I,Lyon, France, (October 7, 1998); Distinguished Alumni Award , NCSU (1998); Invited asThomson Chair Professor of Production Management, Claude Bernard University Lyon I, Lyon,France, (summers of 1991, 1992, 1995); The Kuwait Foundation for the Advancement ofScience Distinguished Award, (May 1990); The R.J. Reynolds Distinguished Award in Researchand Education, College of Engineering, NCSU (1987); Fellow of the Institute of IndustrialEngineers (1986); Operations Research Division Award, IIE (1980); Distinguished ResearchAward, IIE (1970); First Prize, National Center for Education & Research in Equip. Policy(1958); First Prize, Morse Chain Co. Competition Award, Ithaca, NY (1957).


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Scientific Publications - Books

Activity Nets: PERT/CPM and Their Extensions, Section 15.5 in Handbook of Discrete andCombinatotial Mathematics, K.H. Rosen, ed., (1998). The Planning and Scheduling ofProduction Systems: Methodologies and Applications; Chapman & Hall, (1997), co-editorwith A. Artiba, 367 pages. This is a book of original readings on the subject. DynamicProgramming: Models and Applications; Lecture notes in manuscript form, to be submittedfor publication, (1998). Operations Research, Encyclopedia of Physical Science andTechnology (1992). Handbook of Operations Research, co-editor (with J.J. Moder), ReinholdVan- Nostrand Publishers, Vol. 1, January, 1978; Vol. 2, April (1978). This handbook wastranslated into Russian. Activity Networks: Project Planning and Control by NetworkMethods, John Wiley & Sons, 443 pages, (1977). This book was translated into Japanese.Allocation Models, contributed to the Encyclopedia of Computer Science, (1974), 371-382; co-authored with M. El-Kammash. Scheduling Theory and Its Applications, Editor, Proceedingsof Symposium, Springer-Verlag, (1973). Operations Research, Chapter 3 of Section 10 inIndustrial Engineering Handbook, McGraw-Hill, 3rd Ed., (1971), H. B. Maynard, Ed. SomeNetwork Models in Management Science, Springer-Verlag Lecture Series in OperationsResearch, No. 29, June, (1970). The Design of Production Systems, Reinhold PublishingCompany, New York City, 481 pages, May, (1966). This book was translated into Rumanian.


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Scientific Publications - PapersOver 90 papers in scientific journals, of which the following are the most recent ten.

1. "Optimal Resource Allocation via Dynamic Programming in Activity Networks," OR ReportNo. 248, May 1990. Presented at the Second International Workshop on ProjectManagement and Scheduling, Compiegne, France, June 20-23, 1990; Euro. J. Operl. Res. 64,1-17 (1992).

2. "System Modeling: Petri Nets and Activity Nets in Juxtaposition," Proc. IEEE, SMC'92,Chicago, IL, Oct. 18-21, vol. 2, 853-860, (1992).

3. "Activity Nets: A Guided Tour Through Some Recent Developments," Euro. J. Operl. Res.82, 383-408 (1995).

4. "Optimal Procedures for the Discrete Time/Cost Trade-Off Problem in Project Networks,"Euro. J. Operl. Res. 88, 50-68 (1996).

5. "DAGEN: A Network Generating Algorithm," Euro. J. Operl. Res., 1996. Co-authored withA. Agrawal and W. Herroelen.

6. “On the expected completion time of diffusion activity networks (DiAN)”, in Managing andModeling Complex Projects, T.M. Williams, ed., 47-67, Kluwer (1997), co-authored withM.K. Agrawal. “On the sensitivity of project variability to activity mean duration,” (1999),with Y. Fathi and M.R. Taner. IJPE 62, 219-232..

7. “Optimal start times under stochastic activity durations,” (2000), co-authored with A.A.Ferreira and L.V. Tavares. Paper presented at IEPM, Lyon, France, October 20-24. IJPE 64,153-164.

8. “The two-machine stochastic flowshop problem: The case of arbitrary distributions,”November (1997), with K.A. Thoney. Accepted for publication, IE Trans.

9. “An optimal assembly mode of multi-type printed circuit boards,” (1999), Comp.& Ind. Eng.36, 451-471. With K.Ohno and Z.H. Jin.

10. “Scheduling hybrid flowshops in printed circuit assembly lines,” January (1999), with Z.H.Jin, K. Ohno and T. Ito, accepted for publication, Computers & Ind. Eng. With Z.H. Jin, K.Ohno, and T. Ito.


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Edward W. EricksonDr. Edward W. Erickson is Professor of Economics at North Carolina State University.

Dr. Ed Erickson has engaged in public service activities for the Office of Technology Assessmentof the U.S. Congress, the Media Institute, the Scientists Institute for Public Information, the NationalAcademy of Sciences, the National Petroleum Council, the North Carolina Energy Policy Council, theBrookings Institution and the Cabinet Task Force on Oil Import Control. Dr. Erickson is a member of theBoard of Directors of Tax Analysts, has been a Vice-President of the International Association of EnergyEconomists and was the editor of the Special Tax Issue of The Energy Journal.

Dr. Erickson has taught Management Policy and Decision Making; Competition, Monopoly andPublic Policy; Industrial Organization; Corporate Finance; and Economic Principles. In addition to hispositions at N.C. State, Dr. Erickson has also taught at Vanderbilt University and Duke University. Dr.Erickson is a member of the American Economic Association and the International Association forEnergy Economics. He is an adviser to the North Carolina Japan Center.

Dr. Erickson's research has focused upon the economics of energy and he has written or edited anumber of books. Dr. Erickson is widely published in scholarly journals such as the Bell Journal ofEconomics and Management Science, The Journal of Political Economy, the Southern Economic Journal,the CATO Journal, the Brookings Papers on Economic Activity, and The Energy Journal. Dr. Ericksonhas testified before the U.S. Congress more than a dozen times.

Dr. Erickson has served on the NCSU Research Operations Council. He has been a member andpast chairman of the University Research Committee. He was Acting President and a member of theBoard of Directors of the Business Innovation and Technology Advancement Center, Inc. (BITAC) andserved on the Operating Committee. Dr. Erickson also has served as Director of the NCSU Center forEconomic and Business Studies. He has also been the Director of NCSU's Master of Technology forInternational Development program and Coordinator of the NCSU Office of International Programs.

Dr. Erickson received his Ph.D. from Vanderbilt University and earned a B.A. from PennsylvaniaState University. Dr. Erickson’s direct line is 919-513-2876 and his e-mail address [email protected].


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Paul L. FacklerAssociate ProfessorDepartment of Agricultural and Resource [email protected]: May 28, 1956, Washington D.C.

Education:Ph.D., Agricultural and Applied Economics (minor in Economics), University of Minnesota, 1986

M.S., Agricultural and Resource Economics, University of Maine, 1982

B.A., Economics, Colby College, Waterville, ME, 1978.

Positions:Associate Professor, North Carolina State University, July 1993 - present.

Assistant Professor, North Carolina State University, January 1987 - June 1993.

Lecturer, University of Minnesota, August 1986 - December 1986.

Research Assistant, University of Minnesota, September 1982 - June 1986.

Research Assistant, University of Maine, September 1980 - August 1982.

Professional Affiliations:American Agricultural Economics Association

North Central Regional Research Committee (NCR-134) on Applied Commodity Price Analysis,Forecasting, and Market Risk Management

Southern Regional Research Committee (SERA-IEG-31) on Economics and Management of Risk inAgriculture and Natural Resources

Research:Subjects of interest:

Futures and options markets

Commodity market analysis

Risk analysis and managementComputational economics


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Partial Publication List:� Orden, David & Paul L. Fackler. “Identifying Monetary Impacts on Agricultural Prices in VAR

Models.” American Journal of Agricultural Economics. 71 (May 1989): 495-502.� Fackler, Paul L. “A Note on Alternative Market and Governmental Risk Transference

Mechanisms.” Southern Journal of Agricultural Economics. 21(Dec. 1989):203-209.� Fackler, Paul L. & Robert P. King. “The Calibration of Option Based Probability Forecasts for

Agricultural Commodity Prices.” American Journal of Agricultural Economics. 72(1990):73-83.� Fackler, Paul L. “Modeling Interdependence: An Approach to Simulation and Elicitation.”

American Journal of Agricultural Economics 73(1991): 1091-1097.� Fackler, Paul L. “Liquidation and Delivery in the Cattle and Hog Futures Markets.” Review of

Futures Markets, 11(1992): 184-203.� Fackler, Paul L. and Kevin P. McNew. “Multivariate Hedging: Theory, Estimation and an

Application.” Review of Agricultural Economics 15(1993): 521-535.� Fackler, Paul L. “Delivery and Manipulation in Futures Markets.” Journal of Futures Markets

13(1993): 693-702.� McNew, K.P and P.L. Fackler. “Non-Constant Hedge Ratios and Nested Hypotheses Tests.”

Journal of Futures Markets, 14(1994): 619-635.� Fisher, L.A., P.L. Fackler and D. Orden. “Long-Run Identifying Restrictions for an Error-

Correction Model of New Zealand Money, Prices and Output.” Journal of International Moneyand Finance, 14(1995):127-147.

� Frechette, Darren L. and Paul L. Fackler. “What Causes Commodity Price Backwardation?”American Journal of Agricultural Economics. 81(1999): 761-771.

� Fackler, Paul L and Michael J. Livingston. “Optimal On-Farm Storage” In Applied PriceAnalysis, Forecasting, and Market Risk Management, Proceedings of the NCR-134 Conference,Chicago, IL; April 22-23, 1996. Department of Agricultural Economics, Oklahoma StateUniversity, Stillwater, OK. Pp. 176-190.

� Fackler, Paul L and Yanjun Tian. “Volatility Models for Commodity Markets.” In Applied PriceAnalysis, Forecasting, and Market Risk Management, Proceedings of the NCR-134 Conference,Chicago, IL; April 19-20, 1999. Department of Agricultural Economics, Oklahoma StateUniversity, Stillwater, OK.

Under Contract:

� Miranda, Mario and Paul L. Fackler. Practical Computational Methods in Economics andFinance. MIT Press, Cambridge MA.

Teaching (graduate courses):� ECG(ST)561: Intermediate Econometrics� ECG765: Mathematical Methods in Economics� ECG590Q: Quantitative Methods for Managerical Economics (special topics)� ECG790C: Computational Methods in Economics (special topics)


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Jean-Pierre FouqueProfessor of Mathematics(http://www.math.ncsu .edu/~fouque)Born: July 3, 1954 in France, French citizen, US permanent resident.

Education:Ph.D. in Mathematics, 1979, Pierre et Marie Curie University, Paris, France.

Positions:2001- : Professor of Mathematics, NCSU.

1998-2001 : Associate Professor of Mathematics, NCSU.

1996-98: Visiting Stanford University.

1989-98: Charge de Recherche C.N.R.S. and Maitre de Conferences at theEcolePolytechnique, France.

Spring 1989, Fall 1990, 91,92: visiting the University of California Irvine.

1982-89: Charge de Recherche C.N.R.S., Laboratoire de Probabilites, Paris University.

1980-82: Visiting Assistant Professor at the Ohio State University.

Professional Affiliations:American Mathematical Society (AMS).

Society for Industrial and Applied Mathematics (SIAM).

Research:Subjets of interest:

Stochastic Processes

Stochastic Partial Differential Equations

Waves in Random Media

Financial Mathematics


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Recent Publications in Financial Mathematics (with G. Papanicoalou at Stanford and R. Sircar atPrinceton):

Book:� Derivatives in Financial Markets with Stochastic Volatility. Cambridge University Press (June

2000).Articles in referred journals:

� From the Implied Volatility Skew to a Robust Correction to Black-Scholes American OptionPrices: International Journal of Theoretical and Applied Finance. To appear 2000.

� Stochastic Volatility Correction to Black-Scholes. RISK Magazine, February 2000.� Mean-Reverting Stochastic Volatility. International Journal of Theoretical and Applied Finance

Vol.3, No 1 (2000).� Financial Modeling in a Fast Mean-Reverting Stochastic Volatility Environment. Asia-Pacific

Financial Markets Vol. 6, No 1 (1999).� Asymptotics of a Two-Scale Stochastic Volatility Model. In Equations aux derivees partielles et

applications, Articles dedies a Jacques-Louis Lions, Gauthier-Villars, Paris (1998).

Recent Invited Lectures in International Conferences:� Fourth Annual International Press Lecture Series: stochastic differential equations and their use in

financial mathematics. Irvine, CA. November 5-7, 1998.� French-Israeli Conference on SPACE: Frontiers of Interdisciplinary Research and Applications

Bar Ilan University, Israel. March 21-22, 1999.� SIAM Conference on Mathematical and Computational Issues in the Geosciences.

Minisymposium on Waves in Multiscale Media. San Antonio, Texas. March 24-27, 1999.� International Conference on Mathematical Finance, Hammamet, Tunisia. June 14-18, 1999.� Third Seminar on Stochastic Analysis, Ascona, Switzerland. September 20-24, 1999.� Minisymposia on Mathematics and Finance, SIAM Southeast Regional Mathematics in industry

Workshop, NCSU Raleigh, October 10-12, 1999.� Hotelling Triangle Econometrics Conference, Raleigh-Durham, December 10, 1999� Workshop Frontiers in Finance, Paris March 17 and London June 9, 2000.� Workshop on Financial Mathematics. Stanford University. April 29-30, 2000.� First World Congress of the Bachelier Finance Society, Paris, June 27-July 1, 2000.

Teaching (graduate courses):� MA(ST)546-MA(ST)747: Probability and Stochastic Processes I and II (starting August 2000).� MA(ST)748: Stochastic Differential Equations.� MA797: Financial Mathematics (special topics).


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Jeffrey S. Scroggs(http://www.math.ncsu.edu/~scroggs)USA citizen.

Education:1983 B.S. Mathematics and Computer Science, University of Illinois, Urbana-Champaign.

1988 Ph.D. Computer Science, University of Illinois, Urbana-Champaign.

Positions:1999- : Assistant Head, Director of the Undergraduate Program, Mathematics, NCSU

1996- : Associate Professor, Mathematics, NCSU.

1991-96: Assistant Professor, Mathematics, NCSU.

1988-90: Staff Scientist, ICAS, NASA Langley Research Center.

Professional Affiliations:Society for Industrial and Applied Mathematics (SIAM)

Association for Computing Machinery (ACM)

Institute of Electrical and Electronic Engineers (IEEE)

Research:Subjets of interest:

� Numerical Methods for Partial Differential Equations� Fluid Dynamics (climate modeling, internal flows)� Scientific Computing, especially utilizing Object Oriented Design� Financial Mathematics

Recent Publications:� Bachmann, Banks, Hopfner, LeSure, McCall, and Scroggs, Optimal design of an organometallic

chemical vapor deposition reactor, Mathematics and Computer Modeling, 29 (1999) pp 65-80.� Qian, Semazzi, Scroggs, A global non-hydrostatic semi-Lagrangain atomospheric model,

Monthly Weather Review (1998).� Kepler, Bachmann, Hopfner, and Scroggs, Simulation of a veritcal reactor for high-pressure

organometallic chemcial vapor deposition, Materials Research and Engineering B (1999).

Teaching (graduate courses):� MA(CSC)580: Numerical analysis I.� MA(CSC)584: Finite difference methods for partial differential equations


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John Joseph Seater

CITIZENSHIP: U.S.A.

DATE OF BIRTH: February 17, 1947

CURRENT POSITION:Professor, Department of Economics and Business, NCSU, Since August 1985

CONCURRENT POSITIONS:Senior Fellow, Warton Financial Institutions Center, Wharton School, University of Pennsylvania, SinceSeptember 1997

Visiting Professor, Department of Economics, Duke University, Since September 1996

PREVIOUS POSITIONS:Associate Professor, Department of Economics and Business

NCSU, September 1981 through July 1985Senior Economist, Federal Reserve Bank of Philadelphia, September 1974 through August 1981

VISITING POSITIONS:Scuola di Specializzazione in Discipline Bancarie, Universita degli Studi di Siena, Siena, Italy, January2000 through May 2000

Department of Economics, University of Pennsylvania, September 1988 through May 1989and September 1980 through May 1981

Department of Economics, Princeton University, September 1987 through May 1988

PROFESSIONAL SERVICE:Associate Editor, Journal of Business and Economic Statistics, 1986 - 1998.

EDUCATION:Ph.D., Economics, Brown University, June 1975.Sc.M., Applied Mathematics, Brown University, June 1974.A.B., Political Science, Brown University, June 1969.

FIELDS OF SPECIALIZATION: In Economics: Macroeconomics Monetary Economics In Applied Mathematics: Stability and Control of Dynamical Systems

TEACHING AWARD:College of Management nominee for NCSU Distinguished Graduate Teaching Award, 1998-99.


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RESEARCH INTERESTS:Micro Foundations of Macroeconomics, Business Cycles, Financial Institutions and Real EconomicBehavior

RESEARCH PUBLICATIONS:"GARP, Separability, Aggregation, and Euler Equation Estimation." Macroeconomic Dynamics 4,December 2000. (Adrian Fleissig and Ronald Gallant, co-authors.)

"GARP, Separability, and the Representative Agent." Macroeconomic Dynamics 4, September 2000.(Adrian Fleissig and Alastair Hall, co-authors.)

"Is There an Optimal Size for the Financial Sector?" Journal of Banking and Finance 24, June 2000, pp.945-965. (Anthony M. Santomero, co-author.)

"The Permanent Income Hypothesis: Evidence from the Consumer Expenditure Survey." Journal ofMonetary Economics 43, April 1999, pp. 351-376. (Joseph DeJuan, co-author.)

"Testing the Permanent Income/Life Cycle Hypothesis with Aggregate Data." MacroeconomicDynamics 2, September 1998, pp. 401-425.

"A Cross-Country Test of the Permanent Income Hypothesis." International Review of AppliedEconomics 11, September 1997, pp. 451-468.

"An Optimal Control Solution to the Liquidity Constraint Problem." Economics Letters 54, February1997, pp. 127-134.

"Ricardian Equivalence." Business Cycles and Depressions: An Encyclopedia, David Glasner, ed.Garland Publishing, Inc., New York and London, 1997, pp. 577-580.

"Alternative Monies and the Demand for Media of Exchange." Journal of Money, Credit, and Banking28, November 1996, pp. 942-960. (Anthony M. Santomero, co-author.)

"Temporal Aggregation and Economic Time Series." Journal of Business and Economic Statistics 13,October 1995, pp. 441-451. (Robert Rossana, co-author.)

"World Temperature Trend Uncertainties and Their Implications for Economic Policy." Journal ofBusiness and Economic Statistics 11, July 1993, pp. 265-277.

"Long Run Neutrality and Superneutrality in an ARIMA Framework." American Economic Review 83,June 1993, pp. 402-415. (Mark Fisher, co-author.)

"Ricardian Equivalence." Journal of Economic Literature 31, March 1993, pp. 142-190.

"Aggregation, Unit Roots, and the Time Series Structure of Manufacturing Real Wages." InternationalEconomic Review 33, February 1992, pp. 159-179. (Robert Rossana, co-author.)

"Commentary." Perspectives on the Federal Budget Deficit, Larry V. Ellis and Steven W. Millsaps, eds.,Walker College of Business, Boone, NC, 1988, pp. 69-73.


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"Does Government Debt Matter: A Review." Journal of Monetary Economics 16, July 1985, pp. 121-131.

"Testing Equilibrium Models of the Business Cycle: The Case of the Labor Market." Review ofEconomics and Statistics 67, November 1985, pp. 670-675.

"New Tests of the Life Cycle and Tax Discounting Hypotheses." Journal of Monetary Economics 15,March 1985, pp. 195-215. (Roberto S. Mariano, co-author.)

"On the Construction of Marginal Federal Personal Income and Social Security Tax Rates in the U.S."Journal of Monetary Economics 15, January 1985, pp. 121-135.

"Marginal Corporate and Personal Income Tax Rates in the U.S., 1913-1975." Journal of MonetaryEconomics 10, November 1982, pp. 361-381.

"Are Future Taxes Discounted?" Journal of Money, Credit, and Banking 14, August 1982, pp. 376-389.

"On the Estimation of Permanent Income." Journal of Money, Credit, and Banking 14, February 1982, pp.76-83.

"Partial Adjustment in the Demand for Money: Theory and Empirics." American Economic Review 71,September 1981, pp. 566-578. (Anthony M. Santomero, co-author.)

"The Market Value of Outstanding Government Debt, 1919-1975." Journal of Monetary Economics 8,July 1981, pp. 85-101.

"Publishing Performance: Departmental and Individual: Additions and Corrections." Economic Inquiry17, October 1979, pp. 609-612. (John Bell, co-author.)

"Job Search and Vacancy Contacts." American Economic Review 69, June 1979, pp. 411-419.

"Utility Maximization, Aggregate Labor Supply, and the Phillips Curve." Journal of Monetary Economics4, November 1978, pp. 687-713.

"Publishing Performance: Departmental and Individual." Economic Inquiry 16, October 1978, pp. 599-615. (John Bell, co-author.)

"The Inflation-Unemployment Trade-off: A Critique of the Literature." Journal of Economic Literature16, June 1978, pp. 499-544 (Anthony M. Santomero, co-author.)

"A Unified Model of Consumption, Labor Supply, and Job Search." Journal of Economic Theory 14,April 1977, pp.349-372.

"Stability of the Phillips Curve and the Accelerationist Hypothesis: Comment." Quarterly Review ofEconomics and Business 16, Winter 1976, pp. 98-99.


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Thomislav Vukina

Home: 1513 Shadowood Lane, Raleigh, NC 27612tel. (919) 781-6902

Office: Department of Agricultural and Resource EconomicsNorth Carolina State University; Raleigh, NC 27695-8109tel. (919) 515-5864, FAX: (919) 515-6268e-mail: [email protected]

EDUCATION

1991 Ph.D., Economics – Marine Resources. University Of Rhode Island.1982 M.A., Economics. University Of Zagreb, Croatia.1978 B.A., Economics. University Of Zagreb, Croatia.

EXPERIENCE

1997-Present Associate Professor & Extension Economist, NCSU, Agricultural And ResourceEconomics1993-1997 Assistant Professor & Extension Economist, NCSU, Agricultural And ResourceEconomicsFall 1999 Visiting Professor - Lektor, Royal Veterinary And Agricultural University, EconomicsAnd Natural Resources, Copenhagen, Denmark.1993 Visiting Assistant Professor, University Of Rhode Island, Resource Economics1992 Postdoctoral Fellow, , University Of Rhode Island, Resource Economics1988-1991 Graduate Assistant, University Of Rhode Island, Resource Economics1989-1990 Intern, World Bank, Economic Development Institute, Washington, D.C.1983-1986 Research Associate, Institute For Developing Countries, Zagreb, Croatia1978-1983 Research Assistant, Institute For Developing Countries, Zagreb, Croatia

PARTIAL PUBLICATION LIST

Journal Articles

Vukina, T. and A. Wossink. Environmental Policies and Agricultural Land Values: Evidence from theDutch Nutrient Quota System. Land Economics, August 2000, forthcoming.Vukina, T., J. C. Beghin and E.G. Solakoglu. Transition to Markets and the Environment: Effects of theChange in the Composition of Manufacturing Output. Environment and Development Economics, Vol. 4(1999): 582-598.

Tsoulouhas, T. and T. Vukina. Processor Contracts with Many Agents and Bankruptcy. American Journalof Agricultural Economics, Vol. 81 (February 1999): 61-74. (Outstanding Journal Article, 1999)

D.F. Li and T. Vukina. Effectiveness of Dual Hedging with Price and Yield Futures. The Journal ofFutures Markets, Vol. 18(5), August 1998: 541-561.

Vukina, T., H.J. Barnes and M.N. Solakoglu. Intervention Decision Model to Prevent Spiking Mortality


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of Turkeys. Poultry Science, Vol. 77, July 1998: 950-955.

Palmquist, R. B., F. M. Roka, and T. Vukina. Hog Operations, Environmental Effects, and ResidentialProperty Values. Land Economics, Vol. 73(1), February 1997:114-124.

Vukina, T., D. F. Li, and D. Holthausen. Hedging with Crop Yield Futures: A Mean-Variance Analysis.American Journal of Agricultural Economics, Vol. 78, November 1996: 1015-1025.

Vukina, T. and W. E. Foster. Efficiency Gains in Broiler Production Through Contract Parameters FineTuning. Poultry Science, Vol. 75, November 1996: 1351-1358.

Vukina, T., F. Roka and R. B. Palmquist. Swine Odor Nuisance: Voluntary Negotiation, Litigation andRegulation - North Carolina's Experience. Choices, First Quarter 1996: 26-29.

Casey, J. F., T. Vukina and L. E. Danielson. The Economic Value of Hiking: Further Considerations ofOpportunity Cost of Time in Recreational Demand Models. Journal of Agricultural and AppliedEconomics, Vol. 27 (2), December 1995: 658-668.

Vukina, T., F. Roka and T. Carter. Economic Impact of Poultry Industry: The Case Study of NorthCarolina. Journal of Applied Poultry Research, Vol. 4 (3), 1995: 319-331.

Vukina, T. and J. L. Anderson. An Adaptive Model of Perishable Inventory Dissipation in ANonstationary Price Environment. Agricultural and Resource Economics Review, Vol.23, April 1994: 1-10. (Article of the Year 1994).

Vukina, T. and J. L. Anderson. Price Forecasting With State-Space Models of Nonstationary TimeSeries: Case of the Japanese Salmon Market. Computers and Mathematics with Applications, Vol. 27 (5),1994: 45-62.

Vukina, T. and J. L. Anderson. A State-Space Forecasting Approach to Optimal Intertemporal Cross-Hedging. American Journal of Agricultural Economics, Vol. 75, May 1993: 416-424.

Vaccaro, R. and T. Vukina. A Solution to the Positivity Problem in the State-Space Approach toModeling Vector-Valued Time Series. Journal of Economic Dynamics and Control, Vol. 17, May 1993:401-421.

Vukina, T. Hedging with Forecasting: A State-Space Approach to Modeling Vector-Valued Time Series.The Journal of Futures Markets, Vol. 12 (3), 1992: 307-327.

Research Bulletins, Chapters in Books:

Hayenga, M, T. Schroder, J. Lawrence, D. Hayes, T. Vukina, C. Ward and W. Purcell. “Meat PackerVertical Integration and Contract Linkages in the Beef and Pork Industries: An Economic Perspective.”http://www.meatami.org/indstructure_6700.pdf; American Meat Institute, Arlington, Virginia, 2000.

Vukina, T. and W.E. Foster. "Grower Response To Broiler Production Contract Design." in J.S. Royerand R. Rogers, editors. The Industrialization of Agriculture: Vertical Coordination in the U.S. FoodSystem. Ashgate Publishing, Aldershot, U.K., 1998, pp. 133-154.

Vukina, T., F. Roka, T. Carter, J. Brandt, and K. Zering. Impact of the Poultry Industry on the Economyof North Carolina. North Carolina Agricultural Research Service, Technical Bulletin 307, NCSU,


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Raleigh, August 1995.

Vukina, T. Energy and Environment: Some Key Issues. EDI Working Paper, Energy Series. The WorldBank, Washington, D.C.1992.

TEACHING

� 095918 (Royal Agricultural University, Copenhagen): Natural Resource Economics (Master’s level):Fall 1999.

� EC-436 (NCSU) Environmental Economics (undergraduate): Fall 1993, 1994, Spring 1999, 2000.

� ECG-716 (NCSU) Topics in Environmental and Resource Economics (Ph.D. level): Spring 1998,1999, 2000.

� ECG-515 (NCSU) Environmental and Resource Policy (Master’s level): Fall 94, 95,96, 97.

� ARE-336 (NCSU) Introduction to Resource and Environmental Economics (undergraduate): Fall1996, 1997.


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Jim Wilson(http://www.ie.ncsu.edu/jwilson)Born: July 11, 1948, in U.S.A.

Education:B.A. in Mathematics, Rice University, 1970

M.S. in Industrial Engineering, Purdue University, 1977

Ph.D. in Industrial Engineering, Purdue University, 1979

Positions:1991–Present: Professor of Industrial Engineering, NCSU

1999–Present: Head, Department of Industrial Engineering, NCSU

1995–1999: Director of Graduate Programs, Department of Industrial Engineering, NCSU

1985–1991: Associate Professor of Industrial Engineering, Purdue University

1979–1984: Assistant Professor of Mechanical Engineering, University of Texas at Austin

Professional Affiliations:American Statistical Association

Association for Computing Machinery

Institute of Industrial Engineers

Institute for Operations Research and the Management Sciences

Research:Subjects of Interest:

Probabilistic and statistical issues in the design and analysis of large-scale simulation experiments,including: modeling, estimation, and generation of stochastic input processes; analysis of outputprocesses; improving simulation efficiency using variance reduction techniques; optimization usingmultiple-comparison and search procedures; and applications of these techniques to productionsystems engineering and financial engineering

Recent publications:

� Kuhl, M. E., J. R. Wilson, and M. A. Johnson. 1997. Estimating and simulating Poissonprocesses having trends or multiple periodicities. IIE Transactions 29 (3): 201--211. Availableonline as ftp://ftp.eos.ncsu.edu/pub/jwilson/espp97.ps [accessed April 6, 1998].

� Houck, C. R., J. A. Joines, M. G. Kay, and J. R. Wilson. 1997. Empirical investigation of thebenefits of partial Lamarckianism. Evolutionary Computation 5 (1): 31--60.


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� Lavelle, J. P., J. R. Wilson, H. J. Gold, and J. R. Canada. 1997. A method for the incorporationof parametric uncertainty in the weighted evaluation multi-attribute decision analysis model.Computers and Industrial Engineering 32 (4): 769--786.

� Avramidis, A. N., and J. R. Wilson. 1998. Correlation-induction techniques for estimatingquantiles in simulation experiments. Operations Research 46 (4): 574–591. Available online asftp://ftp.eos.ncsu.edu/pub/jwilson/quantile96.ps [accessed May 6, 1998].

� Weintraub, A. J, D. Cormier, T. J. Hodgson, R. E. King, and J. R. Wilson. 1998. Scheduling withalternatives: A link between process planning and scheduling. IIE Transactions 31 (11): 1093–1102.

� Irizarry, M. de los A., and J. R. Wilson. 2000. A flexible simulation tool for manufacturing celldesign, I: Model structure, operation, and case study. IIE Transactions to appear. Availableonline as ftp://ftp.eos.ncsu.edu/pub/jwilson/cs1r2.pdf [accessed March 15, 2000].

� Irizarry, M. de los A., and J. R. Wilson. 2000. A flexible simulation tool for manufacturing celldesign, II: Response surface analysis and case study. IIE Transactions to appear. Availableonline as ftp://ftp.eos.ncsu.edu/pub/jwilson/cs2r3.pdf [accessed March 15, 2000].

� Kuhl, M. E. and J. R. Wilson. 2000. Least squares estimation of nonhomogeneous Poissonprocesses. Journal of Statistical Computation and Simulation in press. Available online asftp://ftp.eos.ncsu.edu/pub/jwilson/jscs30.pdf [accessed April 5, 2000].

Recent Invited Lectures in International Conferences:� Wilson, J. R. 1998. Stochastic simulation input modeling with Johnson distributions. Joint

meeting of the Institute for Operations Research and the Management Sciences and the CanadianOperational Research Society, Montréal, Québec, Canada, April 1998.

� Wagner, M. A. F., and J. R. Wilson. 1998. Simulation input modeling with Bézierdistributions. Joint meeting of the Institute for Operations Research and the ManagementSciences and the Canadian Operational Research Society, Montréal, Québec, Canada, April 1998.

� Steiger, N. M., and J. R. Wilson. 1999. Improved batching for confidence interval constructionin steady-state simulation. 1999 Winter Simulation Conference, Phoenix, Arizona, December1999.

Teaching (Graduate Courses):� IE/OR 760: Applied Stochastic Models In Industrial Engineering� IE/OR 761: Queues and Stochastic Service Systems� IE/OR 762: Computer Simulation Techniques� IE/OR 772: Stochastic Simulation Design and Analysis


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Appendix B. Resource Commitments by Participating UnitsDepartments of Economics and Agricultural and Resource EconomicsThe two campus economics departments have a number of faculty involved in financiallyoriented research. Paul Fackler conducts research on commodity futures and options markets andon computational methods. Tom Vukina conducts research on resource valuation with a capitaltheory perspective. John Seater is involved in research on the banking industry. In addition,Alastair Hall and Atsushi Inoue conduct research on the econometric analysis of financialmarkets.The departments currently offer a number of courses in the elective course lists. These coursesrequire no changes to meet the needs of the FM program. Two core courses would be taught byfaculty in the ECG program. A new course on asset pricing would be developed by Paul Fackler,who also currently teaches a course on computational methods. The latter would be co-listedwith the mathematics department, which would share teaching responsibilities for it.

Department of Industrial EngineeringThe Department of Industrial Engineering has committed to hire at least one new faculty memberwith expertise in financial engineering. A two semester sequence in Financial Engineering willbe developed. The first course will be a revision of IE711, currently taught by Dick Bernhard. Itwill introduce key concepts, models, and methodologies for financial engineering. (Dick'srevision will be included later.) The second course will focus on mathematical optimization andsimulation models for financial products. Additional courses in the area will be developed by thenew hires. Departmental faculty members in the area of Systems Analysis and Optimization,including Wilson, Nuttle, Fathi, Elmaghraby, Bernhard and Fang, have interest in developingfinancial engineering related optimization and simulation models and methodologies.

Department of MathematicsThe Department of Mathematics has one senior faculty member, Jean-Pierre Fouque, who isactively involved in research and teaching in Financial Mathematics and closely related to fourof the best programs worldwide (G. Papanicolaou at Stanford, N. El Karoui in Paris, R. Carmonaat Princeton and M. Avellaneda at NYU). He has developed a new course MA547, FinancialMathematics, taught during Fall99 as special topics and attended by thirteen excellent studentsfrom four departments. The revision of MA(ST)546 and the creation of MA747 and MA748 willinsure a solid mathematical foundation in Probability and Stochastic Processes as well as anexposure to practical applications. J. Scroggs will develop with P. Fackler the cross-listed courseECG/MA in computational finance.The Department of Mathematics in its latest compact, has committed itself to twonew (retirement replacements) positions in Financial Mathematics. The first of these twopositions will be filled in 2002. Other existing faculty members in Mathematics who will make asubstantial commitment or effort to the program include W. Mceneaney and K. Ito. This and apostdoc position committed by Mathematics will place the department in an excellent position tooffer the best mathematical and computational environment for the FM program.


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Department of StatisticsThe Department of Statistics has several faculty members with expertise in the statistical analysisof financial markets. Peter Bloomfield is involved in the analysis of firm credit risk and themeasurement of risk exposure. The department is noted for its expertise in time series analysis,with research in this area carried out by David Dickey, Sujit Ghosh, John Monahan and SastryPantula.Currently, none of the introductory master's level statistics courses have a specifically financialand/or economics orientation. The various courses in time series analysis typically utilizeeconomic or finance data and a recently developed special topics course (ST 810 - Credit Risk inFinancial Derivatives) taught by Peter Bloomfield is specifically focussed on financial analysis.Participating faculty would serve as advisors to students in this program for student wishing toemphasize statistical analysis of financial assets. In addition, if a new statistics faculty positionwere to be created in this area, the department will consider developing a Statistics for Financeand other related courses that are relevant for this program.


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Appendix C. Course Descriptions

ECG 504 Monetary and Financial MacroeconomicsSpring semester, Alt. Yrs.Financial and monetary determinants of national income and employment and levels of wages, the interest rate andinflation. Emphasis on money supply and banking system. Special topics include banking regulation, budgetarydeficits and dynamics of money stock determination.

ECG 716 Topics In Environmental and Resource EconomicsSpring semesterAdvanced study of selected topics in environmental and resource economics. Topics vary with interests of instructorand students.

ECG 749 Monetary Aspects Of International TradeSpring semesterMacroeconomic problems of an open economy including balance of payments adjustment mechanism, alternativeexchange rate systems, external effects of monetary and fiscal policy, optimum currency areas and internationalmonetary reform.

ECG/ST 751 EconometricsFall SemesterRole and uses of statistical inference in economic research; problem of spanning gap from an economic model to itsstatistical counterpart; measurement problems and their solutions arising from statistical model and nature of thedata; limitations and interpretation of results of economic measurement from statistical techniques.

ECG/ST 752 Topics In EconometricsSpring semesterSurvey of current literature on estimation and inference in simultaneous stochastic equations systems. Techniquesfor combining cross section and time series data including covariance, error correlated and error component models.Lag models and inference in dynamic systems. Production functions, productivity measurement and hypothesesabout economic growth. Complete and incomplete prior information in regression analysis. Nonlinear estimation ineconomic models.

ECG 784 Advanced MacroeconomicsAdvanced study of macro-economics. Emphasis on business cycles and behavior of real variables. Real, incompleteinformation and disequilibrium theories of the business cycle; rational expectations; contract theory and indexation;investment; and effects of government expenditure, taxes and debt.

ECG/MA790C (currently special topics) Computational Methods in Economics and FinanceFall semesterFundamental methods for formulating and solving economic models will be developed. Emphasis will be ondefining the mathematical structure of problems and on practical computer methods for obtaining model solutions.Major topics will include solution of systems of equations, complementarity relationships and optimization. Bothfinite and infinite dimensional problems will be addresses, the latter through the use of finite dimensionalapproximation techniques. Particular emphasis will be placed on solving dynamic optimization and equilibriumproblems. Applications will be drawn from finance, agricultural and resource economics, macroeconomics andeconometrics.


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ECGXXX (Proposed Course) Asset PricingFall semesterPricing of passively and actively managed assets. Passive assets include bonds, futures, options and swaps. Modernapproach to derivatives pricing using stochastic calculus. Actively managed assets are priced using stochasticcontrol methods. Applications include portfolio management, natural resource sire evaluation and valuingmanagerial flexibility. Real options aspects of assets are stressed.

IE 709 Dynamic ProgrammingSpring semesterIntroduction to theory and computational aspects of dynamic programming and its application to sequential decisionproblems.

IE 711 (revised) Introduction to Financial EngineeringFall SemesterA modern, option-based approach to capital investment planning. Fisherian consumption/investment analysis.Conflicting indices of project worth. Impact of constraints. Rational behavior, utility and portfolio theory, and thecapital investment pricing model. Sequential decision processes, decision trees and the value of information. Pricingmodels for financial and real options, including discrete binomial and trinomial lattices, risk-neutral probabilities,and introduction to continuous models and the Black-Scholes equation. Computational considerations. Numerousillustrative examples for applications in engineering, business and finance.

IE 712 Bayesian Decision Analysis For Engineers and ManagersSpring semesterThe Bayesian approach to decision making, with numerous applications in engineering and business. Expected valuemaximization, decision trees, Bayes' theorem, value of information, sequential procedures and optimal strategies.Axiomatic utility theory and controversies, utility of money, theoretical and empirical determination of utilityfunctions and relationship to mean-variance analysis. Brief introduction to multi-attribute problems, time streamsand group decisions.

MA/ST 546 (revised) Probability And Stochastic Processes IFall semesterModern introduction to Probability Theory and Stochastic Processes. The choice of material is motivated byapplications to problems such as queueing networks, filtering and financial mathematics. Topics include: review ofdiscrete probability and continuous random variables,random walks, Markov chains, martingales, stopping times, ergodicity, conditional expectations, continuous-timeMarkov chains, laws of large numbers, central limit theorem and large deviations.

Remark: depending on the enrollment, we may have to open two sections, one particularly oriented to financialmathematics which would be the natural choice for the FM students.

MA547 Financial Mathematics (starting 2002 - currently special topics)Spring semesterMotivated by the problem of Derivatives Pricing in Finance the necessary tools from Probability Theory andStochastic Processes will be introduced. In the first part we present the main objects of interest from Finance in thecontext of discrete models. Discrete probability spaces will be reviewed and fundamental results on MartingaleTheory will be discussed including the optimal stopping problem applied to American options. In the second part weshow how to go from discrete to continuous models. We will study the celebrated Brownian Motion and theassociated Ito's Stochastic Calculus. In the third part of the course we show how to use these tools for pricingvarious types of derivatives (European, American, Asian, etc.) in the context of continuous models such as Black-Scholes. The relation with PDEs will be explained and numerical issues will be discussed. Models for interest ratesand associated pricing problems will be presented. In the last part of the course generalizations to stochasticvolatility models and calibration issues will be discussed.


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MA(ST)747 (created 2001): Probability And Stochastic Processes IISpring semesterFundamental mathematical results of probabilistic measure theory needed for advanced applications in stochasticprocesses. Topics include: probability measures, sigma-algebras, random variables, Lebesgue integration,expectation and conditional expectations w.r.t. sigma algebras, characteristic functions, notions of convergence ofsequences of random variables,weak convergence of measures, Gaussian systems, Poisson processes, mixing properties, discrete-time martingales,continuous-time Markov chains.

MA(ST)748 (created 2001): Stochastic Differential EquationsFall semesterExamines the theory of Stochastic Differential Equations driven by Brownian Motions. Current techniques infiltering and financial mathematics will be fully accessible to students completing the course. Topics include:construction and properties of Brownian motion, Wiener measure,Ito integrals, martingale representation theorem, stochastic differential equations and diffusion processes, Girsanov'sTheorem, relation to partial differential equations, the Feynman-Kac formula.

MA584 Numerical Solution Of Partial Differential Equations-Finite Difference MethodsFall SemesterA survey of finite difference methods for partial differential equations including elliptic, parabolic and hyperbolicPDEs. Both linear and nonlinear problems are considered. Theoretical foundations are described, however, emphasisis placed on algorithm design andimplementation.

ST 522 Statistical Theory IISpring semesterGeneral framework for statistical inference. Point estimators: biased and unbiased, minimum variance unbiased,least mean square error, maximum likelihood and least squares, asymptotic properties. Interval estimators and testsof hypotheses: confidence intervals, power functions, Neyman-Pearson lemma, likelihood ratio tests, unbiasedness,efficiency and sufficiency.

ST 730 Applied Time Series AnalysisFall semesterAn introduction to use of statistical methods for analyzing and forecasting data observed over time. Trigonometricregression, periodogram/spectral analysis. Smoothing. Autoregressive moving average models. Regression withautocorrelated errors. Linear filters and bivariate spectral analysis. Stress on methods and applications; softwareimplementations described and used in assignments.

ST 782 Time Series Analysis: Time DomainSpring semester, alternate yearsEstimation inference for coefficients in autoregressive, moving average and mixed models and large sample.Distribution theory for autocovariances and their use in identification of time series models. Stationarity andseasonality. Extensions of theory and methods to multiple series including vector autoregressions, transfer functionmodels, regression with time series errors, state space modeling.

ST 783 Time Series Analysis: Frequency DomainSpring semester, alternate yearsTheory and methods of time series analysis from frequency point of view. Harmonic analysis, complexdemodulation and spectrum estimation. Frequency domain structure of stationary time series and space-timeprocesses. Sampling distributions of commonly used statistics.

ST810 (currently special topics) Credit Risk in Financial DerivativesSpring semester


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An over-the-counter financial derivative transaction is a two-party contract which may have a lifetime of severalyears. Such an agreement has the potential to expose each party to the risk of default by the other. Measuring andmanaging thisrisk may be critical to the survival of the parties. One important tool in managing risk is the pledging of collateralfrom one party to the other. Another is the credit-enhanced derivatives intermediary, which also typically dependson the useof collateral. Developing rules for adequate levels of collateral and strategies to minimize its cost is therefore acritical need; statistical analysis and reasoning play a role in meeting that need.


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Appendix D. Letters of Support

From Academics:

From Professor Marco Avellaneda (NYU)

Monday April 10, 2000

Professor Jean-Pierre FouqueDepartment of MathematicsNorth Carolina State University

Dear Jean Pierre:

Thanks for the information that you sent me regarding the project at NCSU for a Program inMathematics and Financial Engineering. I looked at your proposal and believe that it offers anexcellent opportunity in several respects. It takes advantages of various resources availablewithin the University (Agricultural, Engineering, Mathematics, Statistics) and channels theminto a unique program. Secondly, there will be a strong demand for young people withquantitative skills that can be employed by the financial services industries, by energycompanies, and by the New Economy.

I believe that this interdisciplinary program will be very successful in producing high-qualitygraduates in the years to come.

With best regards and wishing you success in this new venture,

Marco AvellanedaProfessor of MathematicsDirector, Division of Financial MathematicsCourant Institute of Mathematical SciencesNew York University


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From the Financial industry

From Peter Carr, Principal, Banc of America Securities

Tue, 14 Mar 2000 18:46:28 -0500From:

“Carr, Peter” <[email protected]> To:

“’Jean-Pierre Fouque’” <[email protected]>

jean-pierre,Here are my answers to the questions you wrote me in your letter dated feb 16, 2000.

Sorry for the delay.

1) my firm (Bank of America) has many employees with expertise in quantitative financialanalysis. We had a quant summit last summer and roughly 50 people attended.

2) We are hiring now especially in cities like Atlanta and CharlotteI know of about 5 openings at present

3)regarding interns, we have a program at present where we take in students from NYU andColumbia.

4)I would be willing to serve on the industry advisory council provided that I wouldn’t have totravel to NC too much. I like the state very much but my boss wants me here.

your pgm looks good

good luckFrom Peter Carr, PrincipalBanc of America Securities9 West 57th Street, 40th floorNew York, NY 10019(212) 583-8529(212) 583-8569 (Fax)


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From Christian Wypasek, VP, First Union Capital Markets

Date: Fri, 25 Feb 2000 13:37:10 -0500

From:"Wypasek, Christian" <[email protected]>

To: "'[email protected]'" <[email protected]>

Subject: letter

Jean-Pierre,

Thanks for your letter, I believe that First Union'sinvolvement would be good for both the program and FirstUnion. I have been talking to people here and will be overnext week or so and will continue to drum up support.

I apologize for taking a couple of days to at least get a noteback, but I promise to get some details/names shortly.

Christian

Christian Wypasek

Structured Transactions and Analytical Research Group

Structured Products Division

First Union Capital Markets

Phone: 704.715.1499

EMAIL:[email protected]

Date: Wed, 1 Mar 2000 10:19:41 -0500

From:"Wypasek, Christian" <[email protected]>

To: "'[email protected]'" <[email protected]>

Cc: "Wang, Wei" <[email protected]>

Subject: Employment Opportunities

Jean-Pierre,

We have a couple of junior positions available here withinour group, if you know of anyone at the bachelors/masterslevel who might be interested please have them send aresume. My manager, Wei Wang, is particularly interestedin people who can perform short run data/business analyses.In our modeling subgroup we already have 5 people withadvanced degrees heavily involved in modeling and we needto fill some junior positions for related analyses. Even abachelors level would be fine. We are developing someinteresting and industry leading techniques here and thiswould be an excellent entry level opportunity. Statistics,mathematics, or business majors with good analytic abilitieswould be fine. Have them send a resume to:

Wei Wang

FIRST UNION SECURITIES

Structured Transactions and Analytical Research

NC0166

One First Union Center, TW6

Charlotte, NC 28288-0166

They could also send an electronic (PostScript or LaTeX)resume to

[email protected] <mailto:[email protected]> .

Christian

north carolina state university · pdf fileagricultural and resource economics economics...

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