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Alumni Newsletter Fall 2000
A Note from the Department HeadThere have been several changes in CMU's administration since our last newsletter. The Mellon College of Science (MCS) Dean Susan Henry resigned this past May to become Dean of Cornell University's New York State College of Agriculture and Life Sciences. She assumed her new position on July 1, 2000. Our own Mathematical Sciences Professor Bill Williams has agreed to serve as Acting Dean of MCS while a search is conducted for a successor to Susan Henry. Having served as Head of Mathematical Sciences for over 7 years, Bill can draw from a wealth of experience, and with Bill's guidance, MCS should continue to advance during the transition. In addition to a change in Dean, we also have a new Provost. Mark S. Kamlet, Dean of the H. John Heinz III School of Public Policy and Management and the H. John Heinz III Professor of Economics and Public Policy, has been named Provost, the University's chief academic officer. Kamlet will start on August 1, succeeding Paul P. Christiano who, after serving as Provost for 9 years, announced in March his intention to return to the faculty in the Department of Civil & Environmental Engineering. Kamlet earned his bachelor's degree in mathematics from Stanford University, his master's degree in economics and statistics, and his doctoral degree in economics from the University of California at Berkeley. New Hires:Dmitry Kramkov is joining the faculty of the Department of Mathematical Sciences in the fall of 2000. He earned a Ph.D. in mathematics from the Steklov Mathematical Institute in Moscow in 1991, and was a fellow of the Steklov Institute from 1992 – 1997. In 1996 he was recognized by the European Congress of Mathematics for his fundamental contributions to mathematical finance. Since 1997, Kramkov has been Senior Manager of the Product Development Department of Tokyo-Mitsubishi bank in London. He was instrumental in developing the C++ library now used by the bank. Also joining the Department is Ryan Martin as Zeev Nehari Visiting Assistant Professor. Martin received his Ph.D. from Rutgers University in May 2000. His research interests are in extremal graph theory, graph theory, the regularity lemma, combinatorial theory, and probabilistic methods. Regarding the Departmental Administration, I have accepted a 5-year reappointment as Department Head. During my initial 5-year term, most aspects of our operations and infrastructure, starting with the Department's name, have been examined and changed where appropriate. We have seen remarkable developments in the Department's academic programs. Next year we will have 45 supported graduate students, our largest cohort ever. The Department is in an excellent position to meet future challenges. In addition to accepting this appointment, I have been granted a courtesy appointment in the Department of Civil & Environmental Engineering. In the future, this will give me an opportunity to occasionally teach a basic engineering course. In order to get more input from our alumni I have created an e-mail account: alumninews@qwes.math.cmu.edu via which you can contact us with news items. I also invite you to consult our Departmental web site: http://www.math.cmu.edu. Please stay in touch and drop by if you're in Pittsburgh.
Math Alumni Gets $500,000 Advance For First NovelManil Suri, the mathematician-novelist came from India to the United States 21 years ago to earn a doctorate at Carnegie Mellon under the supervision of Dick MacCamy and is now a professor at the University of Maryland, Baltimore County. What few of his university colleagues knew was that Suri is a fiction writer of great imagination and beauty. His first novel, "The Death of Vishnu," was purchased by W. W. Norton publishing house for a reported $500,000. This book is the first of a trilogy weaving the lives of contemporary Indians with stories of ancient Hindu gods. Almost simultaneously, the New Yorker magazine purchased a short story excerpted from the novel and published it in its February 14 issue. Since then, overseas rights to the book have been sold in more than a dozen countries. Suri inhabits two seemingly unrelated, esoteric worlds. In academia, he does research in computational mathematics, a pursuit that involves designing and studying computer algorithms that can be used to approximate solutions for problems too complicated to be solved precisely with formulas. Suri's two passions - mathematics and fiction - are efforts to describe the same, enormously complex universe, one that resists attempts to reduce it to a simple formula. Suri's father, who is retired, was an assistant music director for films in Bombay, and his mother at one time worked as a personal assistant to Indira Gandhi (before Gandhi became prime minister).
Undergraduate NewsThe Class of 2000:Each year our undergraduates achieve significant honors, and the Class of 2000 was no exception. Of the 33 graduates, 7 were elected to Phi Beta Kappa, 11 earned University Honors, and 5 earned Mellon College of Science Research Honors. Michael O'Kelley was an Andrew Carnegie Society Presidential Scholar and also won a Hertz Fellowship for graduate study in Physics at Cal Tech. He also earned degrees in Physics and Chemistry. Arvind Jairam also earned a triple degree, getting his other degrees in ECE and Computer Science. Five others earned double degrees. Many of our seniors are going on to graduate school. For several relocation will be simple since they are staying at CMU. Stephen Pankavich and Ling Cheung will be in Mathematical Sciences, Don Harrold in Statistics, Jeffrey Casaday in GSIA, Arvind Jairam in ECE, and Kaustuv Chaudhuri in Computer Science. Aram Tangboondouangjit will be studying mathematics at the University of Maryland College Park, and Kimberly Martin will be in technical communications at NYU. Scott Crosby and Chris Cantalupo will remain at CMU in staff positions. Two others are going to work in labs at other universities: Joleen Flasher in robotics at the Draper Labs at MIT and Melinda Sandler in the Advanced Physics Lab at Johns Hopkins. Business and industry continue to appreciate the problem solving skills of our graduates. PNC and Salomon Smith Barney have employed Daniel Isaacs and Jay Huang, respectively, as financial analysts. Heinz, Ferguson Enterprises and WESCO have hired Matthew Lindner, Melissa Licht and Maxim Ioffe, respectively, in operations capacities. Two grads will be consultants: Danyale Monteleone at Anderson Consulting and Gabriel Schneider at CMGI Solutions. Finally, two are in software positions: Robert Renfrew at Epiphany Software and Taisuke Hirako at Deutsche Bank.
CurriculaThis past year we introduced a course in Sequences and Series of Functions to follow Advanced Calculus I to provide additional background in analysis. Next year we will introduce a new course in mathematical finance with a third course to come on line in the Fall of 2001. Next year we will offer a pilot elective: Modeling with Differential Equations, to parallel the Differential Equations course. This will be a laboratory/project course using the software package Matlab. Projects Course Delivers Real-Life Work ExperienceSince the Fall of 1998, the Department of Mathematical Sciences has been offering a new and unique course titled "Projects in Applied Mathematics" to advanced undergraduate students in mathematical sciences, engineering, and business administration. This unconventional course has no lectures, exams, or homework! The course work consists entirely of the analysis and solution of an applied mathematics problem provided by a manufacturing or financial services company. This format offers a unique opportunity to work on a real problem in teams and to have a glimpse of life after CMU. So far, this course has provided a truly rewarding experience, both to the students involved and to the companies we worked for. In the first offering of the course, we successfully completed projects contributed by companies such as Federated Investors (nation's 9th largest mutual fund company), National City Bank, and FORE Systems (a network equipment design and manufacturing company, now renamed as Marconi). The fact that all these companies returned with new projects for the second offering of the course is the best testimonial to its success. Our students were happy as well. For example, Danyale Monteleone ('00), who now works for Andersen Consulting, says: "This is the best class I've taken thus far at CMU. It has taught me how to work in a group, how to work with a company and gave me real world experience. I also learned sorting/filtering data, multiple methods of approaching a problem, how to work with time and ability constraints, and professional presentation skills." The projects we worked on covered a wide range of topics in mathematical sciences. For Federated Investors we worked on projects that focused on retention rates for different asset and broker categories using advanced data analysis techniques and software. National City Bank has provided us with three challenging problems in computational finance. For instance, we tried to extract information on market expectations for the future by looking at the current prices of derivative securities such as options. This project used data analysis and optimization techniques. In another problem, we studied several risk indicators for market movements and extracted a common risk factor in all these indicators using Kalman filtering techniques. We helped FORE Systems develop a layout plan for their new facility in 1998 and presented a cost accounting model for their customer/product support activities in 1999. At the end of each project, we delivered a project report of professional quality and made a formal presentation to the contributing company. The course Projects in Applied Mathematics will be offered again in the Fall of 2000 and students will work on new projects. Our alumni who might be interested in contributing projects to this course in the future should contact Professor Reha Tütüncü (reha@andrew.cmu.edu), who has been running the course since its inception. Currently, there is no charge for participation, so join us and take advantage of this win-win opportunity.
Steve Shreve Earns University Education AwardSteven E. Shreve, Professor of Mathematical Sciences, received the Doherty Award for Excellence in Education. The award, named for former Carnegie Tech President Robert Doherty, honors substantial and sustained contributions to excellence in education. Steve is the first member of the Department to win this prestigious award. "Steve Shreve is an outstanding research mathematician, internationally acclaimed for his research in the field of stochastic analysis, especially its application to stochastic control theory and mathematical finance," says professor of Statistics John Lehoczky, interim Dean of the College of Humanities and Social Sciences. "He has designed, implemented and nurtured programs that are making major contributions to his profession, his university, his college, and his department." "-One of Steve's most important contributions is his development of the Summer Institute in Applied Mathematics. This contribution is of special importance to Carnegie Mellon University and to the mathematics community more generally, because it is aimed at addressing the terrible underrepresentation of minorities and women in the mathematics profession." A nominating letter signed by 14 students, praised Shreve as "a dedicated teacher, a well-known researcher, a committed administrator, a helpful career officer, a captivating communicator, a listening ear to talk to" Steve received his bachelor's degree in German from West Virginia University. He earned his master's degree in electrical engineering and his doctoral degree in mathematics from the University of Illinois.
Day Trading with a Safety NetImagine you can day trade stocks with the assurance that you could not lose money. Or imagine that you can direct how your retirement funds are invested, knowing that whatever you do there is a minimum guaranteed rate of return. Or suppose you are able to buy and sell a foreign currency over a three-month period, keeping any profit you make during that time and being forgiven any loss. Contracts which create the above scenarios are examples of a new kind of derivative security, so-called options on a traded account. Perhaps the best-known class of derivative security is the call option, which bestows on its owner the right to buy a share of stock at a future date at a price agreed upon today. Employees of start-up firms and executives of a broad range of firms are often compensated by stock options, which provide the right to buy stock in the firm at a price which is not attractive when the option is issued but will be attractive if the firm prospers. An employee who owns a call option on the stock of her employer has a limited ability to influence the price of the stock on which the option is written. In contrast, the owner of an option on a traded account has great influence over the account value on which the option is written, and these options are therefore fundamentally different from traditional stock options. Suppose you have an account with a bank and can direct trading of the assets of the account. In the simplest case, suppose you can direct the assets to be invested in an index fund or a money market, subject to some limits on the size of the position you can take in the index. You may adjust your position at any time, moving all the assets into the money market if you anticipate a bear market, and moving back into the index fund at a later date. This is a traded account. Now suppose you have the right to sell the account at a future time at a price, the strike price, agreed upon today. This is a put, rather than a call, on the account value. If your account prospers, you do not exercise the put option, but instead keep the money in the account. If it flounders, you sell the account for the strike price and walk away unscathed. Who would want to sell you such an option, and how much would it cost? The answer is that investment banks are currently selling a similar option over the counter (i.e., on a customized basis), and the price is substantial. The option being sold is a passport option, which is actually the right to invest in a foreign currency rather than a stock, and permits the investor to take either a long or a short position in the currency. It turns out that permitting the agent to take either a long or a short position drives up the price of the option. Steven Shreve, Professor of Mathematical Sciences, and Ph.D. candidate Jan Vecer, have worked out the theoretical price if investors are permitted to take only a long position, and found it to be surprisingly low. Indeed, the price of an option to trade an index fund in the manner described in the previous paragraph is essentially the same as the price of a call option with the same strike and expiration date. Shreve and Vecer also determine how the seller of the option should invest the premium charged, in response to the trading decisions of the option owner, in order to avoid loss, regardless of how poorly the option owner's investment strategy works. The option seller takes positions in the index fund which are approximately opposite those of the option owner. In practice, the option seller also executes the trades of the option holder, so the seller knows the position of the option holder. This work has recently appeared in "S. E. Shreve and J. Vecer, Options on a traded account: Vacation calls, vacation puts and passport options, Finance and Stochastics 4, 255--274, 2000." A related article will soon appear in RISK, a publication for finance professionals.
Victor Mizel Receives MCS HonorMathematics Professor Victor Mizel received the Mellon College of Science's Richard Moore Award for Outstanding Lifetime Achievements in Science Education. Vic was the third member of the Department to win the Moore Award. The other winners were Dick MacCamy in 1996 and Mort Gurtin in 1998. Vic has been a member of the faculty since 1959. Mizel's supporters praised him for his commitment to teaching, his ability to translate difficult subjects and for the time he devotes to counseling students. "Vic is now, and always has been, uncompromising in his quest for quality and rigor at all levels of teaching," said Mathematics Professor Emeritus Dick MacCamy, who has worked with Mizel for 40 years. "It is clear from his record that Vic has been particularly effective with very good students," MacCamy continued. "He engages them and then pushes them. He makes good students better." Richard Moore, for whom this award is named, came to Carnegie Mellon, then the Carnegie Institute of Technology, in September 1956 as an Assistant Professor of Mathematics and served the Department until his retirement as a professor in January 1986. From September 1965 to December 1971, and from June 1975 to July 1985, he was the Associate Head of the Department. From December 1971 to June 1975, he was Head of the Department. Dick was present at this year's award ceremony.
New and Improved Computer ClusterMathematical Sciences has combined its computing resources formerly housed in two separate locations into one larger computer cluster in Wean Hall. This newly renovated space, accessible to all Department faculty, staff, graduate and undergraduate students, consists of 10 Linux PC's, 3 Andrew Linux PC's, 1 Macintosh, 1 Windows PC, 4 SUN Andrew Workstations, 2 printers, connected via Fast Ethernet.
Undergraduate Student Lounge Finally a RealityAs noted by the Advisory Board in April 1998, a commons room for undergraduates would have a good impact on the quality and vigor of the undergraduate program and the establishment of such a room was strongly recommended by the Board. This recommendation has become a reality with the completion of a joint Mathematical Sciences/Physics Undergraduate Lounge. The facility, restricted to use by undergraduate Math Sciences and Physics majors, is located next to the Computer Cluster in Wean Hall 6403. The Lounge is intended as an informal meeting place for the undergraduates and is furnished in a comfortable, casual manner, including recreational amenities and a cheap soda machine.
Cornuejols Wins Fulkerson PrizeThis year Gerard Cornuejols won the prestigious "Fulkerson Prize" for his paper "Decomposition of Balanced Matrices" which was co-authored with Michele Conforti (CMU Ph.D. '83) of the University of Padova and M. R. Rao (CMU Ph.D. '69) who is the Director of the Indian Institute of Management. The paper is available online at Ideal Online Library. The manuscript of the research report as it was just prior to publication is also on Gerard's webpage. The "Fulkerson Prize" is awarded every three years for outstanding papers in the area of Discrete Mathematics and is sponsored jointly by the Mathematical Programming Society and the American Mathematical Society. Gerard is the second member of the Department to win this prestigious prize; Alan Frieze won the prize in 1991. The concept of balanced matrices was introduced in 1970 and such matrices play an important role in integer programming and polyhedral combinatorics. In their prize-winning paper the authors showed how to decompose balanced matrices into totally unimodular matrices. A consequence of their decomposition theorem is a polynomial time algorithm for checking whether a matrix is balanced or not.
Frieze Receives IBM Partnership AwardAlan Frieze of the Department of Mathematical Sciences received a "Faculty Partnership Award" from IBM of $40K annually to support his collaborative research with Greg Sorkin and other members of the Algorithms and Theory group at IBM-Yorktown Heights. The objective of their work is to increase understanding of the average or typical performance of algorithms and explain real world computing performance as opposed to a worst-case analysis. Fundamental research in Algorithms and associated results drive much of today's computing industry; e.g., computational biology, efficient Internet routing, coding for video, etc., cryptography for e-commerce, etc. Frieze and the IBM group have several concrete problems in mind, and it is expected that others will emerge during the collaboration. The project will lead to the strengthening of research ties between IBM and CMU, and exposure of the CMU students to real world applications of importance to IBM research.
Summer InstituteThe Summer Institute might be described as a virtual graduate-school experience. The rationale is that undergraduate students often are unclear on exactly what graduate study and research will require of them and what it can offer them. Unfortunately, many talented students decide against graduate studies in part because of this uncertainty; equally unfortunate is that many enter graduate school simply because they are "good at math", and only discover after wasting a year or two that they do not really have the strong interest needed to pursue advanced work. Our program is designed to help students make a rational decision about their future by giving them a taste of the graduate experience, without excessive cost of time in their careers. The program grew out of a partnership, dating from 1991, between Hampton University, a historically black university, and Carnegie Mellon University. Working with James Turner, the Head of the Mathematics Department at Hampton University, Steve Shreve of our Department organized a two-day Mathfest for undergraduate students from historically black colleges and universities. Faculty from both CMU and Hampton gave mathematical talks and met informally with students to talk about graduate school. (This has since been continued as an annual event by the National Association of Mathematicians, a primarily African-American group.) The following summer, in 1992, a four-week institute for eight undergraduate students, four of whom were black, was held at Carnegie Mellon, funded under a grant to the Center for Nonlinear Analysis from the ARO. The Institute offered two classroom courses, one in elementary real analysis and one in numerical analysis, a Maple laboratory, and a series of weekly research seminars by faculty from the Department of Mathematics. After this experimental Institute, in 1994 three-year funding was obtained from NSF to expand the Institute to include 12 students in a seven-week program. It was reorganized into essentially the current form, continuing and expanding the real analysis course, the Maple laboratory, and the research seminars, and adding a research project component. Funding from NSF and from NSA has supported the Institute in the succeeding years, with essentially the same format. Using a grant from a CMU alumnus (Theodore Sorensen) and funds from a VIGRE grant to the Departments of Mathematical Sciences and Statistics, three CMU students were added to the Institute group, and an additional research component in statistics was included. The Institute retains its emphasis on enrolling under-represented minorities and women: in the seven years of the current format 46% of the students have been minorities, and 58% female. There has been a strong prejudice in admissions toward students from primarily undergraduate institutions. Moreover, the Institute has succeeded beyond our wildest dreams in encouraging students to pursue advanced work in the mathematical sciences. Over 75 percent of Institute participants have gone on to graduate school in mathematics.
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