David Heath (probabilist)
| David Heath | |
|---|---|
| Born | Oak Park, Illinois, USA |
| Died | 11 August 2011 (aged 67–68) Penfield, New York, USA |
| Residence | United States |
| Nationality | American |
| Fields | Probability Theory, Econometrics |
| Institutions |
University of Minnesota Cornell University Carnegie-Mellon University |
| Alma mater |
Kalamazoo College University of Illinois at Urbana-Champaign |
| Doctoral advisor | Frank Bardsley Knight |
| Doctoral students | Martin Kulldorff Andrew Morton Hugh Cohen Ajay Khanna Douglas McBeth Refik Gullu Robert Koca Yuri Boykov Carlos Sin Victoria Averbukh Stefano Herzel Roberto Malamut Diego Jara James Porter Stephen DSilva Sean Hilden |
| Spouse | Judith Heath |
| Children | Kelley, Michael, Susan |
David Clay Heath (~1943 – 11 August 2011) was an American probabilist, who is most famous for the co-invention of the Heath–Jarrow–Morton framework to model the evolution of the interest rate curve.
He was born in Oak Park, Illinois 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.
Heath obtained his PhD in 1969 under the supervision of Frank Bardsley Knight at the University of Illinois at Urbana-Champaign 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. In the late 1970s, he moved to Cornell University 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 in Pittsburgh, where he became the Orion Hoch Professor of Mathematical Sciences, and where he stayed until his retirement in 2006.
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