Nobel Laureate to Speak on 'Global Volatility' at Pitt April 7
PITTSBURGH-Nobel Laureate Robert F. Engle will deliver the University of Pittsburgh Department of Mathematics Inaugural Edmund R. Michalik Distinguished Lecture in the Mathematical Sciences, titled "Global Volatility: Its Measurement, Interpretation, and Causes," at 4 p.m. April 7, Room 343, Alumni Hall, 4227 Fifth Ave., Oakland. A reception will follow. This event is free and open to the public.
Engle is a renowned expert in financial econometrics, time series analysis, volatility and risk management, and empirical market microstructure. The field of financial econometrics is built largely on the volatility models that Engle pioneered. His models have been widely applied in financial risk management, asset pricing, and asset allocation. In 1983, Engle cowrote a breakthrough paper with Pitt professor and chair of the Department of Economics Jean-Francois Richard and David Hendry of Oxford University, titled "Exogeneity," in the journal Econometrica.
Winner of the 2003 Bank of Sweden Prize in Economic Sciences in Memory of Alfred Nobel for "methods of analyzing economic time series with time-varying volatility," Engle holds the Michael Armellino Professorship in the Management of Financial Services in the Stern School of Business at New York University. He earned the Ph.D. degree in economics at Cornell University in 1966.
This lecture is the first in an annual series in honor of former Pitt adjunct professor of mathematics Edmund R. Michalik and was established through a gift from the Michalik family. Michalik received both the Bachelor of Arts degree in education in 1937 and the Master of Arts degree in mathematics in 1940 from Pitt. A World War II veteran, Michalik dedicated his time to the study of mathematics during his long career in Pittsburgh, including positions at PPG Industries and Mellon Institute.
In addition to the Department of Mathematics, this event is cosponsored by the University's Offices of the Provost and Dean of Arts and Sciences, as well as by the Departments of Economics and Statistics. For more information, call 412-624-8375 or visit www.math.pitt.edu.
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