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Jack R. Anderson Professor of Business in Decision, Risk, and Operations and Director of the Program for Financial Studies’ Risk Management Initiative, Columbia Business School
Professor Glasserman's research and teaching address risk management, derivative securities, Monte Carlo simulation, statistics and operations. Prior to joining Columbia, Professor Glasserman was with Bell Laboratories; he has also held visiting positions at Princeton University, NYU, and the Federal Reserve Bank of New York. In 2011-2012, he was on leave from Columbia and working at the Office of Financial Research in the U.S. Treasury Department, where he continues to serve as a part-time consultant.
Professor Glasserman's publications include the book Monte Carlo Methods in Financial Engineering (Springer, 2004), which received the 2006 Lanchester Prize and the 2005 I-Sim Outstanding Publication Award. Professor Glasserman is a past recipient of the National Young Investigator Award from the National Science Foundation (1994 - 99), IBM University Partnership Awards (1998 - 2001), the TIMS Outstanding Simulation Publication Award (1992), the Erlang Prize (1996), the IMS Medallion from the Institute of Mathematical Statistics (2006), and a fellowship from the FDIC Center for Financial Research (2004). He received the 2004 Wilmott Award for Cutting-Edge Research in Quantitative Finance and Risk Magazine's 2007 Quant of the Year Award, and he received a U.S. patent for an option pricing method. He was named an INFORMS Fellow in 2008. He is also a two-time recipient of the Dean's Award for Teaching Excellence (1994, 2000). Professor Glasserman serves on the editorial boards of Finance & Stochastics, Mathematical Finance, the Journal of Derivatives, and Stochastic Systems.
Professor Glasserman was senior vice dean of Columbia Business School in 2004-2008 and served as interim director of the Sanford C. Bernstein & Co. Center for Leadership and Ethics in 2005-2007. He currently serves as the director of the Risk Management Initiative in the Program for Financial Studies.