David Clay Heath (~1943 – 11 August 2011) was an American probabilist known for co-inventing the

Heath–Jarrow–Morton framework The Heath–Jarrow–Morton (HJM) framework is a general framework to model the evolution of interest rate curves – instantaneous forward rate curves in particular (as opposed to simple forward rates). When the volatility and drift of the in ...

to model the evolution of the

interest rate An interest rate is the amount of interest due per period, as a proportion of the amount lent, deposited, or borrowed (called the principal sum). The total interest on an amount lent or borrowed depends on the principal sum, the interest rate, th ...

curve.

Biography

Early life

He was born in

Oak Park, Illinois Oak Park is a village in Cook County, Illinois, adjacent to Chicago. It is the 29th-most populous municipality in Illinois with a population of 54,583 as of the 2020 U.S. Census estimate. Oak Park was first settled in 1835 and later incorporated in ...

, to W. Curtis and Margaret Wasson Heath. He graduated from Elkhart High School in 1960 and earned his bachelor's degree from Kalamazoo College in 1964.

Scientific career

Heath obtained his PhD in 1969 under the supervision of Frank Bardsley Knight at the

University of Illinois at Urbana-Champaign The University of Illinois Urbana-Champaign (U of I, Illinois, University of Illinois, or UIUC) is a public land-grant research university in Illinois in the twin cities of Champaign and Urbana. It is the flagship institution of the Univ ...

with a dissertation titled 'Probabilistic Analysis of Hyperbolic Systems of Partial Differential Equations'. After graduation, he became an assistant professor at the

University of Minnesota The University of Minnesota, formally the University of Minnesota, Twin Cities, (UMN Twin Cities, the U of M, or Minnesota) is a public university, public Land-grant university, land-grant research university in the Minneapolis–Saint Paul, Tw ...

. In the late 1970s, he moved to

Cornell University Cornell University is a private statutory land-grant research university based in Ithaca, New York. It is a member of the Ivy League. Founded in 1865 by Ezra Cornell and Andrew Dickson White, Cornell was founded with the intention to teach an ...

where he joined the School of Operations Research and Industrial Engineering. There he founded the financial engineering program, becoming the Merrill Lynch Professor of Financial Engineering. In the late 1990s Heath moved to

Carnegie Mellon University Carnegie Mellon University (CMU) is a private research university in Pittsburgh, Pennsylvania. One of its predecessors was established in 1900 by Andrew Carnegie as the Carnegie Technical Schools; it became the Carnegie Institute of Technology ...

in Pittsburgh, where he became the Orion Hoch Professor of Mathematical Sciences, and where he stayed until his retirement in 2006.

Selected bibliography

* Heath, David C., and William D. Sudderth. "On a theorem of de Finetti, oddsmaking, and game theory." The Annals of Mathematical Statistics 43, no. 6 (1972): 2072-2077. * Berry, Donald A., David C. Heath, and William D. Sudderth. "Red-and-black with unknown win probability." The Annals of Statistics 2, no. 3 (1974): 602-608. * Heath, David, and William Sudderth. "On finitely additive priors, coherence, and extended admissibility." The Annals of Statistics (1978): 333-345. * Billera, Louis J., David C. Heath, and Joseph Raanan. "Internal telephone billing rates—a novel application of non-atomic game theory." Operations Research 26, no. 6 (1978): 956-965. * Heath, David C., and William D. Sudderth. Continuous-time portfolio management: Minimizing the expected time to reach a goal. University of Minnesota, School of Statistics, 1984. * Heath, David, and William Sudderth. "Coherent inference from improper priors and from finitely additive priors." The Annals of Statistics (1989): 907-919. * Heath, David, Robert Jarrow, and Andrew Morton. "Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation." Econometrica 60, no. 1 (1992): 77-105. * Berry, Donald A., Robert W. Chen, Alan Zame, David C. Heath, and Larry A. Shepp. "Bandit problems with infinitely many arms." The Annals of Statistics (1997): 2103-2116. * Heath, David, Sidney Resnick, and Gennady Samorodnitsky. "Heavy tails and long range dependence in on/off processes and associated fluid models." Mathematics of Operations Research 23, no. 1 (1998): 145-165. * Heath, David, Eckhard Platen, and Martin Schweizer. "A comparison of two quadratic approaches to hedging in incomplete markets." Mathematical Finance 11, no. 4 (2001): 385-413. * Artzner, Philippe, Freddy Delbaen, Jean-Marc Eber, and David Heath. "Coherent Measures of Risk1." Risk management: value at risk and beyond (2002): 145. * Heath, David, and Martin Schweizer. "Martingales versus PDEs in finance: an equivalence result with examples." Journal of Applied Probability (2000): 947-957. *Artzner, Philippe, Freddy Delbaen, Jean-Marc Eber, David Heath, and Hyejin Ku. "Coherent multiperiod risk adjusted values and Bellman’s principle." Annals of Operations Research 152, no. 1 (2007): 5-22.

References

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External links

* {{DEFAULTSORT:Heath, David Probability theorists Kalamazoo College alumni University of Illinois alumni Cornell University faculty Carnegie Mellon University faculty 1943 births 2011 deaths 20th-century American mathematicians 21st-century American mathematicians University of Minnesota faculty