Henry Schellhorn is professor of mathematics at Claremont Graduate University’s Institute of Mathematics Sciences and academic director of the Financial Engineering program. His research focuses in the areas of Monte Carlo simulation, credit risk management, interest rate models, queuing theory, and combinatorial auctions.
Schellhorn joined the CGU faculty in fall 2005. Previously a faculty member at the University of Lausanne in Switzerland, Schellhorn created an exchange program between CGU’s Financial Engineering program and the University of Lausanne in 2006.
Before joining CGU, Schellhorn worked as a quantitative analyst in private industry and as a principal research engineer at Oracle Corporation. There, he headed a research group that developed a system for using Monte Carlo simulations to calibrate Value at Risk models. He currently holds a U.S. patent for the procedure (U.S. Patent 7010510, Variance Reduction Technique for Large Scale Risk Management). Recently, Schellhorn ran an Engineering and Industrial Applied Mathematics Clinic, where he worked with students to develop new approaches to assessing credit risk.
In addition to publishing regularly in journals, Schellhorn has served as an associate editor for the Journal of Applied Mathematics and Decision Sciences and as referee on several other prestigious finance, mathematics, and operations research publications. He has organized or co-organized symposiums on a range of topics, including Interest Derivatives, Energy and Energy Derivatives, and Financial Mathematics.
Schellhorn’s research has received funding from Swiss National Research Fund, Fair Isaac Company, Fitch Ratings, and more, and he has been the recipient of Best Paper Awards from the International Business Economics Research Meeting and the World Congress on Engineering and Computer Science. In addition, he has given many invited talks, including at The Capital Group, USC, the Monte Carlo I.M.A.C.S. Conference, and the Society of Actuaries Interest Rate Conference.
Office hours spring 2021: Monday 5-6 or by appointment
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“A Trading Mechanism Contingent on Several Indices.” European Journal of Operational Research 213 no. 3 (2011): 551–58.
Co-authored with Didier Cossin, Nan Song, and Satajaporn Tungsong. “A Theoretical Argument why the t-Copula Explains Credit Risk Contagion better than the Gaussian Copula.” Advances in Decision Sciences (2010).
“Optimal Changes of Gaussian Measures, with an Application to Finance.” International Journal of Information and Management Sciences (2009).
Co-authored with Hedley Morris. “A Differential Tree Approach to Price Path-Dependent American Options using Malliavin Calculus.” Conference presentation. San Francisco: American Institute of Physics’ IAENG Transactions on Engineering Technologies Volume II,2009.
“A Double-Sided Multiunit Combinatorial Auction for Substitutes: Theory and Algorithms.” European Journal of Operational Research 197no. 2 (2009): 799–808.
Co-authored with Didier Cossin. “Credit Risk in a Network Economy.” Management Science 53 no. 10 (2007): 1604–17.
Co-authored with Sixian Jin and Qidi Peng. A Representation Theorem for Expectations of Functionals of Brownian Motion. Stochastics, vol. 88(5), 651–79 (2016).
Co-authored with Chiu-Yen Kao, Qidi Peng, and Lu Zhu. A New Algorithm to Simulate First Exit Times of a Vector of Brownian Motions, With an Application to Finance. (Forthcoming in the Journal of Applied Probability and Statistics.)
Co-authored with Sixian Jin and Qidi Peng. Fractional Hida-Malliavin Derivatives, and Series Representations of Fractional Conditional Expectations. Communications on Stochastic Analysis, vol. 9, 2, 213–38 (2015).
Mathematical Finance
Stochastic processes
Stochastic Models of Operations Research
Credit Risk
Introduction to C++
Optimal Portfolio Theory