Stratton Hall, 104A
Marcel Y. Blais
- Assistant Teaching Professor, Mathematical Sciences
- Coordinator, Professional Master of Science Programs
I teach many graduate courses in our Financial Mathematics Professional Master’s Program. I particularly love engaging graduate students in areas of financial mathematics; the material is exciting, cutting edge, and fun to apply and relate to current events and states of financial markets. At the undergraduate level, I teach upper-level optimization electives, as well as calculus courses. I enjoy teaching at this level, showing undergraduate students why the mathematics we study is important and relevant.
Currently, I am involved in the study of liquidity modeling in mathematical finance. I recently began the study of leveraging and volatility derivatives, which has been of particular interest to me.
- Liquidity Modeling
- Volatility Derivatives
- BS, Fairfield University, 1999
- MS, Cornell University, 2003
- PhD, Cornell University, 2006
- Marcel Blais & Philip Protter, "Signing Trades and an Evaluation of the Lee–Ready Algorithm", Annals of Finance, 2011.
- Marcel Blais & Philip Protter, "An Analysis of the Supply Curve for Liquidity Risk through Book Data", International Journal of Theoretical and Applied Finance, 18, 821-838, 2010.
- DR MB1. DIRECTED RESEARCH/GRADUATE
- MA 1021. CALCULUS I
- MA 1022. CALCULUS II
- MA 2210. MATHEMATICAL METHODS IN DECISION MAKING
- MA 3211. THEORY OF INTEREST
- MA 4235. MATHEMATICAL OPTIMIZATION
- MA 4237. PROBABILISTIC METHODS IN OPERATIONS RESEARCH
- MA 562. PROFESSIONAL MASTERS SEMINAR
- MA 571. FINANCIAL MATHEMATICS I
- MA 573. COMPUTATIONAL METHODS OF FINANCIAL MATHEMATICS
- MA 574. PORTFOLIO VALUATION & RISK MGT
- MA 575. MARKET & CREDIT RISK MDLS & MG
- MA 579. FINANCIAL PROGRAMMING WORKSHOP