David Heath

Orion Hoch Professor of Mathematical Sciences
Ph.D., University of Illinois

E-mail: heath@andrew.cmu.edu
Tepper School webpage

Research

Applied probability, operations research, and mathematical finance. Topics include inventory and queueing theory, models for pricing financial instruments, measures of risk, and risk management.

Selected Publications

"Coherent measures of risk" with P. Artzner, F. Delbaen, and J.M. Eber, Mathematical Finance 9, 203–228

"Heavy tails and long range dependence in on/off processes and associated fluid models" with S. Resnick and G. Samorodnitsky, Mathematics of Operations Research 23, 145–165, 1998;

"Bond pricing and the term structure of interest rates: a new methodology" with R. Jarrow and A. Morton, Econometrica Vol. 60, No. 1, 1992;

"Coherent inference from improper priors and from finitely additive priors" with W.D. Suddeth, Ann. Stat. 17, 1989, 907–919;

"A unique procedure (for allocating common costs from a production process" with L.J. Billera and R. Verecchia, Journal of Accounting Research 19, 1981, 185–196