Research

Research Workshops & Seminars
Research Publications

Research Newsletter
Research Resources
Databases available from NYU and School of Engineering
Journals available from School of Engineering
Financial applications available from School of Engineering and FRE

Research Workshops & Seminars

Upcoming

Past

Research Publications

The School of Engineering Department of Finance and Risk Engineering Research Paper Series on SSRN (Social Science Research Network)

Book List

Author: Nassim Nicholas Taleb

Author: Charles S. Tapiero

  • Risk Finance and Asset Pricing: Value, Measurement, and Markets by Charles S. Tapiero (October 4, 2010) [details] [where to buy]
  • Supply Chain Games: Operations Management and Risk Valuation (International Series in Operations Research & Management Science) by Konstantin Kogan and Charles S. Tapiero (Oct 3, 2007) [where to buy]
  • Risk and Financial Management: Mathematical and Computational Methods (May 28, 2004) [where to buy]
  • Applied Stochastic Models and Control for Finance and Insurance (April 30, 1998) [where to buy]
  • Les outils et le contrôle de la qualité by Jean-Jacques Daudin and Charles Tapiero (Jan 1, 1996) [where to buy]
  • Premium allocation and risk avoidance in a large firm: A continuous model (Discussion paper / Strategic Management Research Center, University of Minnesota)(Unknown Binding - 1989)
  • Applied Stochastic Models and Control in Management (Advanced Series in Management, Vol 12) (Jan 1988) [where to buy]
  • Managerial Planning: An Optimum and Stochastic Approach (Jan 1, 1978) [where to buy]

Faculty Publications

Charles S. Tapiero

  • Nassim Nicholas Taleb, and Charles S. Tapiero The Risk Externalities of Too Big to Fail (forthcoming)
  • The Price of Safety and Economic Reliability, in Pham Hoang Editor, Safety and Risk Modeling and Its Applications, Springer Verlagm Forthcoming 2009-2010
  • A Claims Persistence Process and Insurance, (with Pierre Vallois), Insurance Economics and Mathematics, Volume 44, Issue 3, June 2009, Pages 367-373
  • Risk-Averse Order policies with random pricies in complete markets and retailers’ private information. European Journal of Operations Research, Tapiero C and K. Kogan, 196, 2009, 594-599
  • Orders and Inventory Commodities with Price and Demand Uncertainty in Complete Markets International Journal of Production Economics, 2008
  • Volatility Estimators and the Inverse Range Process in a Random Volatility Random Walk and Wiener Processes, (with P. Vallois), Physica A, 2007
  • Memory-Based Persistence in A Counting Random Walk Process (with Pierre Vallois), Physica A, October, 2007

Nassim Nicholas Taleb

Anne Zissu

  • "Delta Hedging a Multi-Fixed-Income-Securities Porfolio under Gamma and Vega constraints", with Carlos Ortiz and Charles A. Stone in Journal of Risk Finance (Vol. 10 No.2, 2009)
  • "Delta Hedging a Two-Fixed-Income-Securities Porfolio under Gamma and Vega constraints: the example of mortgage servicing rights", co-authored with Carlos Ortiz and Charles A. Stone in The Journal of Financial Transformation (Vol. 25, 2009; pp8-11 [Ledaing article])
  • "Delta Hedging an IO securities backed by Senior Life Settlements", co-authored with Charles A. Stone in The Journal of Structured Finance (Summer 2009)

Zhaoxia Xu

Lucas Bernard

  • "Agricultural Commodities and their Financialization", (w/ A. Greiner & W. Semmler), Aestimatio: The IEB International Journal of Finance, 5: (February 25th, 2012)
  • "Boom–bust cycles: Leveraging, complex securities, and asset prices", co-authored with Willi Semmler, (September 8th, 2011), in DEGIT-XVI [Event] [Article]
  • "IT Tools for Financial Asset Management & Engineering, (book chapter) in: The Companion to Financial Engineering", (T. Beder and C. Marshall, editors), Wiley-Blackwell (2011)
  • "Boundedly Rational Exuberance in Commodity Markets — Some Comments on Bertrand Munier", (w/ W. Semmler), Risk and Decision Analysis (Volume 2, Issue 1, 2010)
  • "Banking, Complex Securities, and the Credit Crisis", (w/ W. Semmler), Economic & Political Weekly (VOL 44, No. 13, March 28 - April 03, 2009)

Research Newsletter