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.

Academic Appointments

Administrative Appointments

  • Director, Stanford Advanced Financial Technologies Laboratory (AFTLab) (2017 - Present)
  • Director, Stanford Mathematical and Computational Finance Program (2015 - Present)
  • Scientific Advisory Board and Governing Board, Consortium for Data Analytics in Risk (2014 - Present)

Honors & Awards

  • SIAM Financial Mathematics and Engineering Conference Paper Prize, Society for Industrial and Applied Mathematics (2014)
  • Paul Pigott Faculty Scholar, Stanford School of Engineering (2013)
  • Fama/DFA Prize for the Best Asset Pricing Paper, Journal of Financial Economics (2011)
  • Meritorious Service Award, Operations Research, INFORMS - Institute for Operations Research and the Management Sciences (2009, 2010, 2012)
  • Graduate Teaching Award, Stanford University (2007)
  • David Morgenthaler II Faculty Scholar, Stanford School of Engineering (2005)
  • Gauss Prize, Society for Actuarial and Financial Mathematics of Germany (2003)
  • Post-Doctoral Research Fellow, National Science Foundation of Germany (2002-2003)
  • Deutsche Bundesbank Fellow, Deutsche Bundesbank (2002)

Boards, Advisory Committees, Professional Organizations

  • Department Editor, Management Science (2018 - Present)
  • Associate Editor, Operations Research (2008 - Present)
  • Associate Editor, Mathematical Finance (2013 - Present)
  • Associate Editor, SIAM Journal on Financial Mathematics (2013 - Present)
  • Associate Editor, Finance & Stochastics (2018 - Present)
  • Associate Editor, Mathematics and Financial Economics (2017 - Present)
  • Associate Editor, Journal of Risk (2015 - Present)
  • Associate Editor, Journal of Credit Risk (2016 - Present)
  • Editorial Board, SIAM Book Series on Financial Mathematics (2013 - Present)
  • Vice Chair, SIAM Activity Group on Financial Mathematics and Engineering (2013 - 2015)
  • Associate Editor, IIE Transactions (2009 - 2015)
  • Associate Editor, Journal of Banking and Finance (2011 - 2015)
  • Associate Editor, Operations Research Letters (2009 - 2012)

Professional Education

  • PhD, Humboldt University Berlin, Germany, Economics (2001)

Patents

  • Kay Giesecke, Justin Sirignano. "United States Patent 15/331,825 Apparatus for Analyzing the Risk of a Large Loan Pool and Method of Using"
  • Kay Giesecke, Justin Sirignano. "United States Patent 15/613,256 Apparatus for Optimizing a Loan Pool and Method of Using"
  • 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"
  • Kay Giesecke, Randy Correll, Peter McMahon, Vincent Su. "United States Patent 62/354,818 A quantum-annealing computer method for financial portfolio optimization"
  • Kay Giesecke. "United States Patent 7536329 Method and Apparatus for an Incomplete Information Model of Credit Risk", Nov 11, 2004

Contact

  • Academic
    giesecke@stanford.edu
    University - Faculty Department: Management Science and Engineering Position: Professor
    • 307 Huang Engineering Center
    • Stanford University
    • 475 Via Ortega
    • Stanford,  California  94305 
    (650) 723-1614 (fax)

Additional Info

  • Mail Code: 4026

Links

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

Stanford Advisees

All Publications