Duane J. Seppi

The BNY Mellon Professor of Finance
Head, M.S. in Computational Finance Program

PHONE

412-268-2298

OFFICE

POS - Posner Hall - Room 253C

AREA OF EXPERTISE

EDUCATION

The University of Chicago - Ph D - 1988
The University of Chicago - MBA - 1984
Stanford University - BA - 1977

PUBLICATIONS

  • Real Options and Merchant Operations of Energy and Other Commodities

    (author(s): Nicola Secomandi, Duane Seppi) Foundations and Trends in Technology, Information and Operations Management 6(3-4), 2014; 161-331

  • Rating-Based Investment Practices and Bond Market Segmentation

    (author(s): Zhihua Chen, Aziz Lookman, Norman Schurhoff, Duane Seppi) Review of Asset Pricing Studies, 2014

  • Rating-Based Investment Practices and Bond Market Segmentation - Internet Appendix

    (author(s): Zhihua Chen, Aziz Lookman, Norman Schurhoff, Duane Seppi) Review of Asset Pricing Studies, 2014

  • Merchant Commodity Storage and Term-Structure Model Error

    (author(s): Nicola Secomandi, Guoming Lai, Fran├žois Margot, Alan Scheller-Wolf, Duane Seppi) Manufacturing & Service Operations Management

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WORKING PAPERS

  • 'Demand Discovery and Asset Pricing,'

    (author(s): Burton Hollifield, Duane Seppi, Michael Gallmeyer)

  • Option Pricing and Stochastic Volatility in Factor Models of Return

    (author(s): Duane Seppi, Mihaela Serban, John Lehoczky)

  • Information and Trading Targets in a Dynamic Market Equilibrium

    (author(s): Jin Choi, Kasper Larsen, Duane Seppi)

  • Energy Real Options
    Managing Energy Price Risk, Risk Books, 4-th Edition, V. Kamiski (ed.)

    (author(s): Nicola Secomandi, Duane Seppi)

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AWARDS AND HONORS

  • WFA/NYSE prize for best paper on equity trading (2005)
  • Tepper School of Business, Carnegie Mellon University - George Leland Bach Award (2002)
  • Nominated for Smith-Breeden prize (2000)
  • Q-Group - Roger F. Murray First Prize (1998)
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UNIVERSITY SERVICE

  • University Tenure Review Committee, Committee Member, (2013 - )
  • CMU-Qatar Joint Advisory Board, Committee Member, Attend two meetings per year at CMU-Qatar to review academic and administrative performance , (2011 - )
  • MSCF Steering Committee, Committee Member, Oversee MSCF program, review and finalize MSCF admissions decisions, attend MSCF student and alumni events., (2004 - )
  • BSCF committee, Committee Member, Make BSCF admissions decisions. Advise on BSCF program., (2001 - )
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PUBLIC SERVICE

  • Quantum Theatre, Board Member, (2013 - )
  • Pittsburgh Cultural Trust, Advisory Board for Pittsburgh Dance Council, Board Member, (2010 - )
  • I Have A Dream Foundation, Pittsburgh, President, (2001 - )

BOARDS

  • Quantum Theatre, (January 2013 - January 0001)
  • Pittsburgh Cultural Trust, Advisory Board for Pittsburgh Dance Council, (January 2010 - January 0001)

CONSULTING

  • PG & E National Energy Group (2001)
  • Teknecon Energy Risk Advisors, LLC (2001)
  • Price Waterhouse Coopers (2000)
  • Price Waterhouse Coopers (1996)

PROFESSIONAL ACTIVITIES

  • Session Chair, Western Finance Association (2015)
  • Committee Member, European Finance Association, Program Committee (2009 - 2015)
  • Committee Member, Western Finance Association, Program Committee (1992 - 2015)
  • Session Chair, Western Finance Association (2014)
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COURSES TAUGHT

  • MSCF Studies in Financial Engineering (46977)
    2014 Mini 1 Section: H, M
    2013 Mini 1 Section: H, I
  • Options (45823)
    2014 Mini 1 Section: E, G
    2013 Mini 1 Section: E
    2012 Mini 1 Section: A
  • MSCF Options (46973)
    2014 Mini 2 Section: I, M
    2013 Mini 2 Section: I
  • Studies in Financial Engineering (45925)
    2014 Mini 2 Section: E
    2013 Mini 2 Section: E
    2012 Mini 2 Section: E
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Duane Seppi