Eduardo Schwartz
Encyclopedia
Eduardo Saul Schwartz is a professor of finance at the Anderson School of Management, University of California, Los Angeles
, where he holds the California Chair in Real Estate & Land Economics. He is known for pioneering research in the real options method of pricing investments under uncertainty
, as well as for the Longstaff–Schwartz model - a multi-factor short-rate model - and the Longstaff-Schwartz method for valuing American options by Monte Carlo Simulation. He also initiated the use of Finite difference methods for option pricing
.
He has published more than 80 articles in finance and economics journals and with Lenos Trigeorgis
is an author of Real Options and Investment Under Uncertainty. His recent research focuses on the pricing of Internet
companies, asset allocation
issues, evaluation of natural resource investments, the stochastic
behavior of commodity prices
, and valuation of patent-protected R&D projects.
He has served as associate editor for more than a dozen of journals, including Journal of Finance
, Journal of Financial Economics
and Journal of Financial and Quantitative Analysis. He is a research associate of the National Bureau of Economic Research
and is a former president of the Western Finance Association and the American Finance Association
.
Professor Schwartz received a B.Eng. (1963) in Industrial Engineering
from the University of Chile, and an M.Sc. (1973) and Ph.D.
(1975; supervisor: Michael Brennan
) both in Business Administration from the University of British Columbia
.
University of California, Los Angeles
The University of California, Los Angeles is a public research university located in the Westwood neighborhood of Los Angeles, California, USA. It was founded in 1919 as the "Southern Branch" of the University of California and is the second oldest of the ten campuses...
, where he holds the California Chair in Real Estate & Land Economics. He is known for pioneering research in the real options method of pricing investments under uncertainty
Uncertainty
Uncertainty is a term used in subtly different ways in a number of fields, including physics, philosophy, statistics, economics, finance, insurance, psychology, sociology, engineering, and information science...
, as well as for the Longstaff–Schwartz model - a multi-factor short-rate model - and the Longstaff-Schwartz method for valuing American options by Monte Carlo Simulation. He also initiated the use of Finite difference methods for option pricing
Finite difference methods for option pricing
Finite difference methods for option pricing are numerical methods used in mathematical finance for the valuation of options. Finite difference methods were first applied to option pricing by Eduardo Schwartz in 1977....
.
He has published more than 80 articles in finance and economics journals and with Lenos Trigeorgis
Lenos Trigeorgis
Lenos Trigeorgis is the Bank of Cyprus Chair Professor of Finance in the School of Economics and Management, University of Cyprus. He is considered a leading authority on capital budgeting and strategy, having pioneered the field of real options...
is an author of Real Options and Investment Under Uncertainty. His recent research focuses on the pricing of Internet
Internet
The Internet is a global system of interconnected computer networks that use the standard Internet protocol suite to serve billions of users worldwide...
companies, asset allocation
Asset allocation
Asset allocation is an investment strategy that attempts to balance risk versus reward by adjusting the percentage of each asset in an investment portfolio according to the investors risk tolerance, goals and investment time frame.-Description:...
issues, evaluation of natural resource investments, the stochastic
Stochastic
Stochastic refers to systems whose behaviour is intrinsically non-deterministic. A stochastic process is one whose behavior is non-deterministic, in that a system's subsequent state is determined both by the process's predictable actions and by a random element. However, according to M. Kac and E...
behavior of commodity prices
Commodity
In economics, a commodity is the generic term for any marketable item produced to satisfy wants or needs. Economic commodities comprise goods and services....
, and valuation of patent-protected R&D projects.
He has served as associate editor for more than a dozen of journals, including Journal of Finance
Journal of Finance
The Journal of Finance is a peer-reviewed academic journal published by Wiley-Blackwell on behalf of the American Finance Association. It was established in 1946. Its current editors are Campbell R. Harvey and John R. Graham...
, Journal of Financial Economics
Journal of Financial Economics
The Journal of Financial Economics or JFE, is a peer-reviewed academic journal covering the theory of financial economics. Together with the Journal of Finance and the Review of Financial Studies, it is considered to be among the top three finance journal. The editor is Bill Schwert...
and Journal of Financial and Quantitative Analysis. He is a research associate of the National Bureau of Economic Research
National Bureau of Economic Research
The National Bureau of Economic Research is an American private nonprofit research organization "committed to undertaking and disseminating unbiased economic research among public policymakers, business professionals, and the academic community." The NBER is well known for providing start and end...
and is a former president of the Western Finance Association and the American Finance Association
American Finance Association
The American Finance Association is an academic organization whose focus is the study and promotion of knowledge of financial economics. It was formed in 1939...
.
Professor Schwartz received a B.Eng. (1963) in Industrial Engineering
Industrial engineering
Industrial engineering is a branch of engineering dealing with the optimization of complex processes or systems. It is concerned with the development, improvement, implementation and evaluation of integrated systems of people, money, knowledge, information, equipment, energy, materials, analysis...
from the University of Chile, and an M.Sc. (1973) and Ph.D.
Ph.D.
A Ph.D. is a Doctor of Philosophy, an academic degree.Ph.D. may also refer to:* Ph.D. , a 1980s British group*Piled Higher and Deeper, a web comic strip*PhD: Phantasy Degree, a Korean comic series* PhD Docbook renderer, an XML renderer...
(1975; supervisor: Michael Brennan
Michael Brennan (finance)
Michael J. Brennan is emeritus professor of finance at the UCLA Anderson School of Management. Brennan co-designed the Brennan-Schwartz interest rate model and was a pioneer of real options theory...
) both in Business Administration from the University of British Columbia
University of British Columbia
The University of British Columbia is a public research university. UBC’s two main campuses are situated in Vancouver and in Kelowna in the Okanagan Valley...
.