
Kay Giesecke
Professor of Management Science and Engineering
Bio
Kay Giesecke is Professor of Management Science & Engineering at Stanford University. He is the Director of the Advanced Financial Technologies Laboratory and the Director of the Mathematical and Computational Finance Program. Kay is a member of the Institute for Computational and Mathematical Engineering. He serves on the Governing Board and Scientific Advisory Board of the Consortium for Data Analytics in Risk. He is a member of the Council of the Bachelier Finance Society.
Kay is the founder, Executive Chairman and Chief Scientist of Infima Technologies, a capital markets technology company building transformative prediction systems for fixed-income market participants.
Kay is a financial technologist and engineer. He develops stochastic financial models, designs statistical methods for analyzing financial data, examines simulation and other numerical algorithms for solving the associated computational problems, and performs empirical analyses. Much of Kay's work is driven by important applications in areas such as credit risk management, investment management, and, most recently, housing finance. His research has been funded by the National Science Foundation, JP Morgan, State Street, Morgan Stanley, Swiss Re, American Express, Moody's, and several other organizations.
Kay has published numerous articles in operations research, probability, and finance journals. He has coauthored five United States patents. He is an Editor of Management Science in the Finance Area and an Associate Editor for Mathematical Finance,Operations Research, SIAM Journal on Financial Mathematics, Finance and Stochastics, Mathematics and Financial Economics, Journal of Credit Risk, Journal of Risk, and other journals.
Kay has won the JP Morgan AI Faculty Research Award (2019), the SIAM Financial Mathematics and Engineering Conference Paper Prize (2014), the Fama/DFA Prize for the Best Asset Pricing Paper in the Journal of Financial Economics (2011),and the Gauss Prize of the Society for Actuarial and Financial Mathematics of Germany (2003). Kay is the recipient of the Management Science & Engineering Graduate Teaching Award (2007), a DFG Postdoctoral Fellowship (2002-03), and a Deutsche Bundesbank Fellowship (2002).
Kay advises several financial technology startups and has been a consultant to banks, investment and risk management firms, governmental agencies, and supranational organizations.
Administrative Appointments
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Director, Stanford Advanced Financial Technologies Laboratory (AFTLab) (2017 - Present)
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Director, Stanford Mathematical and Computational Finance Program (2015 - Present)
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Scientific Advisory Board and Governing Board, Consortium for Data Analytics in Risk (2014 - Present)
Honors & Awards
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SIAM Financial Mathematics and Engineering Conference Paper Prize, Society for Industrial and Applied Mathematics (2014)
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Paul Pigott Faculty Scholar, Stanford School of Engineering (2013)
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Fama/DFA Prize for the Best Asset Pricing Paper, Journal of Financial Economics (2011)
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Meritorious Service Award, Operations Research, INFORMS - Institute for Operations Research and the Management Sciences (2009, 2010, 2012)
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Graduate Teaching Award, Stanford University (2007)
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David Morgenthaler II Faculty Scholar, Stanford School of Engineering (2005)
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Gauss Prize, Society for Actuarial and Financial Mathematics of Germany (2003)
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Post-Doctoral Research Fellow, National Science Foundation of Germany (2002-2003)
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Deutsche Bundesbank Fellow, Deutsche Bundesbank (2002)
Boards, Advisory Committees, Professional Organizations
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Department Editor, Management Science (2018 - Present)
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Associate Editor, Operations Research (2008 - Present)
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Associate Editor, Mathematical Finance (2013 - Present)
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Associate Editor, SIAM Journal on Financial Mathematics (2013 - Present)
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Associate Editor, Finance & Stochastics (2018 - Present)
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Associate Editor, Mathematics and Financial Economics (2017 - Present)
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Associate Editor, Journal of Risk (2015 - Present)
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Associate Editor, Journal of Credit Risk (2016 - Present)
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Editorial Board, SIAM Book Series on Financial Mathematics (2013 - Present)
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Vice Chair, SIAM Activity Group on Financial Mathematics and Engineering (2013 - 2015)
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Associate Editor, IIE Transactions (2009 - 2015)
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Associate Editor, Journal of Banking and Finance (2011 - 2015)
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Associate Editor, Operations Research Letters (2009 - 2012)
Professional Education
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PhD, Humboldt University Berlin, Germany, Economics (2001)
Patents
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Kay Giesecke, Justin Sirignano. "United States Patent 15/331,825 Apparatus for Analyzing the Risk of a Large Loan Pool and Method of Using"
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Kay Giesecke, Justin Sirignano. "United States Patent 15/613,256 Apparatus for Optimizing a Loan Pool and Method of Using"
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Kay Giesecke, Randy Correll, Peter McMahon. "United States Patent 62/354,817 A quantum-annealing computer method for selecting the optimum bids in a combinatorial auction"
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Kay Giesecke, Randy Correll, Peter McMahon, Vincent Su. "United States Patent 62/354,818 A quantum-annealing computer method for financial portfolio optimization"
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Kay Giesecke. "United States Patent 7536329 Method and Apparatus for an Incomplete Information Model of Credit Risk", Nov 11, 2004
Current Research and Scholarly Interests
Kay is a financial technologist and engineer. He develops stochastic financial models, designs statistical methods for analyzing financial data, examines simulation and other numerical algorithms for solving the associated computational problems, and performs empirical analyses. Much of Kay's work is driven by important applications in areas such as credit risk management, investment management, and, most recently, housing finance. His research has been funded by the National Science Foundation, JP Morgan, State Street, Morgan Stanley, Swiss Re, American Express, Moody's, and several other organizations.
2022-23 Courses
- Financial Risk Analytics
MS&E 246 (Win) - Introduction to Finance and Investment
MS&E 145 (Win) -
Independent Studies (4)
- Curricular Practical Training
CME 390 (Aut, Sum) - Directed Reading and Research
MS&E 408 (Aut, Win, Spr, Sum) - Master's Research
CME 291 (Aut, Win, Spr) - Ph.D. Research
CME 400 (Aut, Win, Spr, Sum)
- Curricular Practical Training
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Prior Year Courses
2021-22 Courses
- Advanced Investment Science
MS&E 245B (Spr) - Financial Risk Analytics
MS&E 246 (Win)
2019-20 Courses
- Financial Risk Analytics
MS&E 246 (Win) - Fundamental Concepts in Management Science and Engineering
MS&E 302 (Aut)
- Advanced Investment Science
Stanford Advisees
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Doctoral Dissertation Reader (AC)
Greg Zanotti, Jiacheng Zou -
Master's Program Advisor
Boris Beltinoff, Adam Chang, Daniel Fishman, Lucy HAO, Grace Li, Jueshen Li, Sangeet Sridhar, Phillip Tran, Audrey Tung, Cary Turner, Dominic Waltz, Amy Wang, Cecilia Xia -
Doctoral (Program)
Lukas Fiechtner, Xueye Ping
All Publications
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Introduction to the Special Section on Data-Driven Prescriptive Analytics
MANAGEMENT SCIENCE
2022; 68 (3): 1591-1594
View details for DOI 10.1287/mnsc.2021.4296
View details for Web of Science ID 000773344300001
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Reducing Bias in Event Time Simulations via Measure Changes
MATHEMATICS OF OPERATIONS RESEARCH
2022
View details for DOI 10.1287/moor.2021.1156
View details for Web of Science ID 000751510200001
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Deep Learning for Mortgage Risk
JOURNAL OF FINANCIAL ECONOMETRICS
2021; 19 (2): 313-368
View details for DOI 10.1093/jjfinec/nbaa025
View details for Web of Science ID 000733824400005
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Call for Papers-Management Science Special Issue on Blockchains and Crypto Economics
MANAGEMENT SCIENCE
2021; 67 (1): 6–7
View details for DOI 10.1287/mnsc.2020.3888
View details for Web of Science ID 000640642600003
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Editorial Statement-Finance
MANAGEMENT SCIENCE
2020; 66 (8): V
View details for DOI 10.1287/mnsc.2020.3749
View details for Web of Science ID 000555782600001
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Significance Tests for Neural Networks
JOURNAL OF MACHINE LEARNING RESEARCH
2020; 21
View details for Web of Science ID 000605745600001
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UNBIASED SIMULATION ESTIMATORS FOR PATH INTEGRALS OF DIFFUSIONS
IEEE. 2020: 277-288
View details for DOI 10.1109/WSC48552.2020.9383881
View details for Web of Science ID 000679196300023
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Inference for large financial systems
MATHEMATICAL FINANCE
2019
View details for DOI 10.1111/mafi.12222
View details for Web of Science ID 000475128100001
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Dynamic Portfolio Execution
MANAGEMENT SCIENCE
2019; 65 (5): 2015–40
View details for DOI 10.1287/mnsc.2017.2865
View details for Web of Science ID 000467797300004
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Risk Analysis for Large Pools of Loans
MANAGEMENT SCIENCE
2019; 65 (1): 107–21
View details for DOI 10.1287/mnsc.2017.2947
View details for Web of Science ID 000459437600007
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UNBIASED SIMULATION ESTIMATORS FOR JUMP-DIFFUSIONS
IEEE. 2019: 890–901
View details for Web of Science ID 000529791400070
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Filtered likelihood for point processes
JOURNAL OF ECONOMETRICS
2018; 204 (1): 33–53
View details for DOI 10.1016/j.jeconom.2017.11.011
View details for Web of Science ID 000429512400003
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Editorial Statement-Finance
MANAGEMENT SCIENCE
2018; 64 (3): V
View details for DOI 10.1287/mnsc.2018.3075
View details for Web of Science ID 000428415600001
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Large-Scale Loan Portfolio Selection
OPERATIONS RESEARCH
2016; 64 (6): 1239-1255
View details for DOI 10.1287/opre.2016.1537
View details for Web of Science ID 000388850800005
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Variation-based tests for volatility misspecification
JOURNAL OF ECONOMETRICS
2016; 191 (1): 217-230
View details for DOI 10.1016/j.jeconom.2015.10.008
View details for Web of Science ID 000368963100013
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Affine Point Processes: Approximation and Efficient Simulation
MATHEMATICS OF OPERATIONS RESEARCH
2015; 40 (4): 797-819
View details for DOI 10.1287/moor.2014.0696
View details for Web of Science ID 000367895700001
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LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT
MATHEMATICAL FINANCE
2015; 25 (1): 77-114
View details for DOI 10.1111/mafi.12011
View details for Web of Science ID 000348060500004
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Optimal Credit Swap Portfolios
MANAGEMENT SCIENCE
2014; 60 (9): 2291-2307
View details for DOI 10.1287/mnsc.2013.1890
View details for Web of Science ID 000341870500009
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Fluctuation analysis for the loss from default
STOCHASTIC PROCESSES AND THEIR APPLICATIONS
2014; 124 (7): 2322-2362
View details for DOI 10.1016/j.spa.2014.02.010
View details for Web of Science ID 000336108400002
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Macroeconomic effects of corporate default crisis: A long-term perspective
JOURNAL OF FINANCIAL ECONOMICS
2014; 111 (2): 297-310
View details for DOI 10.1016/j.jfineco.2013.10.014
View details for Web of Science ID 000330486100002
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TRANSFORM ANALYSIS FOR POINT PROCESSES AND APPLICATIONS IN CREDIT RISK
MATHEMATICAL FINANCE
2013; 23 (4): 742-762
View details for DOI 10.1111/j.1467-9965.2011.00512.x
View details for Web of Science ID 000322677800006
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Exact Sampling of Jump Diffusions
OPERATIONS RESEARCH
2013; 61 (4): 894-907
View details for DOI 10.1287/opre.2013.1191
View details for Web of Science ID 000323931800007
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DEFAULT CLUSTERING IN LARGE PORTFOLIOS: TYPICAL EVENTS
ANNALS OF APPLIED PROBABILITY
2013; 23 (1): 348-385
View details for DOI 10.1214/12-AAP845
View details for Web of Science ID 000315310800009
- Exact Sampling of Jump-Diffusions , e-companion Operations Research 2013; 4 (61): 894-907
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Sequential Importance Sampling and Resampling for Dynamic Portfolio Credit Risk
OPERATIONS RESEARCH
2012; 60 (1): 78-91
View details for DOI 10.1287/opre.1110.1008
View details for Web of Science ID 000302113900007
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Monte Carlo Algorithms for Default Timing Problems
MANAGEMENT SCIENCE
2011; 57 (12): 2115-2129
View details for DOI 10.1287/mnsc.1110.1411
View details for Web of Science ID 000298164600003
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Corporate bond default risk: A 150-year perspective
JOURNAL OF FINANCIAL ECONOMICS
2011; 102 (2): 233-250
View details for DOI 10.1016/j.jfineco.2011.01.011
View details for Web of Science ID 000295393600001
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Exact Simulation of Point Processes with Stochastic Intensities
OPERATIONS RESEARCH
2011; 59 (5): 1233-1245
View details for DOI 10.1287/opre.1110.0962
View details for Web of Science ID 000297164900014
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Premia for correlated default risk
JOURNAL OF ECONOMIC DYNAMICS & CONTROL
2011; 35 (8): 1340-1357
View details for DOI 10.1016/j.jedc.2011.03.010
View details for Web of Science ID 000292230600011
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Systemic Risk: What Defaults Are Telling Us
MANAGEMENT SCIENCE
2011; 57 (8): 1387-1405
View details for DOI 10.1287/mnsc.1110.1375
View details for Web of Science ID 000293506000003
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A Top-Down Approach to Multiname Credit
OPERATIONS RESEARCH
2011; 59 (2): 283-300
View details for DOI 10.1287/opre.1100.0855
View details for Web of Science ID 000290752200002
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Risk Analysis of Collateralized Debt Obligations
OPERATIONS RESEARCH
2011; 59 (1): 32-49
View details for DOI 10.1287/opre.1100.0864
View details for Web of Science ID 000288595100003
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Affine Point Processes and Portfolio Credit Risk
SIAM JOURNAL ON FINANCIAL MATHEMATICS
2010; 1 (1): 642-665
View details for DOI 10.1137/090771272
View details for Web of Science ID 000208691600026
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IMPORTANCE SAMPLING FOR INDICATOR MARKOV CHAINS
2010 Winter Simulation Conference
IEEE. 2010: 2742–2750
View details for Web of Science ID 000287976702084
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Exact and Efficient Simulation of Correlated Defaults
SIAM JOURNAL ON FINANCIAL MATHEMATICS
2010; 1 (1): 868-896
View details for DOI 10.1137/090778055
View details for Web of Science ID 000208691600033
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Time-Changed Birth Processes and Multiname Credit Derivatives
OPERATIONS RESEARCH
2009; 57 (4): 990-1005
View details for DOI 10.1287/opre.1080.0652
View details for Web of Science ID 000270032800015
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RARE EVENT SIMULATION FOR A GENERALIZED HAWKES PROCESS
Winter Simulation Conference 2009
IEEE. 2009: 1271–1278
View details for Web of Science ID 000289492500119
- Assessing the Systemic Implications of Financial Linkages Global Financial Stability Report, International Monetary Fund 2009
- An Overview of Credit Derivatives, Presentation Slides Jahresbericht der Deutschen Mathematiker-Vereinigung 2009; 111
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SIMULATING POINT PROCESSES BY INTENSITY PROJECTION
2008 Winter Simulation Conference
IEEE. 2008: 560–568
View details for Web of Science ID 000274496200065
- Measuring the Risk of Large Losses Journal of Investment Management 2008; 4 (6): 1-15
- Portfolio Credit Risk: Top-Down vs. Bottom-Up Approaches Frontiers in Quantitative Finance: Credit Risk and Volatility Modeling edited by Cont, R. Wiley. 2008: 1
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Estimating tranche spreads by loss process simulation
2007 Winter Simulation Conference
IEEE. 2007: 946–954
View details for Web of Science ID 000256071800109
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Default and information
JOURNAL OF ECONOMIC DYNAMICS & CONTROL
2006; 30 (11): 2281-2303
View details for DOI 10.1016/j.jedc.2005.07.003
View details for Web of Science ID 000242524800016
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Credit contagion and aggregate losses
JOURNAL OF ECONOMIC DYNAMICS & CONTROL
2006; 30 (5): 741-767
View details for DOI 10.1016/j.jedc.2005.01.004
View details for Web of Science ID 000237332600002
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Cyclical correlations, credit contagion, and portfolio losses
JOURNAL OF BANKING & FINANCE
2004; 28 (12): 3009-3036
View details for DOI 10.1016/j.jbankfin.2003.11.002
View details for Web of Science ID 000225152500007
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Correlated default with incomplete information
JOURNAL OF BANKING & FINANCE
2004; 28 (7): 1521-1545
View details for DOI 10.1016/S0378-4266(03)00129-8
View details for Web of Science ID 000222046300002
- A Simple Exponential Model for Dependent Defaults Journal of Fixed Income 2003; 3 (13): 74-83
- Credit Risk Modeling and Valuation: An Introduction Credit Risk: Models and Management edited by Shimko, D. Risk Books. 2004 : 1
- Estimating Tranche Spreads by Loss Process Simulation 2007
- Rare-Event Simulation For a Generalized Hawkes Process 2009
- In Search of a Modigliani-Miller Economy Journal of Investment Management 2004 ; 3 (2): 1-6
- Credit Risk Modeling Handbook of Fixed Income Securities edited by Fabozzi, F. Wiley. 2004 : 1
- Forecasting Default in the Face of Uncertainty Journal of Derivatives 2004 ; 1 (12): 14-25
- Sequential Defaults and Incomplete Information Journal of Risk 2004 ; 1 (7): 1-26
- Forecasting Extreme Financial Risk Risk Management: A Modern Perspective edited by Ong, M. Wiley. 2004 : 1