Duane J. Seppi

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

Teaching and Research Interests:

• Market microstructure, energy and commodity derivative valuation, financial engineering, game theory.

Published Papers: 

• The Ostrich Effect: Selective Attention to Information
  Journal of Risk and Uncertainty 38, 2009; 95-115.
  (With: Niklas Karlsson, George Loewenstein)
  
  
• Limit Order Markets: A Survey
  Handbook of Financial Intermediation & Banking, 2008.
  (With: Christine Parlour)
  
  
• A Threshold Autoregressive Model for Wholesale Electricity Prices
  Applied Statistics 54, 2005; 287-299.
  (With: R. Rambharat, A. Brockwell)
  
  
• Liquidity Based Competition for Order Flow
  Review of Financial Studies 16, 2003; 301-343.
  (With: Christine Parlour)
  
  
• Common Factors in Prices, Order Flows, and Liquidity
  Journal of Financial Economics 59, 2001; 383-411.
  (With: Joel Hasbrouck)
  
  
• Equilibrium Forward Curves for Commodities
  Journal of Finance 55, 2000; 1297-1338.
  (With: Bryan Routledge, Chester Spatt)
  
  
• Liquidity Provision with Limit Orders and a Strategic Specialist
  Review of Financial Studies, 1997.
  
  
• Robust Inference in Communication Games with Partial Provability
  Journal of Economic Theory, 1995.
  (With: B. Lipman)
  
  
• Futures Manipulation with `Cash Settlement'
  Journal of Finance, 1992.
  (With: P. Kumar)
  
  
• Equilibrium Block Trading and Asymmetric Information
  Journal of Finance, 1990.
  
  

Working Papers: 

• Demand Discovery and Asset Pricing
  July, 2006.
  (With: Burton Hollifield, Michael Gallmeyer)
  
  
• Liquidity Discovery and Asset Pricing
  January, 2004.
  (With: Michael Gallmeyer, Burton Hollifield)
  For Further Information
  
  
• Options Class Notes
  March, 2003.
  
  
• Derivative Security Induced Price Manipulation
  July, 2000.
  (With: Michael Gallmeyer)
  
  
• The Spark Spread: An equilibrium model of the Cross-Commodity Price Relationships in Electricity
  December, 1998.
  (With: Chester Spatt, Bryan Routledge)
  
  

Publications: 

• "Risk-Neutral Stochastic Processes for Commodity Derivative Pricing"
  in Ehud Runn (ed.) Real Options and Energy Management, Risk Books, (January, 2002).
  
  

Awards:

• Best Paper, Western Finance/NYSE - 2005
• George Leland Bach Teaching Award - 2002
• Q-Group Roger Murray Prize - 1998
• Best Paper, Western Finance/Chicago Board of Trade - 1991
• BP America Research Chair, GSIA - 1990-1991

Editorial Boards:

• Journal of Finance, 2004
• Review of Finance, 2003-
• Journal of Financial Markets, 1996-2006
• Review of Financial Studies, 1992-1995

Boards:

• President, I Have A Dream Foundation, Pittsburgh, 2001

Courses Taught:

• Options (45-814)
  (Masters Program)
  • 2008, Mini 3 (Section: E)
  • 2008, Mini 3 (Section: I)
  • 2008, Mini 3 (Section: M)
  • 2007, Mini 3 (Section: E)
  • 2007, Mini 3 (Section: I)
  • 2007, Mini 3 (Section: M)
  
  
• Studies in Financial Engineering (45-816)
  (Masters Program)
  • 2008, Mini 2 (Section: A)
  • 2008, Mini 2 (Section: H)
  • 2008, Mini 2 (Section: I)
  • 2007, Mini 2 (Section: A)
  • 2007, Mini 2 (Section: H)
  • 2007, Mini 2 (Section: I)