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Neil D. Pearson
Investors in Business Education Fellow in Finance and Professor of Finance

Educational Background

Ph.D. Finance, Massachusetts Institute of Technology, 1990
A.B., Economics, Princeton University, 1981

Positions Held

At the University of Illinois since 1995. Visiting academic fellow, Office of Economic Analysis, U.S. Securities and Exchange Commission, 1994-95. Assistant professor, University of Rochester, 1989-95. Senior associate and consultant, Charles River Associates, 1986-88. Staff economist, Swidler, Berlin & Strelow, 1981-82.

Recent Publications

Pearson, N., Li, M., & Poteshman, A. Conditional estimation of diffusion processes. Jounal of Financial Economics, forthcoming.

Pearson, N. 2003. Markowitz mean-variance portfolio theory. In History of risk management. London: Risk Books.

Pearson, N. 2002. Risk budgeting: Portfolio problem solving using value at risk. New York: Wiley.

Pearson, N. 2002. What's new in value-at-risk? A selective survey. In Global risk management: Financial, operational and insurance strategies. Boston: JAI/Elsevier.

Pearson, N., & Kandel, E. 2002. Option value, uncertainty, and investment decisions. Journal of Financial and Quantitative Analysis, 37: 341-374.

Pearson, N., & Kandel, E. 2002. Flexibility versus commitment in personnel management. Journal of the Japanese and the International Economies. 15: 515-556.

Pearson, N. & Smithson, C. 2002. VAR - The state of play. Review of Financial Economics, 11: 175-189.

Pearson, N., & Zhou, A. 2001. A non-parametric analysis of the forward rate volatilities. In The new interest rate models. London: Risk Publications.

Pearson, N. 2000. Fixed income subtleties and the pricing of long bonds. In N. Jegadeesh and B. Tuckman (Eds.), The new interest rate models. London: Risk Publications.

Pearson, N., & Chapman, D. 2001. What Can be learned from recent advances in estimating models of the term structure? Financial Analysts Journal, 57 (4): 77-96.

Pearson, N., & Linsmeier, T. 2000. Value at risk. Financial Analysts Journal, 56 (2): 47- 68.

Pearson, N., & Chapman, D. 2000. Is the short rate drift actually nonlinear. Journal of Finance, 55: 355-399.

Honors and Awards

Honorable Mention, Campus Award for Excellence in Graduate and Professional Teaching, University of Illinois, 2002. Listed among the outstanding faculty at the University of Illinois, Business Week Guide to the Best Business Schools, 2001.

Academic Service

Campus Award for Excellence in Off-Campus Teaching, 2004. Associate editor, Economics Bulletin, 2000-present; Journal of Financial Economics, 1993-present; Journal of Financial and Quantitative Analysis, 1999-present.

Teaching and Research

Teaches courses in financial derivatives, financial engineering, and financial risk management. Research interests include models for pricing and hedging financial derivatives, commodity derivatives, and risk management.

Contact Information:
304D David Kinley Hall
1407 W. Gregory Drive
Urbana, IL 61801
(217) 244-0490
pearson2@uiuc.edu


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