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Clinical Associate Professor of Mathematics
Ph.D. 2000 (applied mathematics), Yale University; M.Phil. 2000 (numerical analysis), Royal Institute of Technology in Stockholm, Sweden; M.S. (mathematics), ETH Zürich, Switzerland.
Email:
Personal Homepage: http://www.cims.nyu.edu/~kolm
Fellowships/Honors: Financial Modeling of the Equity Markets: CAPM to Cointegration, elected “Top 10 Technical Books” by Financial Engineering News in 2006
2004-2006 Research Fellowship, Yale School of Management
2005 Grant, Research Foundation of the CFA Institute
1997-2000 Research Fellowship, Department of Mathematics, Yale University
1997-2000 DARPA/AFOSR under Contract F49620-97-1-0011
1996-1997 KTH’s International Grant, Royal Institute of Technology
1995 Summer Scholarship, Royal Institute of Technology
1994 Dissertation
Selected Works:
Books: Financial
Modeling of the Equity Markets: CAPM to Cointegration, with Frank J.
Fabozzi and Sergio M. Focardi, John Wiley, 2006.
Trends in
Quantitative Finance, with Frank J. Fabozzi and Sergio M. Focardi, CFA
Research Foundation Publications, May 2006.
Robust
Portfolio Optimization and Management, with Frank J. Fabozzi, Dessislava
Pachamanova, and Sergio M. Focardi, John Wiley, 2007.
Selected
Articles:
“A Simple Framework for Time Diversification,” with
Frank J. Fabozzi and Sergio M. Focardi, Journal
of Investing, Fall 2006, pp. 8-17.
“Incorporating Trading Strategies into the
Black-Litterman Framework,” with Frank J. Fabozzi and Sergio M. Focardi, Journal
of Trading, Spring 2006, pp. 28-37.
“Financial Modeling of Transaction and Trading
Costs: Overview and Practice,” with Frank J. Fabozzi and Sergio M. Focardi, Finance Letters Vol. 3, Issue 1
(February 2005, Special Issue on Financial Modeling of the Equity Markets).
“Introduction,” with Frank J. Fabozzi and Sergio M.
Focardi, Finance Letters Vol. 3,
Issue 1 (February 2005, Special Issue on Financial Modeling of the Equity
Markets)
“New Kids on the Block: Latest Trends in Finance and Their Impact on the
Future of the Investment Management Industry,” with Frank J. Fabozzi and Sergio
M. Focardi, Journal of Portfolio
Management, 30th Anniversary Issue, 2004, pp. 42-54. “Quadruple and Octuple Layer Potentials in Two
Dimensions I: Analytical Apparatus”, with Shidong Jiang and Vladimir Rokhlin, Applied and Computational Harmonic Analysis,
Vol. 14, 2003, pp. 47-74.
“Numerical Quadratures for Singular and Hypersingular Integrals”, with
Vladimir Rokhlin, Computers and
Mathematics with Applications, 2001, pp. 327-352.
“Modellansatz und
Algorithmus zur Berechnung von Ökobilanzen im Rahmen der Datenbank ECOINVENT”,
with Rolf Frischknecht, in Stoffstromanalysen
in Ökobilanzen und Öko-Audits, M. Schmidt and A. Schorb, eds., pp. 79-95,
(Springer-Verlag Berlin, Heidelberg, 1995).
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