Faculty Directory

Contact Information

Stratton Hall, 104A
Phone: +1-508-831-5677
Fax: +1-508-831-5824

Marcel Y. Blais

  • Associate 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.

Research Interests

  • Liquidity Modeling
  • Volatility Derivatives
  • Leverage


  • BS, Fairfield University, 1999
  • MS, Cornell University, 2003
  • PhD, Cornell University, 2006

Featured Publications

  • 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.
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