People

Professor Carmona’s focus lies largely in financial mathematics and statistical analyses. Much of his research has dealt with various stochastic processes, examining the dynamics of nondeterministic systems. Specifically he has investigated large-time asymptotic stochastic systems. His research also covers stochastic partial differential equations and signal analysis. His work with signal analysis has largely dealt with time-frequency analysis and the study of wavelets.

Carmona’s work has had tremendous potential for application to a number of different fields. His study of stochastic partial differential equations has led to improvements in physical oceanography as well as in image analysis, including medial imagery. Moreover, his work with high-frequency data has made a significant contribution to financial engineering, shedding light on pricing in incomplete markets with high degrees of uncertainty and risk. Beyond this his work in statistical data analysis has impacted medical diagnostic tools and even speech processing. Prof. Carmona has also developed a number of statistical programs for the S-PLUS software package, including "SWAVE," which aids in signal analysis, and "EVANESCE," which analyzes heavy tail distributions and copulas.

Carmona, a native of France, received his “C.A.P.E.S.” and “Aggregation” of mathematics as federal degrees from Paris in 1969 and his “These d'Etat” in Probability from the University of Marseille in 1977. After serving as a consultant for the Agence de l'Informatique of the Ministere Industrie in 1981, Carmona moved the U.S. to teach at UC-Irvine from 1982-95. From here he came to Princeton as a member of the ORFE department. He is also an active consultant with clients ranging from Medical Diagnostics to Chase Auto Lease Division.

Carmona teaches a number of upper-level courses in the ORFE department dealing with regression and time-series analysis. He is the director of graduate studies for the Bendheim Center for Finance and the director of the Committee on Statistical Studies.