Residence United States Nationality American | Name David Heath | |
Died 11 August 2011(2011-08-11) (aged 67–68)
Rochester, New York, USA Fields Probability Theory, Econometrics Institutions University of Minnesota
Cornell University
Carnegie-Mellon University Alma mater University of Illinois at Urbana-Champaign | ||
David Clay Heath (~1943 – 11 August 2011) was an American probabilist, who is most famous for the co-invention of the Heath–Jarrow–Morton framework to model the evolution of the interest rate curve.
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Early life
He was born in Oak Park, Illinois to W. Curtis and Margaret Wasson Heath. He graduated from Elkhart High School in 1960 and earned his bachelor's degree from Kalamazoo College in 1964.
Scientific career
Heath obtained his PhD in 1969 under the supervision of Frank Bardsley Knight at the University of Illinois at Urbana-Champaign with a dissertation titled 'Probabilistic Analysis of Hyperbolic Systems of Partial Differential Equations'. After graduation, he became an assistant professor at the University of Minnesota. In the late 1970s, he moved to Cornell University where he joined the School of Operations Research and Industrial Engineering. There he founded the financial engineering program, becoming the Merrill Lynch Professor of Financial Engineering. In the late 1990s Heath moved to Carnegie Mellon University in Pittsburgh, where he became the Orion Hoch Professor of Mathematical Sciences, and where he stayed until his retirement in 2006.