Meet Nizar Touzi, the new Chair of the Department of Finance and Risk Engineering
Back in 1900, when Louis Bachelier submitted his Ph.D. thesis at the University of Paris, fin-de-siècle mathematicians were not impressed. Bachelier had applied mathematics to the world of finance — an area of little interest in that era, when the most exciting mathematical problems were thought to relate to physics. He struggled to be taken seriously throughout his academic career, but thanks to a resurgence of interest in his work beginning in the mid-20th century, he is now hailed as the father of financial mathematics and credited with developing the first model of a stochastic process or “Brownian motion.”
Nizar Touzi — a former president of the Bachelier Finance Society and winner of the French Academy of Science’s Bachelier Prize — arrived this semester in Brooklyn as the new chair of NYU Tandon’s Department of Finance and Risk Engineering (FRE).
“The term stochastic refers to random fluctuations and unpredictability.” Touzi — who has made significant contributions within the realms of stochastic analysis, optimization, stochastic control, and game theory, with applications in finance and economics — explains. “When dealing with a complex, dynamical system (whether that’s the stock market, the electrical power market, the implementation of government regulations, or new digital platforms like Uber that require a clever mechanism design), the object is to optimize their performance and manage the risks involved. Luckily, unlike in Bachelier’s day, we now recognize the practical value of applying mathematics to these issues.”
Touzi’s vision for FRE, which is already home to one of the most rigorous and highly regarded quant master’s programs in the nation, includes launching a Ph.D. program and making Tandon an important hub of applied financial mathematics research. Back in France, where he served as a department chair and professor of applied mathematics at Ecole Polytechnique, Touzi contributed to the Louis Bachelier Institute, a group dedicated to forging collaborations among academia, industry, and the public sector, and he hopes to mount a similarly fruitful effort here.
While many of Touzi’s scholarly papers have titles impenetrable to the average investor or bank customer, the new department chair works closely with industry leaders to ensure that he is addressing topics relevant to their work. “It’s important to be connected to the real world,” Touzi, who has served as a consultant to several financial services asserts. “That’s one of the most exciting parts of my work, since the real world is constantly changing and the problems we’re tackling evolve; certainly Bachelier never dreamed that the idea of Brownian motion could be applied to ensure that a digital platform operates in an equitable, efficient manner.”