2008 CME Group-MSRI Prize in Innovative Quantitative Applications Awarded to Lars Peter Hansen for Innovative Approaches to Asset Pricing Models

by Chicago Mercantile Exchange 30 Sep 17:03

CME Group Partners with MSRI to Recognize Significant Contributions in
Mathematics, Statistics and Computing

CHICAGO, Sept. 30 /PRNewswire-FirstCall/ — CME Group and the Mathematical
Sciences Research Institute (MSRI) announced today that Dr. Lars Peter
Hansen, Homer J. Livingston Distinguished Service Professor in the
Departments of Economics and Statistics at the University of Chicago, is the
2008 recipient of the CME Group-MSRI Prize in Innovative Quantitative
Applications.

CME Group, the world’s largest and most diverse financial exchange, through
its Center for Innovation has partnered with MSRI, based in Berkeley, CA, to
award the third annual CME Group-MSRI Prize. This award is designed to
recognize individuals or groups who contribute original concepts and
innovation in the use of mathematical, statistical or computational methods
for the study of the behavior of markets, and more broadly of economics.

Professor Hansen will be honored and presented with the CME Group-MSRI Prize
medal at a recognition ceremony to be held on Friday, October 24, at CME
Group World Headquarters. In addition to the medal, a $25,000 cash award is
also bestowed upon the CME Group-MSRI Prize winner.

In conjunction with the award ceremony, a seminar entitled, “The Fed, the
Treasury ‘blueprint,’ and the future of financial institutions,” will be held
with moderator Darrell Duffie, James I. Miller Professor of Finance, Graduate
School of Business, Stanford University, and panelists Raghuram Rajan, Eric
J. Gleacher Distinguished Service Professor of Finance, University of Chicago
Graduate School of Business; Anthony Santomero, former President of the
Federal Reserve Bank of Philadelphia and currently Richard King Mellon
Professor Emeritus of Finance at the Wharton School, University of
Pennsylvania; and Chester Spatt, Kenneth B. and Pamela R. Dunn Professor of
Finance and Director, Center for Financial Markets, Tepper School of Business
at Carnegie Mellon.

In the 1980s Professor Lars Peter Hansen became established as the leading
contributor to the development and application of rigorous estimation and
testing methods for financial data. His 1982 paper on Generalized Methods of
Moments fundamentally altered the way that empirical research is done in
finance and macroeconomics. This new methodology led him, with Ken Singleton,
to make one of the pioneering contributions to what became known as the
“equity premium puzzle.” Hansen continues to be a prolific researcher. He is
part of a team investigating how long-run risk tradeoffs are encoded in asset
prices. Hansen has also collaborated with others to develop models in which
investors guard their investments against possible model misspecification,
which they have shown are reflected in security market values and contribute
to price dynamics.

Professor Hansen is a member of the National Academy of Sciences and American
Academy of Arts and Sciences, and fellow of the Econometric Society and a
fellow of the American Finance Association. Hansen is a former John Simon
Guggenheim Memorial Foundation Fellow and Sloan Foundation Fellow. Since 1981
Hansen has served on the faculty of the University of Chicago’s Department of
Economics, where he was the former director of graduate studies and chairman.
He is the recipient of the 2006 Erwin Plein Nemmers Prize in Economics from
Northwestern University, a Faculty Award for Excellence in graduate teaching
from the University of Chicago, and co-winner of the Frisch Medal from the
Econometric Society.

In acknowledging the award, Prof. Hansen said, “Probability theory and
statistics provide wonderful tools to explore financial economics. I expect
they will continue to provide insights into the understanding of the economic
underpinnings of financial markets just as they have served other scientific
fields of endeavor. The MSRI and the CME Group are wise to nurture such
productive linkages. I am surprised and honored to be awarded the third CME
Group-MSRI Prize and be in the esteemed company of Stephen A. Ross and David
M. Kreps.”

CME Group Chairman Emeritus and CME Group-MSRI Prize Selection Committee
member Leo Melamed said, “Dr. Hansen’s decades of mathematical research have
brought about significant advances in the world of financial economics. His
development of the Generalized Method of Moments, which helps analyze
economic models in numerous fields, has become one of the top statistical
tools for the analysis of financial data. I am honored to present to Dr.
Hansen, the CME Group-MSRI Prize in Innovative Quantitative Applications.”

Robert Bryant, CME Group-MSRI Prize Selection Committee member and Director
of MSRI said, “The insights of Dr. Hansen wonderfully illustrate the
remarkable results that can be gained through the application of mathematics
in economics; he shows how mathematical intuition and rigor can relate
directly to real world problems. It is extraordinarily fitting to have CME
Group, which leads in innovation in a very practical field, and MSRI, which
seeks innovation in a very fundamental sense, collaborate to present this
prize.”

The 2008 CME Group-MSRI Prize Selection Committee includes: Leo Melamed,
Chairman Emeritus, CME Group; Anat Admati, Joseph McDonald Professor of
Finance and Economics, Stanford Graduate School of Business; Robert Bryant,
Director, Mathematical Sciences Research Institute; Darrell Duffie (Committee
Chair), James I. Miller Professor of Finance, Graduate School of Business,
Stanford University; John Gould, Steven G. Rothmeier Professor and
Distinguished Service Professor of Economics, University of Chicago Graduate
School of Business; Sanford Grossman, Chairman and CEO, Quantitative
Financial Strategies, Inc.; Steven A. Ross, Franco Modigliani Professor of
Financial Economics at the MIT Sloan School of Management and the first
recipient of the CME-MSRI Prize (2006); Jose A. Scheinkman, Theodore A. Wells
’29 Professor of Economics, Princeton University, Department of Economics; and
Hugo Sonnenschein, President Emeritus and Adam Smith Distinguished Service
Professor, University of Chicago, Department of Economics.

Previous recipients of the CME Group-MSRI Prize and Medal are: (2007) David
M. Kreps, Senior Associate Dean for Academic Affairs, Faculty Director of the
MBA Program, and Theodore J. Kreps Professor of Economics, Stanford Graduate
School of Business; (2006) Stephen A. Ross, Franco Modigliani Professor of
Financial Economics, MIT Sloan School of Management.

CME Group is a recognized leader in financial services, exemplifying
innovation in action by creating products and services that have changed the
face of modern finance. Because CME Group recognizes the importance of
innovation first-hand, it created the CME Center for Innovation whose mission
is to identify, foster and showcase examples of significant innovation and
creative thinking pertaining to markets, commerce or trade in the public and
private sectors. For more information on the CME Center for Innovation,
visit http://www.cme.com/about/ins/cfi/index.html.

The Mathematical Sciences Research Institute (MSRI, http://www.msri.org/)
exists to further mathematical research through broadly based programs in the
mathematical sciences and closely related activities. MSRI’s research extends
through pure mathematics into computer science, and statistics applications
to other disciplines, including engineering, physics, biology, chemistry,
medicine, and finance. In addition to its core programs, MSRI offers summer
graduate workshops, programs to enhance K-12 math education, and outreach
programs on mathematical themes.

CME Group (http://www.cmegroup.com/) is the world’s largest and most diverse
derivatives exchange. Building on the heritage of CME, CBOT and NYMEX, CME
Group serves the risk management needs of customers around the globe. As an
international marketplace, CME Group brings buyers and sellers together on
the CME Globex electronic trading platform and on trading floors in Chicago
and New York. By acting as the buyer to every seller and the seller to every
buyer, CME Clearing virtually elimininates counterparty credit risk. CME
Clearing also offers $7 billion in financial safeguards to help mitigate
systemic risk, providing the security and confidence market participants need
to operate, invest and grow. CME Group offers the widest range of benchmark
products available across all major asset classes, including futures and
options based on interest rates, equity indexes, foreign exchange, energy,
agricultural commodities, metals, and alternative investment products such as
weather and real estate. CME Group is listed on NASDAQ under the symbol
“CME.”

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All other trademarks are the property of their respective owners. Further
information about CME Group and its products can be found at
http://www.cmegroup.com/.

The Mathematical Sciences Research Institute (http://www.msri.org/) is one of
the world’s premiere centers for research in the mathematical sciences, and
has been advancing mathematical research through workshops and conferences
since its founding as an independent Institute in 1982. More than 2,500
mathematical scientists visit MSRI each year in Berkeley, CA, many for stays
for up to one year. The Institute is funded primarily by the National Science
Foundation with additional support from other government agencies, private
foundations, academic and corporate sponsors, and individual donors.

CME-G

SOURCE: CME Group

CONTACT: Media, Michael Shore, +1-312-930-2363, or Allan Schoenberg,
+1-312-930-8189, news@cmegroup.com, or Investors, John Peschier,
+1-312-930-8491, all of CME Group; or Anne Pfister of Mathematical Sciences
Research Institute, +1-510-642-0448, annepf@msri.org

Web site: http://www.cmegroup.com/
http://www.msri.org/