René Carmona

Paul Wythes ’55 Professor of Engineering and Finance

EDUCATION & EMPLOYMENT

Short Biographical Blurb

Rene Carmona, Ph.D., is the Paul M. Wythes ’55 Professor of Engineering and Finance at Princeton University in the department of Operations Research and Financial Engineering. He is an associate member of the Department of Mathematics, a member of the Program in Applied and Computational Mathematics, and Director of Graduate Studies of the Bendheim Center for Finance where he oversees the Master in Finance program.

Dr. Carmona's publications include over one hundred articles and seven books in probability, statistics and financial mathematics. He was elected Fellow of the Institute of Mathematical Statistics in 1984 and of the Society for Industrial and Applied Mathematics in 2009. He is the founding chair of the SIAM Activity Group on Financial Mathematics and Engineering, the founding editor of the Electronic Journal & Communications in Probability, and the SIAM Journal on Financial Mathematics. He is on the editorial board of several peer-reviewed journals and book series and on the scientific board of several institutes (e.g. Oxford Man Institute, Institute of Mathematics and Applications) Dr. Carmona developed computer programs for teaching and research. He has worked on the commodity and energy markets, and he is recognized worldwide as a leading researcher and consultant in this area. Recently, he organized conferences and summer schools on Energy Risk, the Future of the Electricity Markets, Emissions Regulations, and high frequency trading, topics on which he designed and taught courses and tutorials.

Degrees

  • “C.A.P.E.S” and “Agregation” of Mathematics (federal degree) Paris, June 1969.

  • “These d'Etat” in Probability, University of Marseille, June 1977.

Positions

  • Assistant & Maitre Assistant (Mathematiques) Univ. Aix-Marseille II, 1969-1978

  • Maitre de Conf. & Professor (Mathematiques) Univ. Saint Etienne, 1978-1981

  • Agence de l'Informatique, Ministere Industrie (French Administration) 1981

  • Assistant & Associate Professor, Univ. California, Irvine, 1982-1984

  • Professor, Univ. California, Irvine, 1984-1995

  • Professor, Princeton Univ. 1995-present

Visiting Positions

  • Cornell University (Spring 1976), Princeton University (Spring 1978 & Spring 1980), Institut des Hautes Etudes Scientifiques (IHES) (Spring 1981)

  • Visiting Assistant Professor, Univ. California, Irvine, 1981-1982, Aarhus University (Spring 1982), CPT, C.N.R.S., Marseille (1982), University Paris I Sorbonne (2001), University Paris X Dauphine, (2002)

  • VIV Institute of Mathematics and Applications, Minneapolis Spring 2004

  • University Paris X Dauphine (2008), University Nice & INRIA Sophia-Antipolis (2010))

Consulting

Nothrop, Hughes Aircraft, … , Tokos Inc, Medical Diagnostics, … , Axcom Ltd, Lattice Ltd, Willowbridge Inc, Chase Auto Lease Division, … , ENRON, Dynergy, Calpine, NRG, ….. , Nationwide, American Re, …., Morgan Stanley, JP Morgan, …..

Full CV