Graduate School of Management

Ed Weinberger, PhD, FRM

Visiting Assistant Professor
Graduate School of Management
Clark University
Worcester, MA 01610-1477

 

BS, Massachusetts Institute of Technology
MS, New York University
Ph.D., Mathematics, Courant Institute of New York University

Teaching cCurses

Advanced derivatives, Fixed Income

Research Interests

Re-casting financial statements as realizations of stochastic processes.  Application of information theory to finance, especially to market efficiency.  Numerical methods in finance, especially Monte Carlo; Monte Carlo simulation of commercial litigation.

Publications and Presentations

“Probabilistic Accounting:  the need, the difficulty, and a quick win,” Bloomberg Quant (BBQ) Seminar “Lightning” Talk, New York City, August 27, 2015.

“Risky Business: A Review of Risk Management by Michel Crouhy, Dan Galai, and Robert Mark,” RMA Journal, December, 2000.

“How Close is Close Enough:  The Limitations of Monte Carlo in Computing VaR,” paper included in the proceedings volume of the 1999 Institute for International Research Conference, “Effectively Managing and Mitigating Model Risk,” March 1999.

“The Geometry of VAR,” Learning Curve, Derivatives Week, November 4, 1996.

THE LETTER BOX:  Ed Weinberger explains how to build one of those ‘black box’ implied volatility calculators,” RISK Magazine, Vol. 6/No. 6/June 1993, 54-55.  This paper was reprinted in Over the Rainbow, Developments in Exotic Options and Complex Swaps, edited by Robert Jarrow, RISK Publications, London (1996).

Finance Related Working Papers

“Pragmatic Information Rates, Generalizations of the Kelly Criterion, and Financial Market Efficiency,” Available on the web at http://arxiv.org/abs/0903.2243.  (Last updated, September, 2014).

Other Research

"Fitness Landscapes – 20 Years Later,” in Recent Advances In The Theory And Application Of Fitness Landscapes, H. Richter and A. Engelbrecht, Eds., Springer Series on Emergence, Complexity, and Computation, Vol. 6, ISBN 978-3-642-41887-7, Springer Verlag, Berlin. (2014).  Reflections on what my career in finance taught me about how to think about biological fitness. 

United States Patent #5537551 (with Jeffrey N. Denenberg and Michael L. Gordon), issued July 16, 1996.  This patent was assigned to the internet forerunner Prodigy Services Corporation because it covered the lossless data compression algorithm that it used.

“Chemical implementation of finite state machines,” (with A. Hjelmfelt and J. Ross), Proceedings of the National Academy of Sciences of the USA, 89, 383-387 (1992).  This and the subsequent paper were among the first papers to emphasize the computing potential of biochemical reactions.

 “Chemical implementation of neural networks and Turing machines,” (with A. Hjelmfelt and J. Ross), Proceedings of the National Academy of Sciences of the USA, 88, 10983-10987 (1991).

 

See Ed's Curriculumn Vitae