Neil D. Pearson
Investors in Business Education Fellow in Finance and Professor of Finance
Finance, Massachusetts Institute of Technology, 1990
A.B., Economics, Princeton University, 1981
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.
N., Li, M., & Poteshman, A. Conditional estimation of
diffusion processes. Jounal of Financial Economics,
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,
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.
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.
304D David Kinley Hall
1407 W. Gregory Drive
Urbana, IL 61801