Charles Tapiero
Topfer Distinguished Professor of Financial Engineering and Technology Management
Founder, Department of Finance and Risk Engineering
Director, The Extreme Risk Initiative
Charles S. Tapiero is the Topfer Chair Distinguished Professor of Financial Engineering and Technology Management at the New York University Tandon School of Engineering. He founded the Department of Finance and Risk Engineering in 2006 and is department head until 2016. In addition, he founded and was co-Director of the Extreme Risk Initiative until Jan 1, 2016. Professor Tapiero has earned a worldwide reputation as a researcher and consultant, a public servant and has sat on the boards of large Corporations. Professor Tapiero is co-founder and co-editor in chief of Risk and Decision Analysis. His fields of interests span financial engineering, Fractional, Multi-Agents and Global Finance, computational and actuarial science.
Professor Tapiero has contributed more than 450 papers in academic journals and has written 15 books. His research spans a broad set of topics including Stochastic and Dynamic Systems, Fractional Mathematics and Probabilistic Systems and their many applications to Risk, Finance, Business, Insurance, Supply Networks, Operations Systems and Decision Analysis.
Professor Tapiero has held numerous University positions in the US, Europe and Asia (Columbia University, Case Western Reserve University, Hebrew University, ESSEC-France and others) as well as quasi-governmental and government agencies (1978-1982).
He received his MBA and doctoral degree (PhD) in Operation Research and Management from New York University's Graduate school of Business Administration (1968, 1970)
Research Interests: Financial Engineering Risk technology Management Supply-chain Management
Ecole Polytechnique, University of Montréal, 1967
New York University, 1969
The Price of Granularity and Fractional Finance, 2015, Risk and Decision Analysis, with Guy Jumarie (U. of Quebec) and O. Tapiero (Concordia U., Montreal).
A Financial CCAPM and Economic Inequalities, Quantitative Finance, 2014
Financial Analytics and A Binomial Pricing Model with Jiangyi Qi in Future Perspectives in Risk Models and Finance, Editors A. Bensoussan, D. Guegan, and C.S. Tapiero, Springer, 2014
Financial Modelling and Memory: Mathematical Systems, with and Pierre Vallois, in Future Perspectives in Risk Models and Finance, Editors A. Bensoussan, D. Guegan, and C.S. Tapiero, Springer, 2014
Financial Regulation, Non-Compliance Risks and Control: A Statistical Approach, Risk and Decisions Analysis, 2014
Re-engineering risks and the future of finance, in Shahin Shojai (Editor), Risk Management in Financial Institutions, EURO-MONEY Books, London, 2013, pp 233-250
Insurance and Finance: Competition and/or Convergence, Risk and Decision Analysis, 2012
CDO: A Modeling Prospective, with Daniel Totouom-Tangho, Risk and decision Analysis, 2012
Risk Externalities and Too Big to Fail, with Nassim N. Taleb . Physica A 2010
The Price of Safety and Economic Reliability, in Pham Hoang Editor, Safety and Risk Modeling and Its Applications, Springer Verlagm Forthcoming 2009-2010
A Claims Persistence Process and Insurance, (with Pierre Vallois), Insurance Economics and Mathematics, Volume 44, Issue 3, June 2009, Pages 367-373
Risk-Averse Order policies with random prices in complete markets and retailers' private information. European Journal of Operations Research, with K. Kogan, 196, 2009, 594-599
Orders and Inventory Commodities with Price and Demand Uncertainty in Complete Markets International Journal of Production Economics, 2008
Volatility Estimators and the Inverse Range Process in a Random Volatility Random Walk and Wiener Processes, (with P. Vallois), Physica A, 2007
Memory-Based Persistence in A Counting Random Walk Process (with Pierre Vallois), Physica A, October, 2007
Sustainable Infrastructure Investment in a Labor Only Economy, (with K. Kogan), International Journal of Production Economics, 2007
Energy Consumption and Environmental Pollution: A Stochastic Model, International Journal of Mathematics Management, 2008 (selected as one of the most significant paper published in 2008/2009)
Volatility Estimators and the Inverse Range Process in a Random Volatility Random Walk and Wiener Processes, (with P. Vallois), Physica A, 2007,
Consumers risk and quality control in a collaborative supply chain, European Journal of Operations Research, 182, 683–694, 2007
Reliability Design and RVaR", International Journal of Reliability, Quality and Safety Engineering (IJRQSE) , Vol. 12, No.4, August 2005, 2005
Value at Risk and Inventory Control, European Journal of Operations Research, 2005, vol 163, issue no. 3, 769-775
The Range Inter-Event Process in a Symmetric Birth Death Random Walks, (with Pierre Vallois) Applied Stochastic Models in Business and Industry, 2001
Run length statistics and the Hurst exponent in random and birth-death random walks, Chaos, Solitons and Fractals, September 1996 (with Pierre Vallois)
Authored/Edited Books
Fractional Finance Randomness: Theories and Applications, with Sergio Bianchi and Pierre Vallois, forthcoming.
Financial Data and Artificial Intelligence, with Oren Tapiero, forthcoming 2020.
Globalization, Gating and Risk Finance, with U. Nyamabuu, Wiley, 2018.
Future Perspectives in Risk Models and Finance, with Alain Bensoussan and Dominique Guegan, Springer, 2014.
Engineering Risks and Finance, Springer, 2014.
Risk Finance and Assets Pricing, John Wiley, 2011.
Financial Engineering and Risk Assets Pricing, 2 Volumes, Wiley, 2010.
Supply Chain Risks Games, with Konstantin Kogan, Springer, 2007.
Pension Funds Saving Individuation, International Advances in Economic Research, with Assa Birati, 2005.
Risk and Financial Management: Mathematical and Computational Methods, John Wiley, 2004.
Applied Stochastic Models and Control in Finance and Insurance, Kluwer Academic Press, 1998.
The Management and the Control of Quality, Chapman and Hall, 1996.
Les outils et le contrôle de la qualité, with Jean-Jacques Daudin, 1996.
Premium allocation and risk avoidance in a large firm: A continuous model, Discussion paper, 1989.
Applied Stochastic Models and Control in Management, Elsevier Science, 1988.
Operations Research in Agriculture and Water Resources, with Dan Yaron, Edited Volume, North Holland Book Co., 1980.
Applied Stochastic Control in Econometrics and Management Science, with A. Bensoussan and P. Kleindorfer, Edited Volume, North Holland Contributions to Economic Analysis, 1980.
Risk and Financial Management : Mathematical and Computational Methods, 1980.
Managerial Planning: An Optimum and Stochastic Approach, 2 Volumes, Gordon and Breach, 1978.
Papers Available on the Social Science Research Network (SSRN)
cst262 [at] nyu.edu