To Pierre Patie, an associate professor in the School of Operations Research and Information Engineering, quantitative research is all about the puzzles.
Patie is a financial engineer and a risk specialist who began his tenure at Cornell in early 2013. Earning a Ph.D. from the Swiss Federal Institute of Technology in Zurich in 2004, Patie was an associate professor of actuarial science and probability at the Université Libre de Bruxelles in Belgium. Earlier, he completed a postgraduate qualification, known as the habilitation, at the University of Bern, Switzerland.
Prior to pursuing his doctorate, Patie worked in London as a quantitative analyst at Monis Software, now part of Sungard, where he developed spread-sheet based software for pricing, analysis, and hedging of convertible bonds and other securities linked to equities.
Patie explores the mathematics behind risk theory, risk management, so-called exotic options (e.g. derivative securities whose payoff depends on the trajectory of the price of the underlying security over a set period of time, rather than just at the time of execution), and mathematics that are relevant to these and other areas of application. He is also interested in understanding the connection between the study of stochastic processes and other fields of mathematics.
Why specialize in insurance issues? “I look to find problems that are interesting to me mathematically,” Patie says. “Risk management has practical problems that can be solved using a mathematical framework.”
Moving across the Atlantic to Ithaca with his wife, Marie Chazal, and their six-year-old daughter, Isïa, and four-year old son, Orion, might seem daunting to some, but it was worth it, Patie says.
“Cornell is well-known for its very high quality faculty and a high level of research,” he says. “And Cornell could offer us a great living experience in the United States.”
The Ithaca area is also conducive to raising a family, he says. “This is a great place to discover outdoor activities like walking a skiing for the children. Life is very easy here.”