René Carmona

Paul Wythes ’55 Professor of Engineering and Finance


Short Biographical Blurb

René Carmona, Ph.D., is the Paul M. Wythes ’55 Professor of Engineering and Finance at Princeton University in the department of Operations Research and Financial Engineering. He is an associate member of the Department of Mathematics, a member of the Program in Applied and Computational Mathematics, and Director of Graduate Studies of the Bendheim Center for Finance where he oversees the Master in Finance program. He obtained a PhD in probability from Marseille university where he held his first academic job. After time spent at Cornell and a couple of stints at Princeton, he moved to the University of California at Irvine in 1981 and eventually Princeton University in 1995.

Dr Carmona is a Fellow of the Institute of Mathematical Statistics (IMS) since 1984, of the Society for Industrial and Applied Mathematics (SIAM) since 2009 and of the American Mathematical Society (AMS) since 2020. He is the founding chair of the SIAM Activity Group on Financial Mathematics and Engineering, a founding editor of the Electronic Journal & Communications in Probability, and the SIAM Journal on Financial Mathematics. He is on the editorial board of several peer-reviewed journals and book series. He was/is on the scientific board of several research institutes, more recently, the NSF Institute for Mathematical and Statistical Innovation (IMSI) in Chicago.

His publications include over one hundred fifty articles and eleven books in probability, statistics, mathematical physics, signal analysis and financial mathematics. He also developed computer programs for teaching and research. He has worked on the commodity and energy markets as well as the credit markets, and he is recognized as a leading researcher and consultant in these areas. Over the last decade his research focused on the development of a probabilistic approach to Mean Field Games and Mean Field Control. His two-volume book on the subject, co-authored with F. Delarue, was the recipient of the J.L. Doob Prize awarded every three years by the American Mathematical Society.

In 2020 he was awarded a competitive ARPA-E grant under the Performance-based Energy Resource Feedback, Optimization and Risk Management (PERFORM) program, and together with colleagues from Princeton University, U.C. Santa Barbara, and Scoville Risk Partners, leads thewebpush research team Operational Risk Financialization of Electricity Under Stochasticity (ORFEUS).


  • “C.A.P.E.S” and “Agregation” of Mathematics (federal degree) Paris, June 1969.

  • “These d'Etat” in Probability, University of Marseille, June 1977.


  • Assistant & Maitre Assistant (Mathematiques) Univ. Aix-Marseille II, 1969-1978

  • Maitre de Conf. & Professor (Mathematiques) Univ. Saint Etienne, 1978-1981

  • Agence de l'Informatique, Ministere Industrie (French Administration) 1981

  • Assistant & Associate Professor, Univ. California, Irvine, 1982-1984

  • Professor, Univ. California, Irvine, 1984-1995

  • Professor, Princeton Univ. 1995-present

Visiting Positions

  • Cornell University (Spring 1976), Princeton University (Spring 1978 & Spring 1980), Institut des Hautes Etudes Scientifiques (IHES) (Spring 1981)

  • Visiting Assistant Professor, Univ. California, Irvine, 1981-1982, Aarhus University (Spring 1982), CPT, C.N.R.S., Marseille (1982), University Paris I Sorbonne (2001), University Paris X Dauphine, (2002)

  • VIV Institute of Mathematics and Applications, Minneapolis Spring 2004

  • University Paris X Dauphine (2008), University Nice & INRIA Sophia-Antipolis (2010))


Nothrop, Hughes Aircraft, … , Tokos Inc, Medical Diagnostics, … , Axcom Ltd, Lattice Ltd, Willowbridge Inc, Chase Auto Lease Division, … , ENRON, Dynergy, Calpine, NRG, ….. , Nationwide, American Re, …., Morgan Stanley, JP Morgan, …..

Full CV