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