Duane J. Seppi

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

Phone

412-268-2298

Areas of Expertise

Finance

Education

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


PUBLICATIONS

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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)

  • Financial Attention

    (author(s): Duane Seppi, Nachum Sicherman, George Loewenstein, Stephen Utkus)

  • Merchant Commodity Storage and Term-Structure Model Error

    (author(s): Nicola Secomandi, Guoming Lai, Francois Margot, Alan Scheller-Wolf, Duane Seppi) Manufacturing & Service Operations Management; submitted 9/12/2012; minor revision submitted 9/7/2014

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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)
Nominated for Smith-Breeden prize (1992)
WFA Chicago Board of Trade Award (1991)
Tepper School of Business, Carnegie Mellon University - BP America Research Chair (1990)
Nominated for Smith-Breeden prize (1990)
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University Service

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 - )
Budget & Finance Committee, Committee Member, Review CMU financial affairs for CMU faculty senate, (2010 - 2013)
Financial Engineering MBA Track, Faculty Advisor, Coordinate with Steve Shreve to determine FE track admissions. Meet with students regarding the track., (2008 - 2013)
Dean Search Committee, Committee Member, (2010 - 2011)
Faculty Senate, Committee Member, (2009 - 2011)
TEPPER EMBA-IWEMBA, (2009 - 2010)
CMU MSCF PROGRAM STEERING, (2008 - 2009)
Financial Engineering Case Competition (co-organizer with Antje Berndt), Case Competition, ( - 2008)
TEPPER MBA PLACEMENT ADVISORY, (2007 - 2008)
TEPPER EMBA-QATAR, (2006 - 2007)
Financial Engineering Case Competition (co-organizer with Chris Telmer), Case Competition, (1997 - 2007)
CMU MSCF PROGRAM STEERING, (2005 - 2006)
Committee on Non-tenture Appointments, Committee Member, (2003 - 2005)
BA Undergraduate Finance, Other, Track Advisor, (1997 - 2003)
Dean Search Committee, Committee Member, (2000 - 2001)
Committee on Non-tenture Appointments, Committee Member, (1994 - 1996)
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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 - )

Editorial Boards

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

Professional Activities

Committee Member, European Finance Association, Program Committee (2009 - 2014)
Committee Member, Western Finance Association, Program Committee (1992 - 2014)
Secretary-Treasurer, American Finance Association (2012 - 2013)
Secretary-Treasurer, Western Finance Association (2004 - 2012)
Board of Advisors, Nasdaq OMX Economic Advisory Board (2008 - 2009)
Associate Editor, Journal of Finance (2004 - 2008)
Editor, Review of Finance (2003 - 2008)
Committee Member, European Finance Association, Program Committee (1999 - 2006)
Editor and Associate Editor, Journal of Financial Markets (1996 - 2006)
Associate Editor, Review of Financial Studies (1992 - 1995)
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COURSES TAUGHT

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

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Duane Seppi