Duane Seppi

PHONE

412-268-2298

OFFICE

POS - Posner Hall - Room 253C

AREA OF EXPERTISE

Finance

EDUCATION

The University of Chicago - Ph D - 1988
The University of Chicago - MBA - 1984
Stanford University - BA - 1977

PUBLICATIONS

• Energy Real Options: Valuation and Operations
  Managing Energy Price Risk, Risk Books, 4-th Edition, V. Kamiski (ed.)

(author(s): Nicola Secomandi, Duane Seppi)

• Merchant Commodity Storage and Term-Structure Model Error

(author(s): Nicola Secomandi, Guoming Lai, François Margot, Alan Scheller-Wolf, Duane Seppi) Manufacturing & Service Operations Management 17(3), 2015; 302–320

• Real Options and Merchant Operations of Energy and Other Commodities

(author(s): Nicola Secomandi, Duane Seppi) Foundations and Trends in Technology, Information and Operations Management 6(3-4), 2014; 161-331

• Rating-Based Investment Practices and Bond Market Segmentation

(author(s): Zhihua Chen, Aziz Lookman, Norman Schurhoff, Duane Seppi) Review of Asset Pricing Studies, 2014

• Rating-Based Investment Practices and Bond Market Segmentation - Internet Appendix

(author(s): Zhihua Chen, Aziz Lookman, Norman Schurhoff, Duane Seppi) Review of Asset Pricing Studies, 2014

• "Interim News and the Role of Proxy Voting Advice"

(author(s): Chester Spatt, Cindy Alexander, Mark Chen, Duane Seppi) Review of Financial Studies 23, 2010; 4419-4454

• The Ostrich Effect: Selective Attention to Information

(author(s): Duane Seppi, Niklas Karlsson, George Loewenstein) Journal of Risk and Uncertainty 38, 2009; 95-115

• Limit Order Markets: A Survey
  Handbook of Financial Intermediation & Banking

(author(s): Duane Seppi, Christine Parlour) Elsevier, 2008

• A Threshold Autoregressive Model for Wholesale Electricity Prices

(author(s): Duane Seppi, R. Rambharat, A. Brockwell) Applied Statistics 54, 2005; 287-299

• Liquidity-Based Competition for Order Flow

(author(s): Duane Seppi, Christine Parlour) Review of Financial Studies 16, 2003; 301-343

• Risk-Neutral Stochastic Process for Commodity Derivative Pricing: An Introduction and Survey
  Real Options and Energy Management Using Options Methodology to Enhance Capital Budgeting Decisions

Risk Books, 2002

• Common Factors in Prices, Order Flows and Liquidity

(author(s): Duane Seppi, Joel Hasbrouck) Journal of Financial Economics 59(3), 2001; 383-411

• "Equilibrium Forward Curves For Commodities"

(author(s): Bryan Routledge, Duane Seppi, Chester Spatt) Journal Of Finance 55(3), 2000; 1297-1338

• Liquidity Provision with Limit Orders and a Strategic Specialist

Review of Financial Studies 10(1), 1997; 103-150

• Robust Inference in Communication Games with Partial Provability

(author(s): Duane Seppi, Bart Lipman) Journal of Economic Theory 66(2), 1995; 370-405

• Information and Index Arbitrage

(author(s): Duane Seppi, Praveen Kumar) Journal of Business 67, 1994; 481-509

• Block Trading and Information Revelation around Quarterly Earnings Announcements

Review of Financial Studies 5, 1992; 281-305

• Futures Manipulation with ''Cash Settlement''

(author(s): Duane Seppi, P. Kumar) Journal of Finance, 1992

• Equilibrium Block Trading and Asymmetric Information

Journal of Finance 45, 1990; 73-94

WORKING PAPERS

• ''Demand Discovery and Asset Pricing,''

(author(s): Burton Hollifield, Duane Seppi, Michael Gallmeyer)

• Option Pricing and Stochastic Volatility in Factor Models of Return

(author(s): Duane Seppi, Mihaela Serban, John Lehoczky)

• Information and Trading Targets in a Dynamic Market Equilibrium

(author(s): Jin Choi, Kasper Larsen, Duane Seppi)

• Financial Attention

(author(s): Duane Seppi, Nachum Sicherman, George Loewenstein, Stephen Utkus)

• Liquidity Discovery and Asset Pricing

(author(s): Duane Seppi, Michael Gallmeyer, Burton Hollifield)

• Options Class Notes

• "The "Spark" Spread: Cross-Commodity Equilibrium Restrictions and Electricity"

(author(s): Chester Spatt, Bryan Routledge, Duane Seppi) 2001

• Derivative Security Induced Price Manipulation

(author(s): Duane Seppi, Michael Gallmeyer)

AWARDS AND HONORS

• WFA/NYSE prize for best paper on equity trading (2005)
• Tepper School of Business, Carnegie Mellon University - George Leland Bach Award (2002)
• Nominated for Smith-Breeden prize (2000)
• Q-Group - Roger F. Murray First Prize (1998)
• Nominated for Smith-Breeden prize (1992)
• WFA Chicago Board of Trade Award (1991)
• Tepper School of Business, Carnegie Mellon University - BP America Research Chair (1990)
• Nominated for Smith-Breeden prize (1990)

UNIVERSITY SERVICE

• University Tenure Review Committee, Committee Member (2013 - )
• CMU-Qatar Joint Advisory Board, Committee Member, Attend two meetings per year at CMU-Qatar to review academic and administrative performance (2011 - )
• MSCF Steering Committee, Committee Member, Oversee MSCF program, review and finalize MSCF admissions decisions, attend MSCF student and alumni events. (2004 - )
• BSCF committee, Committee Member, Make BSCF admissions decisions. Advise on BSCF program. (2001 - )
• Budget & Finance Committee, Committee Member, Review CMU financial affairs for CMU faculty senate (2010 - 2013)
• Financial Engineering MBA Track, Faculty Advisor, Coordinate with Steve Shreve to determine FE track admissions. Meet with students regarding the track. (2008 - 2013)
• Dean Search Committee, Committee Member (2010 - 2011)
• Faculty Senate, Committee Member (2009 - 2011)
• TEPPER EMBA-IWEMBA (2009 - 2010)
• CMU MSCF PROGRAM STEERING (2008 - 2009)
• Financial Engineering Case Competition (co-organizer with Antje Berndt), Case Competition
• TEPPER MBA PLACEMENT ADVISORY (2007 - 2008)
• TEPPER EMBA-QATAR (2006 - 2007)
• Financial Engineering Case Competition (co-organizer with Chris Telmer), Case Competition (1997 - 2007)
• CMU MSCF PROGRAM STEERING (2005 - 2006)
• Committee on Non-tenture Appointments, Committee Member (2003 - 2005)
• BA Undergraduate Finance, Track Advisor (1997 - 2003)
• Dean Search Committee, Committee Member (2000 - 2001)
• Committee on Non-tenture Appointments, Committee Member (1994 - 1996)

PUBLIC SERVICE

• Quantum Theatre, Board Member (2013 - )
• Pittsburgh Cultural Trust, Advisory Board for Pittsburgh Dance Council, Board Member (2010 - )
• I Have A Dream Foundation, Pittsburgh, President (2001 - )

BOARDS

• Quantum Theatre, (January 2013 - January 0001)
• Pittsburgh Cultural Trust, Advisory Board for Pittsburgh Dance Council, (January 2010 - January 0001)

CONSULTING

• PG & E National Energy Group (2001)
• Teknecon Energy Risk Advisors, LLC (2001)
• Price Waterhouse Coopers (2000)
• Price Waterhouse Coopers (1996)

PROFESSIONAL ACTIVITIES

• Session Chair, Western Finance Association (2015)
• Committee Member, European Finance Association, Program Committee (2009 - 2015)
• Committee Member, Western Finance Association, Program Committee (1992 - 2015)
• Session Chair, Western Finance Association (2014)
• Secretary-Treasurer, American Finance Association (October 2012 - 2013)
• Secretary-Treasurer, Western Finance Association (September 2004 - August 2012)
• Board of Advisors, Nasdaq OMX Economic Advisory Board (2008 - 2009)
• Associate Editor, Journal of Finance (January 2004 - 2008)
• Editor, Review of Finance (January 2003 - 2008)
• Committee Member, European Finance Association, Program Committee (1999 - 2006)
• Editor and Associate Editor, Journal of Financial Markets (January 1996 - 2006)
• Associate Editor, Review of Financial Studies (January 1992 - 1995)

COURSES TAUGHT

• Mscf Studies In Financial Engineering (46977) 2015 Mini 1 Section: H, M

• Options (45823) 2015 Mini 1 Section: E
  2014 Mini 1 Section: E, G
  2013 Mini 1 Section: E
  2012 Mini 1 Section: A

• Market Microstructure And Algorithmic Trading (46982) 2015 Mini 2 Section: I, M

• Mscf Options (46973) 2015 Mini 2 Section: I, M

• Studies In Financial Engineering (45925) 2015 Mini 2 Section: E

• MSCF Studies in Financial Engineering (46977) 2014 Mini 1 Section: H, M
  2013 Mini 1 Section: H, I

• MSCF Options (46973) 2014 Mini 2 Section: I, M
  2013 Mini 2 Section: I

• Studies in Financial Engineering (45925) 2014 Mini 2 Section: E
  2013 Mini 2 Section: E
  2012 Mini 2 Section: E

• MSCF Studies in Financial Engineering (45886) 2012 Mini 1 Section: H, I

• MSCF Options (45885) 2012 Mini 2 Section: I

• Options (45814) 2011 Mini 1 Section: A
  2011 Mini 2 Section: I
  2011 Mini 4 Section: E
  2010 Mini 1 Section: A
  2010 Mini 2 Section: I
  2009 Mini 1 Section: A
  2009 Mini 2 Section: I
  2009 Mini 3 Section: E, I, M
  2008 Mini 3 Section: E, I, M
  2006 Mini 1 Section: A, B
  2005 Mini 1 Section: A, B
  2005 Mini 2 Section: M

• Studies in Financial Engineering (45816) 2011 Mini 1 Section: H, I
  2011 Mini 2 Section: E
  2010 Mini 1 Section: H, I
  2010 Mini 2 Section: E
  2009 Mini 1 Section: H, I
  2009 Mini 2 Section: E
  2008 Mini 2 Section: A, H, I
  2007 Mini 2 Section: A, H, I
  2006 Mini 2 Section: A, H, I
  2005 Mini 2 Section: A, H, I

• Macro-econ for Computational Finance(MS CF) (45905) 2010 Mini 1 Section: I