David Heath

David Clay Heath, född 23 december 1942 i Oak Park, Illinois, död 11 augusti 2011 i Penfield, New York, var en amerikansk sannolikhetsteoretiker. Han är mest känd för att ha utarbetat Heath–Jarrow–Morton-modellen för att beskriva tidskurvan för framtida räntesatser.

Biografi

David Heath föddes i Oak Park, Illinois, som son till musikern W. Curtis Heath och Margaret Wasson Heath. Han växte upp i Elkhart, Indiana där han 1960 tog studenten på Elkhart High School. Han studerade sedan på Kalamazoo College, där han 1964 utexaminerades med en bachelorsgrad. Strax efteråt under samma år gifte han sig i Elkhart med Judith Ellen Simonson, som han känt sedan barndomen. De fick tillsammans två döttrar och en son, Kelley, Michael och Susan.

Akademisk karriär

Heath doktorerade 1969 i matematik vid University of Illinois at Urbana-Champaign. Under handledning av Frank Bardsley Knight skrev han en avhandling betitlad Probabilistic Analysis of Hyperbolic Systems of Partial Differential Equations. Efter examen anställdes han vid University of Minnesota. I slutet av 1970-talet flyttade han till Cornell University där han på 1990-talet satte upp ett nytt utbildningsprogram i teknisk finansanalys. Han avslutade sin akademiska karriär i Pittsburgh vid Carnegie Mellon University.

Bibliografi i urval

• Heath, David C., and William D. Sudderth. On a theorem of de Finetti, oddsmaking, and game theory. Annals of Mathematical Statistics 43, no. 6 (1972): 2072-2077.
• Berry, Donald A., David C. Heath, and William D. Sudderth. Red-and-black with unknown win probability. Annals of Statistics 2, no. 3 (1974): 602-608.
• Heath, David, and William Sudderth. On finitely additive priors, coherence, and extended admissibility. Annals of Statistics (1978): 333-345.
• Billera, Louis J., David C. Heath, and Joseph Raanan. Internal telephone billing rates—a novel application of non-atomic game theory. Operations Research 26, no. 6 (1978): 956-965.
• Heath, David C., and William D. Sudderth. Continuous-time portfolio management: Minimizing the expected time to reach a goal. University of Minnesota, School of Statistics, 1984.
• Heath, David, and William Sudderth. Coherent inference from improper priors and from finitely additive priors. Annals of Statistics (1989): 907-919.
• Heath, David, Robert Jarrow, and Andrew Morton. Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation. Econometrica 60, no. 1 (1992): 77-105.
• Berry, Donald A., Robert W. Chen, Alan Zame, David C. Heath, and Larry A. Shepp. Bandit problems with infinitely many arms. The Annals of Statistics (1997): 2103-2116.
• Heath, David, Sidney Resnick, and Gennady Samorodnitsky. Heavy tails and long range dependence in on/off processes and associated fluid models. Mathematics of Operations Research 23, no. 1 (1998): 145-165.
• Heath, David, Eckhard Platen, and Martin Schweizer. A comparison of two quadratic approaches to hedging in incomplete markets. Mathematical Finance 11, no. 4 (2001): 385-413.
• Heath, David, and Martin Schweizer. Martingales versus PDEs in finance: an equivalence result with examples. Journal of Applied Probability (2000): 947-957.
• Artzner, Philippe, Freddy Delbaen, Jean-Marc Eber, David Heath, and Hyejin Ku. Coherent multiperiod risk adjusted values and Bellman’s principle. Annals of Operations Research 152, no. 1 (2007): 5-22.

Referenser

• ”Professor David Heath” (Web Page), Carnegie Mellon Center for Computational Finance, http://www.math.cmu.edu/users/ccf/docs/Faculty/heath.htm 
• ”David C. Heath Obituary”, Rochester Democrat and Chronicle, 2011-08-28, http://www.legacy.com/obituaries/democratandchronicle/obituary.aspx?n=david-c-heath&pid=153264754 
• ”Obituary: David Heath will be remembered for taking mathematics to Wall Street”, Mellon College of Science, 2011-09-19, http://www.cmu.edu/mcs/news/pressreleases/2011/9_14_HeathObituary.html 
• ”David Heath, co-Founder of Financial Engineering at Cornell, Dies at 68”, Cornell University, Operations Research and Information Engineering, 2011-09-20, http://www.orie.cornell.edu/news/index.cfm?news_id=62288 

Externa länkar

• David Heath på Mathematics Genealogy Project