Lars Tyge Nielsen is the director of Columbia University’s Mathematics of Finance MA program. He was a Chaired Professor of International Banking and Finance, Associate Dean, Chairman of the Faculty Evaluation Committee, and Director of the PhD program at INSEAD, the international business school in France and Singapore. He led the INSEAD’s PhD program as it placed its first graduates as assistant professors at top universities such as Harvard, the University of Chicago, Stanford, Yale, and UCLA; and at leading European business schools.
In between INSEAD and Columbia, Lars held positions at Goldman Sachs in counterparty credit risk, at Morgan Stanley as head of model reviews, and at Platinum Grove Asset Management as head of risk management. He has held adjunct and visiting appointments at the Copenhagen Business School, the Courant Institute of Mathematical Sciences at New York University, the Department of Finance at New York University and the University of Copenhagen. He has been President of the European Finance Association and has served on a number of conference program committees as well as various professorship appointment committees at Scandinavian universities and business schools. He is the author of Pricing and Hedging of Derivative Securities, published by Oxford University Press.
Lars Tyge Nielsen has a PhD in economics from Harvard and master’s degrees in mathematics and economics from the University of Copenhagen.
Dividends in the Theory of Derivative Securities Pricing. Economic Theory 31 (2007), 447–471
The Instantaneous Capital Market Line, Economic Theory 28, No. 3, August 2006, 651-664 (with Maria Vassalou).
Monotone Risk Aversion. Economic Theory 25 (2005), 203-215. Republished in Christian Schultz and Karl Vind (Eds.), Institutions, Equilibria and Efficiency: Essays in Honor of Birgit Grodal, Springer Verlag (2006), 317-329.
Sharpe Ratios and Alphas in Continuous Time. Journal of Financial and Quantitative Analysis 39, No. 1, March 2004, 103-114 (with Maria Vassalou).
Pricing and Hedging of Derivative Securities. Oxford University Press (1999).
Common Knowledge: The Case of Linear Regression. Journal of Mathematical Economics 26 (1996), 285-304.
Common Knowledge of a Multivariate Aggregate Statistic. International Economic Review 36 (1995), 207-216.
Pareto Optima in Incomplete Financial Markets. Journal of Mathematical Economics 23 (1994), 87-100.
The Expected Utility of Portfolios of Assets. Journal of Mathematical Economics 22 (1993), 439-461.
Positive Prices in CAPM. Journal of Finance 47 (1992), 791-808.
Common Knowledge of an Aggregate of Expectations. Econometrica 58 (1990), 1235-1239 (with Adam Brandenburger, John Geanakoplos, Richard D. McKelvey, and Talbot Page).
Existence of Equilibrium in CAPM. Journal of Economic Theory 52 (1990), 223-231.
Equilibrium in CAPM Without a Riskless Asset. Review of Economic Studies 57 (1990), 315-324.
Asset Market Equilibrium with Short-Selling. Review of Economic Studies 56 (1989), 467-474.
Uniqueness of Equilibrium in the Classical Capital Asset Pricing Model. Journal of Financial and Quantitative Analysis 23 (1988), 329-336.
Portfolio Selection in the Mean-Variance Model. Journal of Finance 42 (1987), 1371-1376.
Positively Weighted Frontier Portfolios. Journal of Finance 42 (1987), 471.
Risk Sensitivity in Bargaining with More than Two Participants. Journal of Economic Theory 32 (1984), 371-376.
Ordinal Interpersonal Comparisons in Bargaining. Econometrica 51 (1983), 219-221. Republished in Bargaining and the Theory of Cooperative Games: John Nash and Beyond, edited by William Thomson, Edward Elgar Publishing Ltd, (2010).
Pareto Optima, Non-Convexities, and Regulated Market Equilibria. Journal of Mathematical Economics 11 (1983), 57-63.
Transversality and the Inverse Image of a Submanifold with Corners. Mathematica Scandinavica 49 (1981), 211-221.