David C. Heath

Heath, David C.

Penfield: 68, formerly of Elkhart, IN, died on Thursday, August 11, 2011 at Highland Hospital in Rochester, NY.

David was born in Oak Park, IL to W. Curtis and Margaret Wasson Heath. David graduated from Elkhart High School in 1960 and earned his Bachelor of Arts degree from Kalamazoo College in 1964. He went on to study Mathematics at the University of Illinois in Urbana, receiving his MA in 1965 and his PhD in Mathematics in 1969.

A noted professor of applied mathematics, David supervised 26 PhD students and co-authored a seminal model for the term structure of interest rates. This work is known as the Heath-Jarrow-Morton (HJM) framework, and it placed him in continuous demand for speaking and teaching engagements worldwide.

David taught at the University of Minnesota, Cornell University, University of California at Berkeley, University of Strasbourg (France) and Carnegie Mellon University. While at Cornell he helped develop the Financial Engineering curriculum and became the Merrill Lynch Professor of Financial Engineering. He later moved to Carnegie Mellon University and joined the Computational Finance program as the Orion Hoch Professor of Mathematical Sciences.

Throughout his career, he consulted on a wide range of projects for public and private entities: U.S. Army Corps of Engineers (on the risk of dam failure), the Department of Energy (on the risk of nuclear waste disposal), IBM, The Options Group NYC, Quaker Oats, Credit Suisse, Morgan Stanley and Falcon Asset Management. David also served on the board of directors for Lehman Brothers Financial Products and Lehman Brothers Derivative Products, before his retirement in 2006. His leisure time interests included playing the violin, photography and woodworking.

David married Judith Ellen Simonson in 1964 in Elkhart, IN. She survives with their 3 children Kelley D. (Charles) Allen, Michael D. (Jennifer Bodine) Heath and Susan K. Heath; four grandchildren Aaron Kelly, Jordan Heath, Fletcher Heath and Caleb Heath; and a sister Janet Heath.

The family is having a private memorial service. Donations in his memory can be made to the Alzheimer's Association.