Markus Pelger is an Assistant Professor of Management Science & Engineering at Stanford University and a Reid and Polly Anderson Faculty Fellow.
His research focuses on understanding and managing financial risk. He develops mathematical financial models and statistical methods, analyzes financial data and engineers computational techniques. His research is divided into three streams: stochastic financial modeling, high-frequency statistics and statistical learning in high-dimensional financial data sets. His most recent work includes developing machine learning solutions to big-data problems in empirical risk management and asset pricing.
Markus' work has appeared in the Journal of Finance, Review of Financial Studies, Journal of Applied Probability and Journal of Econometrics. He is an Associate Editor of Management Science and also referees for several journals in the fields of statistics, econometrics, finance and management.
Markus received his Ph.D. in Economics from the University of California, Berkeley. He is a scholar of the German National Merit Foundation and he was awarded a Fulbright Scholarship, the Institute for New Economic Thinking Prize, the Eliot J. Swan Prize and the Graduate Teaching Award at Stanford University. He has two Diplomas in Mathematics and in Economics, both with highest distinction, from the University of Bonn in Germany.
Office: Huang Engineering Center 312
Email: mpelger @ stanford.edu
Department of Management Science and Engineering
Huang Engineering Center
475 Via Ortega
Stanford, CA 94305-4121