Stephen Blyth

Stephen Blyth

Professor of the Practice in Statistics
Stephen Blyth

Cancer, Chemo and the Road to Self-Compassion

An Introduction to Quantitative Finance

The Quant Delusion: The Rise and Fall of Financial Engineering

The Legacy of the Super Collider

 

Research Interests

  • Quantitative Finance
  • Asset Allocation
  • Financial Derivatives Modelling
  • Judgment and the Limits of Quantitative Methods
  • Procedural versus Logicist Statistics

Education

  • PhD in Statistics, Harvard University, 1992.
  • AM in Statistics, Harvard University, 1989.
  • BA in Mathematics, Cambridge University, 1988. Third Wrangler
  • MA in Mathematics, Cambridge University, 1991.

Experience

  • 2011 - present Professor of the Practice in Statistics, Department of Statistics, Harvard University.
  • 2015 - 2016 President and CEO, Harvard Management Company.
  • 2006 - 2015 Managing Director,  Harvard Management Company.
  • 2009 - 2011 Lecturer, Department of Statistics, Harvard University.
  • 2006 - 2009 Visiting Scholar, Department of Statistics, Harvard University.
  • 2003 - 2006 Managing Director, Deutsche Bank London.
  • 1997 - 2003 Managing Director,  Morgan Stanley New York.
  • 1994 - 1997 Vice President, HSBC London and New York.
  • 1992 - 1994 Lecturer and SERC Research Fellow, Department of Mathematics, Imperial College London.

Sample Publications

  • Blyth, S.J., Szigety, M.C. and Xia, J. (2016), Flexible Indeterminate Factor-Based Asset Allocation, The Journal of Portfolio Management, 42, No.5, 79-93. 
  • Blyth S (2013). Of Wranglers and Bankers: Reflections on Applied Statistics from a Career in Finance. CHANCE, 26, No.2, 4-7.
  • Blyth S (2004). Practical Relative-Value Volatility Trading. RISK, 17, No.5, 91-96.
  • Blyth S (1995). The Dead of the Gulag: An Experiment in Statistical Investigation. Applied Statistics, 44, 307-321.
  • Blyth S (1994). Karl Pearson and the Correlation Curve. International Statistical Review, 62, 393-403.

Curriculum Vitae

Contact Information

SC 708
p: 617-495-5617