J. Michael Harrison
Encyclopedia
J. Michael Harrison is an American scientist, known for his contributions to the theory of mathematical finance
, in particular
stochastic networks and financial engineering. He has authored
near 90 journal articles and written two books in his area.
He obtained a B.Sc. in industrial engineering
from Lehigh University
(1966),
an M.Sc. from Stanford University
(1967), where he also got his Ph.D.
in operations research
(1970).
He then worked at the same place, in the Stanford Graduate School of Business
,
as assistant professor, promoted to associate professor (1973) and full professor
(1978).
He hasn't moved and is currently the Adams Distinguished Professor of Management.
His research focused on stochastic modelling
for business
and led to influential results in option theory (with David M. Kreps
, 1980).
Later he studied Brownian network models for logistics
and models for optimizing telephone call centers. More recently he has studied
dynamic pricing and revenue management
.
Mathematical finance
Mathematical finance is a field of applied mathematics, concerned with financial markets. The subject has a close relationship with the discipline of financial economics, which is concerned with much of the underlying theory. Generally, mathematical finance will derive and extend the mathematical...
, in particular
stochastic networks and financial engineering. He has authored
near 90 journal articles and written two books in his area.
He obtained a B.Sc. in industrial engineering
Industrial engineering
Industrial engineering is a branch of engineering dealing with the optimization of complex processes or systems. It is concerned with the development, improvement, implementation and evaluation of integrated systems of people, money, knowledge, information, equipment, energy, materials, analysis...
from Lehigh University
Lehigh University
Lehigh University is a private, co-educational university located in Bethlehem, Pennsylvania, in the Lehigh Valley region of the United States. It was established in 1865 by Asa Packer as a four-year technical school, but has grown to include studies in a wide variety of disciplines...
(1966),
an M.Sc. from Stanford University
Stanford University
The Leland Stanford Junior University, commonly referred to as Stanford University or Stanford, is a private research university on an campus located near Palo Alto, California. It is situated in the northwestern Santa Clara Valley on the San Francisco Peninsula, approximately northwest of San...
(1967), where he also got his Ph.D.
Ph.D.
A Ph.D. is a Doctor of Philosophy, an academic degree.Ph.D. may also refer to:* Ph.D. , a 1980s British group*Piled Higher and Deeper, a web comic strip*PhD: Phantasy Degree, a Korean comic series* PhD Docbook renderer, an XML renderer...
in operations research
Operations research
Operations research is an interdisciplinary mathematical science that focuses on the effective use of technology by organizations...
(1970).
He then worked at the same place, in the Stanford Graduate School of Business
Stanford Graduate School of Business
The Stanford Graduate School of Business is one of the professional schools of Stanford University, in Stanford, California and is broadly regarded as one of the best business schools in the world.The Stanford GSB offers a general management Master of Business Administration degree, the Sloan...
,
as assistant professor, promoted to associate professor (1973) and full professor
Professor
A professor is a scholarly teacher; the precise meaning of the term varies by country. Literally, professor derives from Latin as a "person who professes" being usually an expert in arts or sciences; a teacher of high rank...
(1978).
He hasn't moved and is currently the Adams Distinguished Professor of Management.
His research focused on stochastic modelling
Stochastic modelling
This page is concerned with the stochastic modelling as applied to the insurance industry. For other stochastic modelling applications, please see Monte Carlo method and Stochastic asset models. For mathematical definition, please see Stochastic process....
for business
Business
A business is an organization engaged in the trade of goods, services, or both to consumers. Businesses are predominant in capitalist economies, where most of them are privately owned and administered to earn profit to increase the wealth of their owners. Businesses may also be not-for-profit...
and led to influential results in option theory (with David M. Kreps
David M. Kreps
David Marc "Dave" Kreps is a game theorist and economist and professor at the Graduate School of Business at Stanford University. He is known for his analysis of dynamic choice models and non-cooperative game theory, particularly the idea of sequential equilibrium, which he developed with Stanford...
, 1980).
Later he studied Brownian network models for logistics
Logistics
Logistics is the management of the flow of goods between the point of origin and the point of destination in order to meet the requirements of customers or corporations. Logistics involves the integration of information, transportation, inventory, warehousing, material handling, and packaging, and...
and models for optimizing telephone call centers. More recently he has studied
dynamic pricing and revenue management
Revenue management
Revenue Management is the application of disciplined analytics that predict consumer behavior at the micro-market level and optimize product availability and price to maximize revenue growth. The primary aim of Revenue Management is selling the right product to the right customer at the right time...
.
Awards
- National Academy of EngineeringNational Academy of EngineeringThe National Academy of Engineering is a government-created non-profit institution in the United States, that was founded in 1964 under the same congressional act that led to the founding of the National Academy of Sciences...
electee (2008). - John von Neumann Theory PrizeJohn von Neumann Theory PrizeThe John von Neumann Theory Prize of the Institute for Operations Research and the Management Sciencesis awarded annually to an individual who has made fundamental and sustained contributions to theory in operations research and the management sciences.The Prize named after mathematician John von...
2004 - Frederick W. Lanchester PrizeFrederick W. Lanchester PrizeThe Frederick W. Lanchester Prize is an Institute for Operations Research and the Management Sciences prize given for the best contribution to operations research and the management sciences published in English. It is named after Frederick W. Lanchester.-Past winners:* 1954 Leslie C. Edie* 1955...
(best research publication) 2001 - INFORMS Expository Writing Award 1998
Selected publications
- A Method for Staffing Large Call Centers, Mfg. & Service Operations Mgt., 2005
- A Broader View of Brownian Networks: Annals of Applied Probability, 2003
- Brownian Motion and Stochastic Flow Systems, Wiley and Sons, 1985
- Martingales and Stochastic Integrals in the Theory of Trading Stochastic Processes, 1981
- Martingales and Arbitrage in Multiperiod Securities Markets Journal of Economic Theory, 1979