Henry Schellhorn is professor of mathematics at Claremont Graduate University’s Institute of Mathematics Sciences and academic director of the Financial Engineering program. His research is in stochastic analysis and control, mathematical finance, traffic theory, and epidemiology.
Schellhorn joined the CGU faculty in fall 2005. He was previously a faculty member at the University of Lausanne in Switzerland. He worked as a quantitative analyst in private industry and as a principal research engineer at Oracle Corporation. There, he headed a research group that developed a Monte Carlo simulation system to compute Value at Risk and derivative prices.
In addition to publishing regularly in journals, Schellhorn has served as an associate editor for the Journal of Applied Mathematics and Decision Sciences and as referee on several other finance, mathematics, and operations research publications. He has organized or co-organized symposiums on a range of topics, including Interest Derivatives, Energy and Energy Derivatives, and Financial Mathematics. He holds two US patents, including one on self-driving cars (see video below).
Together with former CGU student Tianmin Kong, he published a book on Machine Learning for Asset Pricing and Management.
Schellhorn’s research has received funding from Swiss National Research Fund, Fair Isaac Company, Fitch Ratings, and 1848V.
Optimal Control of the SIR Model with Constrained Policy, with an Application to COVID-19, Mathematical Biosciences (December 2021). Co-author: Yujia Ding.
An Infinite-Dimensional Model of Liquidity in Financial Markets. Probability, Uncertainty, and Quantitative Risk, vol 6, 2 (2021). Co-authors: Sergei Lototsky and Ran Zhao.
Optimal Control of the SIR Model in the Presence of Transmission and Treatment Uncertainty, Mathematical Biosciences (January 2021). Co-author: Nicole Gatto.
Dyson Type Formula for Pure Jump Lévy Processes, with some Applications to Finance, Stochastic Processes and their Applications (April 2019). Co-authors: Sixian Jin and Josep Vives.
On the Distribution of the Extended CIR Model, Statistics and Probability Letters, Vol. 42, 23-29 (November 2018). Co-author: Qidi Peng.
A Representation Theorem for Expectations of Functionals of Brownian Motion, Stochastics, vol. 88, 5, 651-79 (July 2016). Co-authors : Sixian Jin, Qidi Peng.
Fractional Hida-Malliavin Derivatives, and Series Representations of Fractional Conditional Expectations, Communications on Stochastic Analysis, vol. 9, 2, 213-238 (June 2015). Co-authors : Sixian Jin, Qidi Peng.
A Trading Mechanism Contingent on Several Indices, European Journal of Operational Research, vol. 213, 3 (September 2011).
A Double-Sided Multiunit Combinatorial Auction for Substitutes: Theory and Algorithms, European Journal of Operational Research, vol. 197, 2, 799-808 (2009)
Credit Risk in a Network Economy, Management Science, vol. 53(10), 1604-1617 (October 2007). Co-author: Didier Cossin.
Variance Reduction Techniques for Large Scale Risk Management, Monte Carlo and Quasi-Monte Carlo 1998. Springer-Verlag (2000). Second author: F. Kidani.
PATENTS
US Patent 11192553 “Method for Autonomous Cars to Change Lanes on Motorways”, with Yuan Cheng (2021).
US Patent 7010510 “Variance Reduction Technique for Large Scale Risk Management” (2006).
Mathematical Finance
Stochastic processes
Stochastic Models of Operations Research
Credit Risk
Introduction to C++
Optimal Portfolio Theory