Industrial Engineering and Operations Research
United States of America
Professor Jose Blanchet joined the IEOR Department in 2008, he received his Ph.D. in Management Science and Engineering from Stanford University in 2004. Prior to joining Columbia he was a faculty member in the Statistics Department at Harvard University, where he taught for nearly four years. Professor Blanchet worked for two years at Protego Financial Advisors, a leading investment bank in Mexico. Blanchet's interests include applied probability, computational finance, MCMC, queueing theory, rare-event analysis, simulation methodology, and risk theory
"Applied Probability Queueing Theory Risk Management Simulation"
Blanchet J, Glynn P (2006) Corrected Diffusion Approximations for the Maximum of Light-tailed Random Walk. Annals of Applied Probability, 16: 952-983.
Pekoz E, Blanchet J (2006) Heavy-traffic Limit Theorems via Embeddings. Probability in the Engineering and Informational Sciences, 20: 595-598.