Vadim Linetsky, Professor of Industrial Engineering and Management Sciences and Orrington Lunt Professor, is an expert in financial engineering. He has developed stochastic models for equity, foreign exchange, interest rate, credit, and commodity derivatives. He has devised analytical and computational methods for derivative security pricing based on spectral expansions, integral transforms, and numerical solution of partial differential equations. He is currently working on mathematical modeling of credit risk in various settings, including corporate bonds and associated credit derivatives, asset-backed loans and leases, such as aircraft mortgages and leases and home mortgages, as well as on modeling commodity and energy markets. His research in financial engineering has been funded by the National Science Foundation, the Federal Deposit Insurance Corporation, Boeing Capital Corporation, Moody's, and the Derivatives Technology Foundation.

Jeremy Staum, Associate Professor of Industrial Engineering and Management Sciences and Pentair-Nugent Professor, is an expert in financial engineering and computer simulation. His research group creates simulation algorithms for risk management. He has also worked on methods for pricing derivative securities when the resulting risks can not be thoroughly hedged. He is currently studying risk management of financial networks. His research has been funded by the Federal Deposit Insurance Corporation, the National Science Foundation, and the National Security Agency.

John R. Birge, Adjunct Professor of Industrial Engineering and Management Sciences and Jerry W. and Carol Lee Levin Professor of Operations Management at The University of Chicago Booth School of Business, is an expert in stochastic optimization and its applications in financial engineering. His research interests include portfolio optimization, asset liability management, interaction of financial and operational decisions, and integrated credit and market risk management. He has consulted with CalPERS, Deutsche Bank, Morgan Stanley, and Moody's KMV in the area of portfolio optimization.

Ming-Yang Kao, Professor of Electrical Engineering and Computer Science, is an expert in computer science. His research interests include applications of computer science concepts and techniques to finance.

Sanjay Mehrotra, Professor of Industrial Engineering and Management Sciences, is an expert in mathematical programming and optimization methodologies. He is currently working on robust and stochastic optimization approaches to asset-liability management problems, and he has developed stochastic nonlinear (semidefinite and convex) models and algorithms for such problems.

Barry L. Nelson, Industrial Engineering & Management Sciences Department Chairperson and the Charles Deering McCormick Professor of Industrial Engineering and Management Sciences, is an expert in the design and analysis of computer simulation experiments with a particular focus on problems requiring precise results and quantifiable precision. Nelson and Staum direct a research group that develops computationally efficient Monte Carlo simulation algorithms for firm-wide risk measurement and for evaluating the performance of derivatives hedging and trading strategies.

Jorge Nocedal, Director of the Computational Science Institute and Professor of Industrial Engineering and Management Sciences and of Electrical Engineering and Computer Science, is an expert in numerical analysis and optimization methodologies. He is a senior scientist at Ziena Optimization, Inc., whose KNITRO software is widely used in the investment industry for portfolio optimization applications. He is currently consulting Intel on designing chips to handle computationally intensive financial problems.

W. Edward Olmstead, Professor of Engineering Sciences and Applied Mathematics, is an expert in applied mathematics and partial differential equations. He has worked on applied options trading strategies, has written a regular options strategies column for an investment newsletter, and has recently published a book titled Options for the Beginner and Beyond.