2003 NOBEL PRIZE WINNER ROBERT ENGLE TO SPEAK AT MATH FINANCE SEMINAR AT NYU's COURANT INSTITUTE, FEB. 12

shonna.keogan@nyu.edu

New York, NY - The Math Finance Program at NYU's Courant Institute for Mathematical Sciences will host a lecture by Robert Engle, winner of the 2003 Nobel Prize in Economics on February 12 from 5:30 - 7 p.m. at Warren Weaver Hall, 251 Mercer Street, Room 102. An expert in time series analysis with a long-time interest in the analysis of financial markets, Engle will discuss "Dynamic Conditional Correlation Models of Tail Dependence."

Engle holds the Michael Armellino Professorship in the Management of Financial Services at NYU's Stern School of Business. His research has produced numerous innovative statistical methods, including ARCH, or autoregressive conditional heteroskedasticity, for which he was awarded the Nobel Prize. Engle demonstrated that ARCH accurately captures the properties of many time series and developed methods for statistical modeling of time-varying volatility. His ARCH models have become indispensable tools not only for researchers, but also for analysts on financial markets, who use them in asset pricing and in evaluating portfolio risk.

Engle has also done extensive research in cointegration, band spectrum regression, and, most recently, common features. His interest in financial econometrics covers equities, interest rates, exchange rates and options, and he has published more than 100 academic papers and three books.

Engle is the latest in a series of distinguished financial experts to deliver the Math Finance Seminar at Courant, including Sanford J. Grossman, professor of finance at the Wharton School of the University of Pennsylvania and director of Quantitative Financial Strategies, Inc.; Paul Wilmott, founder of Wilmott Associates; and Stephen A. Ross, professor of finance and economics at MIT.

The Math Finance Program at Courant focuses on the emerging discipline of financial mathematics, wherein mathematical tools are used to model financial markets and solve problems in the field of finance. The program draws from the disciplines of probability theory, statistics, scientific computing and partial differential equations to provide models and derive relationships between fundamental variables such as asset prices, market movements and interest rates. The seminar has been in existence since 1995.

This lecture is free and open to the public. A reception will follow after on the 13th floor lounge. To RSVP, contact Lilibeth Gecale at 212-998-3129 or via email at lg555@cims.nyu.edu. The Math Finance Seminar is sponsored by Instinet Group. Instinet Group, through affiliates, is the largest global electronic agency securities broker and has been providing investors with electronic trading solutions for more than 30 years, and is part of the Reuters family of companies. For further information on the February 12 lecture, please visit the website at: http://www.math.nyu.edu/seminars/math_finance_seminar.html.

02/02/04