Martin Haugh joined Imperial College Business School as an Associate Professor in 2017. Prior to that he spent more than 10 years in the Department of IE & OR at Columbia University as well as 4 years working in the hedge fund industry in New York and London. He obtained his PhD in Operations Research from MIT in 2001 and has MS degrees in Mathematics and Applied Statistics from Cork and Oxford, respectively.
Martin's main research interests are in: (1) Computational finance and risk management and (2) Markov Decision Processes and sub-optimal control. He is also very interested in: (3) Machine Learning / Business Analytics / “Big Data” and has recently begun working on some research projects in this area.
Haugh M, Ruiz Lacedelli O, 2020, Scenario analysis for derivatives portfolios via dynamic factor models, Quantitative Finance, Vol:20, ISSN:1469-7688, Pages:547-571
Haugh M, Singal R, How to play fantasy sports strategically (and win), Management Science, ISSN:0025-1909
Fagan F, Haugh M, Cooper H, 2019, The advantage of lefties in one-on-one sports, Journal of Quantitative Analysis in Sports, Vol:15, ISSN:1559-0410, Pages:1-25
Haugh M, Ruiz Lacedelli O, 2019, Information Relaxation Bounds for Partially Observed Markov Decision Processes, Ieee Transactions on Automatic Control, ISSN:0018-9286, Pages:1-1
Haugh MB, Caldentey R, 2017, A Cournot-Stackelberg Model of Supply Contracts with Financial Hedging and Identical Retailers, Foundations and Trends in Technology, Information and Operations Management, ISSN:1571-9545