CME Group and the Mathematical Sciences Research Institute (MSRI) on Friday presented Lars Hansen, the Homer J. Livingston Distinguished Service Professor in the Departments of Economics and Statistics at the University of Chicago, with the CME Group-MSRI Prize in Innovative Quantitative Applications.
CME Group, the world's largest and most diverse financial exchange, throughits Center for Innovation has partnered with MSRI, based in Berkeley, CA, toaward the third annual CME Group-MSRI Prize. This award is designed torecognize individuals or groups who contribute original concepts andinnovation in the use of mathematical, statistical or computational methodsfor the study of the behavior of markets, and more broadly of economics.
In the 1980s Hansen became established as the leadingcontributor to the development and application of rigorous estimation andtesting methods for financial data. His 1982 paper "Generalized Methods ofMoments" fundamentally altered the way that empirical research is done infinance and macroeconomics.
This new methodology led him, with Ken Singleton,to make one of the pioneering contributions to what became known as the "equity premium puzzle."
Hansen continues to be a prolific researcher. He is part of a team investigating how long-run risk tradeoffs are encoded in asset prices. Hansen has also collaborated with others to develop models in which investors guard their investments against possible model misspecification, which they have shown are reflected in security market values and contribute to price dynamics.
Hansen is a member of the National Academy of Sciences and AmericanAcademy of Arts and Sciences, and fellow of the Econometric Society and afellow of the American Finance Association. Hansen is a former John SimonGuggenheim Memorial Foundation Fellow and Sloan Foundation Fellow. Since 1981Hansen has served on the faculty of the University of Chicago's Department ofEconomics, where he was the former director of graduate studies and chairman.He is the recipient of the 2006 Erwin Plein Nemmers Prize in Economics fromNorthwestern University, a Faculty Award for Excellence in graduate teachingfrom the University of Chicago, and co-winner of the Frisch Medal from theEconometric Society.
In acknowledging the award, Prof. Hansen said, "Probability theory andstatistics provide wonderful tools to explore financial economics. I expectthey will continue to provide insights into the understanding of the economicunderpinnings of financial markets just as they have served other scientificfields of endeavor. The MSRI and the CME Group are wise to nurture suchproductive linkages. I am surprised and honored to be awarded the third CMEGroup-MSRI Prize and be in the esteemed company of Stephen A. Ross and DavidM. Kreps."
CME Group Chairman Emeritus and CME Group-MSRI Prize Selection Committeemember Leo Melamed said, "Dr. Hansen's decades of mathematical research havebrought about significant advances in the world of financial economics. Hisdevelopment of the Generalized Method of Moments, which helps analyzeeconomic models in numerous fields, has become one of the top statisticaltools for the analysis of financial data. I am honored to present to Dr.Hansen, the CME Group-MSRI Prize in Innovative Quantitative Applications."
Robert Bryant, CME Group-MSRI Prize Selection Committee member and Directorof MSRI said, "The insights of Dr. Hansen wonderfully illustrate theremarkable results that can be gained through the application of mathematicsin economics; he shows how mathematical intuition and rigor can relatedirectly to real world problems. It is extraordinarily fitting to have CMEGroup, which leads in innovation in a very practical field, and MSRI, whichseeks innovation in a very fundamental sense, collaborate to present thisprize."
The 2008 CME Group-MSRI Prize Selection Committee includes: Leo Melamed,Chairman Emeritus, CME Group; Anat Admati, Joseph McDonald Professor ofFinance and Economics, Stanford Graduate School of Business; Robert Bryant,Director, Mathematical Sciences Research Institute; Darrell Duffie (CommitteeChair), James I. Miller Professor of Finance, Graduate School of Business,Stanford University; John Gould, Steven G. Rothmeier Professor andDistinguished Service Professor of Economics, University of Chicago GraduateSchool of Business; Sanford Grossman, Chairman and CEO, QuantitativeFinancial Strategies, Inc.; Steven A. Ross, Franco Modigliani Professor ofFinancial Economics at the MIT Sloan School of Management and the firstrecipient of the CME-MSRI Prize (2006); Jose A. Scheinkman, Theodore A. Wells'29 Professor of Economics, Princeton University, Department of Economics; andHugo Sonnenschein, President Emeritus and Adam Smith Distinguished ServiceProfessor, University of Chicago, Department of Economics.
Previous recipients of the CME Group-MSRI Prize and Medal are: (2007) DavidM. Kreps, Senior Associate Dean for Academic Affairs, Faculty Director of theMBA Program, and Theodore J. Kreps Professor of Economics, Stanford GraduateSchool of Business; (2006) Stephen A. Ross, Franco Modigliani Professor ofFinancial Economics, MIT Sloan School of Management.
CME Group is a recognized leader in financial services, exemplifyinginnovation in action by creating products and services that have changed theface of modern finance. Because CME Group recognizes the importance ofinnovation first-hand, it created the CME Center for Innovation whose missionis to identify, foster and showcase examples of significant innovation andcreative thinking pertaining to markets, commerce or trade in the public andprivate sectors. For more information on the CME Center for Innovation,visit http://www.cme.com/about/ins/cfi/index.html.
The Mathematical Sciences Research Institute (MSRI, http://www.msri.org/)exists to further mathematical research through broadly based programs in themathematical sciences and closely related activities. MSRI's research extendsthrough pure mathematics into computer science, and statistics applicationsto other disciplines, including engineering, physics, biology, chemistry,medicine, and finance. In addition to its core programs, MSRI offers summergraduate workshops, programs to enhance K-12 math education, and outreachprograms on mathematical themes.
CME Group (http://www.cmegroup.com/) is the world's largest and most diversederivatives exchange. Building on the heritage of CME, CBOT and NYMEX, CMEGroup serves the risk management needs of customers around the globe. As aninternational marketplace, CME Group brings buyers and sellers together onthe CME Globex electronic trading platform and on trading floors in Chicagoand New York. By acting as the buyer to every seller and the seller to everybuyer, CME Clearing virtually elimininates counterparty credit risk. CMEClearing also offers $7 billion in financial safeguards to help mitigatesystemic risk, providing the security and confidence market participants needto operate, invest and grow. CME Group offers the widest range of benchmarkproducts available across all major asset classes, including futures andoptions based on interest rates, equity indexes, foreign exchange, energy,agricultural commodities, metals, and alternative investment products such asweather and real estate. CME Group is listed on NASDAQ under the symbol"CME."
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The Mathematical Sciences Research Institute (http://www.msri.org/) is one ofthe world's premiere centers for research in the mathematical sciences, andhas been advancing mathematical research through workshops and conferencessince its founding as an independent Institute in 1982. More than 2,500mathematical scientists visit MSRI each year in Berkeley, CA, many for staysfor up to one year. The Institute is funded primarily by the National ScienceFoundation with additional support from other government agencies, privatefoundations, academic and corporate sponsors, and individual donors.
—Prof. Kunle Odunsi
