Kay Giesecke

Kay Giesecke is an Associate Professor of Management Science & Engineering at Stanford University and the Paul Pigott Faculty Scholar in the School of Engineering. He is on the faculty of Stanford's Financial Mathematics Program, and the Academic Director of Stanford's Quantitative Finance Certificate Program in Hong Kong. He is the Vice-Chair of the SIAM Activity Group on Financial Mathematics and Engineering.

Kay's research addresses the quantification and management of financial risks. He is particularly interested in

• The stochastic modeling, valuation and hedging of financial risks,
• The development of statistical tools to estimate and predict these risks, and
• The methods for solving the significant computational problems that arise in this context.

His research contributions enable more effective hedging of financial risks, better risk management at financial institutions, and more accurate measurement of systemic risk in financial markets. They have won the 2011 Fama/DFA Prize for the Best Asset Pricing Paper in the Journal of Financial Economics and the 2003 Gauss Prize of the Society for Actuarial and Financial Mathematics of Germany. Kay's research group CreditLab has been funded by grants from JP Morgan, Morgan Stanley, Mizuho, Moody's, Credit Suisse and American Express.

Kay teaches three courses, MS&E 242H Investment Science Honors, MS&E 347 Credit Risk: Modeling and Management, and MS&E 444 Investment Practice. He also teaches an introductory finance course that is freely available online. He is the recipient of the 2007 Stanford Graduate Teaching Award.

Kay has served as a consultant to banks, investment and risk management firms, governmental agencies, and supranational organizations in the area of risk management and derivatives valuation and hedging. He holds a U.S. patent on a method for the quantification of credit risk in the presence of incomplete information.

Kay serves on the editorial boards of Operations Research, the SIAM Journal on Financial Mathematics, the Journal of Banking and Finance, Operations Research Letters, and IIE Transactions.

Curriculum Vitae
Publications
Research Statement
Research Group CreditLab
Research Grants
Patent