Charles S. Tapiero

Charles S. Tapiero

Topfer Distinguished Professor of Financial Engineering and Technology Management
Founder, Department of Finance and Risk Engineering
Director, The Extreme Risk Initiative

Finance and Risk Engineering

Biography

Charles S. Tapiero is the Topfer Chair Distinguished Professor of Financial Engineering and Technology Management at the New York University Tandon School of Engineering. He founded the Department of Finance and Risk Engineering in 2006 and is department head until 2016. In addition, he founded and was co-Director of the Extreme Risk Initiative until Jan 1, 2016. Professor Tapiero has earned a worldwide reputation as a researcher and consultant, a public servant and has sat on the boards of large Corporations. Professor Tapiero is co-founder and co-editor in chief of Risk and Decision Analysis. His fields of interests span financial engineering, Fractional, Multi-Agents and Global Finance, computational and actuarial science.

Professor Tapiero has contributed more than 450 papers in academic journals and has written 15 books. His research spans a broad set of topics including Stochastic and Dynamic Systems, Fractional Mathematics and Probabilistic Systems and their many applications to Risk, Finance, Business, Insurance, Supply Networks, Operations Systems and Decision Analysis.

Professor Tapiero has held numerous University positions in the US, Europe and Asia (Columbia University, Case Western Reserve University, Hebrew University, ESSEC-France and others) as well as quasi-governmental and government agencies (1978-1982).

He received his MBA and doctoral degree (PhD) in Operation Research and Management from New York University’s Graduate school of Business Administration (1968, 1970)

Journal Articles

The Price of Granularity and Fractional Finance, 2015, Risk and Decision Analysis, with Guy Jumarie (U. of Quebec) and O. Tapiero (Concordia U., Montreal).

A Financial CCAPM and Economic Inequalities, Quantitative Finance, 2014

Financial Analytics and A Binomial Pricing Model with Jiangyi Qi in Future Perspectives in Risk Models and Finance, Editors A. Bensoussan, D. Guegan, and C.S. Tapiero, Springer,  2014

Financial Modelling and Memory: Mathematical Systems, with and Pierre Vallois, in Future Perspectives in Risk Models and Finance, Editors A. Bensoussan, D. Guegan, and C.S. Tapiero, Springer,  2014

Financial Regulation, Non-Compliance Risks and Control: A Statistical Approach, Risk and Decisions Analysis, 2014

Re-engineering risks and the future of finance, in Shahin Shojai (Editor), Risk Management in Financial Institutions, EURO-MONEY Books, London, 2013, pp 233-250
ISBN: 978-1-78137-168-8

Insurance and Finance: Competition and/or Convergence, Risk and Decision Analysis, 2012

CDO: A Modeling Prospective, with Daniel Totouom-Tangho, Risk and decision Analysis, 2012

Risk Externalities and Too Big to Fail, with Nassim N. Taleb . Physica A 2010

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

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 prices in complete markets and retailers’ private information. European Journal of Operations Research, with 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

Sustainable Infrastructure Investment in a Labor Only Economy, (with K. Kogan), International Journal of Production Economics, 2007

Energy Consumption and Environmental Pollution: A Stochastic Model, International Journal of Mathematics Management, 2008 (selected as one of the most significant paper published in 2008/2009)

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

Consumers risk and quality control in a collaborative supply chain, European Journal of Operations Research, 182, 683–694, 2007

Reliability Design and RVaR”, International Journal of Reliability, Quality and Safety Engineering (IJRQSE) , Vol. 12, No.4, August 2005, 2005

Value at Risk and Inventory Control, European Journal of Operations Research, 2005, vol 163, issue no. 3, 769-775

The Range Inter-Event Process in a Symmetric Birth Death Random Walks, (with Pierre Vallois) Applied Stochastic Models in Business and Industry, 2001

Run length statistics and the Hurst exponent in random and birth-death random walks, Chaos, Solitons and Fractals, September 1996 (with Pierre Vallois)

Education

New York University, 1970

Doctor of Philosophy,

New York University, 1969

Master of Business Administration,

Ecole Polytechnique, University of Montréal, 1967

Bachelor of Science, Electrical Engineering

Authored + Edited Books

  • Global Finance with U. Nyamabu (Wiley, forthcoming 2016)

  • Future Perspectives in Risk Models an Finance (with Alain Bensoussan and Dominique Guegan), Springer, 2014;

  • Engineering Risk and Finance, Springer 2013;

  • Risk Finance and Assets Pricing, John Wiley, 2011;

  • Financial Engineering and Risk Assets Pricing, 2 Volumes, Wiley, New York (Forthcoming 2010)

  • Supply Chain Risks Games (with Konstantin Kogan), Springer, 2007;

  • Pension Funds Saving Individuation.: An article from: International Advances in Economic Research by Charles S. Tapiero and Assa Birati (Digital - Jul 28, 2005)

  • Risk and Financial Management: Mathematical and Computational Methods; John Wiley, May 2004;

  • Applied Stochastic Models and Control in Finance and Insurance, Kluwer Academic Press, 1998;

  • The Management and the Control of Quality, Chapman and Hall, 1996;

  • Les outils et le contrôle de la qualité by Jean-Jacques Daudin and Charles Tapiero (Jan 1, 1996)

  • 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, North-Holland,  Amsterdam-New York (January 1988), North Holland

  • Operations Research in Agriculture and Water Resources (with Dan Yaron, Edited Volume) , North Holland Book Co., 1980.

  • Applied Stochastic Control in Econometrics and Management Science (with A. Bensoussan and P. Kleindorfer, Edited Volume), North Holland Contributions to Economic Analysis, 1980.

  • Risk and Financial Management : Mathematical and Computational Methods (1980)

  • Managerial Planning: An Optimum and Stochastic Approach (2Volumes), Gordon Breach  (Jan 1, 1978) and others.

Research Interests

Financial Engineering
Risk technology
Management
Supply-chain Management