Nicholas Polson

Nicholas G. Polson conducts research on Markov Chain Monte Carlo methods, financial econometrics, and Bayesian interference. Inspired by an interest in probability, Polson has added a number of new algorithms and methodologies to the fields of Bayesian statistics, Markov Chain Monte Carlo methods, and particle filtering.

Polson's articles have appeared in a number of academic journals, such as the Journal of Risk Finance and the Journal of Royal Statistical Society, as well as such mainstream publications as the Wall Street Journal and Chance. He also is the author of Bayesian Inference, edited with G. Tiao and published by Edward Elgar Publishing in 1995. His working papers include "Maximum Expected Utility via MCMC" with E. Jacquier and M. Johannes and "Nonlinear Filtering of Stochastic Differential Equations with Jumps" with M. Johannes and J. Stroud.

He received a National Science Foundation Grant (1995 - 1997) for "Statistical Methods for Nonlinear Inference in Time Series" and an IBM Faculty Research Fund Award for his research efforts. His consulting activities include the Ameritrade Online Investor Index and Catastrophe Bond Risk Assessment. He is currently an associate editor for the Journal of Econometrics, the Journal of Financial Econometrics, and the Journal of the American Statistical Association.

Polson earned a master's degree with First Class Honours from Worcester College at Oxford University in 1984. He earned a PhD from the University of Nottingham in 1988. He joined Chicago Booth in 1991 after teaching at Carnegie Mellon University and Nottingham University.

Outside of academics, Polson enjoys horse racing and swimming.

Selected Publications

With M. Johannes, "MCMC Methods for Financial Econometrics," Handbook of Financial Econonmetrics (2004).

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With B. Eraker and M. Johannes, "The Impact of Jumps in Volatility in Returns," Journal of Finance (2003).

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With E. Jacquier and P. Rossi, "Bayesian Analysis of Stochastic Volatility Models," Journal of Business and Economic Statistics (1994, 2002).

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Invited paper with discussion, "Convergence of Markov Chain Monte Carlo Algorithms," Fifth Valencia Meeting on Bayesian Statistics.