IEOR Professor Dan Lacker Wins Early Career Prize

Lacker’s work focuses on probabilistic theory of mean field games

Jun 07 2019 | By Allison Elliott | Photo courtesy of Dan Lacker

Dan Lacker, assistant professor in industrial engineering and operations research (IEOR), has won this year’s Early Career Paper Prize from the SIAM Activity Group on Financial Mathematics and Engineering (SIAG/FME). The prize committee cited Lacker’s “remarkable contributions to the probabilistic theory of mean field games and its applications in mathematical finance.”

“It is a great honor to have my contributions recognized by this distinguished organization,” said Lacker, who joined the faculty of Columbia Engineering in fall of 2017. “I've been a part of the?SIAM community since I was a PhD student, and I've learned a lot from them over the years.”

The SIAG/FME prize is awarded to early career academics who have made significant contributions to financial mathematical modeling. Lacker develops probabilistic methods for the analysis of mean field games (MFGs), a relatively new paradigm for modeling large-scale dynamic games. Inspired by the concept of mean field theory in physics, MFG theory studies strategic decision-makers in large-scale systems of interacting agents. Such work seeks to create a mathematical framework for a wide range of models for areas of complexity and uncertainty such as financial markets, income inequality, and crowd dynamics.

Lacker will receive the prize at the biannual SIAM Conference on Financial Mathematics and Engineering held this week at the University of Toronto in Toronto, Canada where he will also speak at an invited session on mathematical finance. He is one of two winners for the prize, which will also go to Mykhaylo Shkolnikov from Princeton. As a graduate student, Lacker also won the SIAG/FME Conference Paper Prize in 2014.

Dan Lacker to receive award for financial
mathematical modeling.

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