Kenneth C. Abbott, Instructor since 2004. Ken Abbott is a Managing Director and Chief Risk Officer for the Americas at Barclays, a major global financial services provider. He was recently Chief Operating Officer (COO) for all Firm Risk at Morgan Stanley where he worked for over nine years. There he covered Commodities, Rates, FX, Retail and Emerging Markets businesses, and was CRO for Morgan Stanley’s buy-side activity. He became the COO for Market Risk in January 2008 and assumed the role of Chief Operating Officer for all of Firm Risk in May 2011.
Ken Abbott spent 14 years at Bankers Trust in a number of trading, research and risk management roles. He also spent over 5 years at Bank of America in several senior Market Risk Management roles. He currently sits on the Boards of the New Jersey Scholars Program, the Harvard Club of New Jersey, and CGU’s Financial Engineering Program, where he has recently been appointed as a Senior Fellow.
Ken Abbott has a Bachelor of Arts in Economics from Harvard University; a Master of Arts in Economics and Master of Science in Statistics and Operations Research from New York University. He is an avid musician, playing clarinet, saxophone, oboe, English horn, and tuba.
Leif Andersen, Instructor since 2004. Industry adviser to the program since 2016. Leif B. G. Andersen is the Global Co-Head of The Quantitative Strategies Group at Bank of America Merrill Lynch. He holds MSc's in Electrical and Mechanical Engineering from the Technical University of Denmark, an MBA from University of California at Berkeley, and a PhD in Finance from University of Aarhus Business School. He was the co-recipient of Risk Magazine’s 2001 Quant of the Year Award, and has worked for more than 20 years as a quantitative researcher in the derivatives pricing area. He has authored influential research papers and books in all areas of quantitative finance, including the three-volume monograph ``Interest Rate Modelling’’ (co-authored with Vladimir Piterbarg). He is an Associate Editor of Journal of Computational Finance.
Farshid M. Asl, Ph.D, Instructor since 2005. Managing Director, Investment Management Division, Goldman Sachs, Farshid is currently the head of the Strategic and Quantitative Asset Allocation in the Investment Strategy Group, where he is responsible for the quantitative modeling and analysis of tactical views and strategic asset allocations. Previously, he spent two years as a strategist in the Fixed Income, Currency and Commodities and the Equity Divisions at Goldman Sachs, developing quantitative models for credit and volatility trading. Farshid joined Goldman Sachs in 2006 and was named managing director in 2011. Prior to joining Goldman Sachs, Farshid was a senior vice president of Risk Analytics at GMAC, where he focused on strategic direction and leadership in the development and operations of the risk management systems and processes for GM, GMAC and GM Asset Management. Farshid has been a program fellow and adjunct professor at Courant Institute of Mathematical Sciences at New York University since 2005. He has published various papers in quantitative journals and presented at conferences and has led a number of workshops in quantitative trading. Farshid earned a PhD in Stochastic Optimal Control and an MS in Financial Engineering from the University of Michigan in 2002. He is the recipient of the 2005 Carl T. Humphrey Memorial Alumni Award from Villanova University.
Marco M. Avellaneda, Professor of Mathematics and Director of the Division of Financial Mathematics, Organizer of Math Finance Seminar Series. Instructor since 1998. B.S., Buenos Aires, 1981, Ph.D. University of Minnesota 1985. Marco's research centers around quantitative trading strategies and financial models. He has published in mathematical finance and applied mathematics, including volatility modeling, the design of composite materials and hydrodynamic turbulence. He was a V.P. at Morgan Stanley in 1997 and 1998 in the Derivatives Products Group; Portfolio Manager at Capital Fund Management, where he created the Nimbus Fund 2004; Portfolio Manager at a major New York hedge fund where he ran Statistical Arbitrage 2006 to 2008; Partner at Finance Concepts LLC, a risk management consultancy with offices in New York and Paris 2003 to present ; Editor of journals Quantitative Finance, International Journal of Theoretical and Applied Finance, where he was editor in chief from 1998 to 2003; Managing editor of the International Journal of Theoretical and Applied Finance; Associate editor of Communications in Pure and Applied Mathematics and Mathematical Methods in Applied Sciences. Marco is the author of the textbook ''Quantitative Modeling of Derivative Securities: From Theory to Practice," and edited the collection "Quantitative Analysis in Financial Markets, Vols I - III." Marco wasnamed Quant of the Year 2010 by Risk Magazine.
Jerome Benveniste, Instructor since 2015. Jerome Benveniste was a member of the Quantitative Trading Group at Highbridge Capital Management, LLC for twelve years, the last six as Portfolio Manager and Managing Director. He was involved in nearly every aspect of Highbridge’s quantitative business, including forecast generation, risk modeling, transaction cost modeling, and optimization. Before joining Highbridge, he was a mathematician working in the areas of differential geometry, Lie theory, and ergodic theory, and was on the faculties of Stanford and Case Western Reserve Universities. Jerome holds an A. B. from Harvard University and a Ph. D. from the University of Chicago, both in mathematics.
Sebastien Bossu, Instructor since 2017. Sébastien Bossu is Principal at Ogee Group LLC in New York where he runs his startup hedge fund focused on macro option strategies, and serves as adjunct professor at NYU Courant and The Johns Hopkins Carey Business School (Baltimore). He has ten years’ experience in banking and the financial industry and worked at institutions such as J.P. Morgan, Dresdner Kleinwort and Goldman Sachs. An expert in financial derivatives, Sébastien has published several papers and textbooks in his field and is a regular speaker at international conferences. He is a graduate from The University of Chicago, HEC Paris, Columbia University and Université Pierre et Marie Curie.
Paul Bourgade, Associate Professor of Mathematics and Chair of Financial Mathematics M.S. Program. Paul earned his Ph.D. in Mathematics from Université Paris 6, France, in 2009. He received an M.S. in Probability from Université Paris 6, France, and an M.S. in Computer Science from Computer Science, Telecom Paris, France, in 2007. He received his B.S. in Mathematics and Physics, École Polytechnique, France, in 2006. His research lies in probability theory (random matrices, stochastic analysis) and its connections with other domains of mathematics like partial differential equations.
Bruno Dupire, Instructor since 2005. After having headed derivatives research teams at Societe Generale, Paribas and Nikko FP, Bruno joined Bloomberg in New York in 2004 to develop advanced analytics. He is best known for his work on volatility modelling, including the Local Volatility Model (1993), simplest extension of the Black-Scholes-Merton model to fit all option prices, and subsequent results on stochastic volatility and volatility derivatives. He was included in December 2002 in the Risk magazine "Hall of Fame" of the 50 most influential people in the history of derivatives. He is the recipient of the 2006 "Cutting edge research" Wilmott award and was voted in 2006 the most important derivatives practitioner of the past 5 years in the ICBI Global Derivatives industry survey.
Travis Fisher, Instructor since 2016.
Eran Fishler, Instructor since 2008. Eran is the Chief Operating Office of Pragma Securities, which he joined 2007. He leads the technology and research teams in developing new and innovative algorithmic trading products and services. Previously, Eran worked at Hite Capital Management. Eran holds a Ph.D. in Electrical Engineering from Israel's Tel Aviv University, and an MBA from the Stern School of Business at New York University. Eran is an expert in the field of parameter estimation and detection theory and has published over 40 technical papers in the area of statistical signal processing.
Bjorn Flesaker, Instructor since 2007. Bjorn Flesaker is Director of Quantitative Research, Fixed Income, for Lord Abbett & Co. LLC, where he is responsible for developing quantitative models and techniques to conduct portfolio risk analysis and security valuation for their fixed-income portfolios. Mr. Flesaker joined Lord Abbett & Co. LLC in 2017. His prior experience includes serving as Managing Director, Head of Quantitative Research at Prudential Fixed Income. Previously, he worked in fixed income R&D and business management at Bloomberg L.P., and he managed derivatives oriented quant groups for several institutions, including Morgan Stanley, Bear Stearns, UBS Securities and Merrill Lynch. He currently serves as Managing Editor of the International Journal of Theoretical and Applied Finance. He earned a Master of Management degree in finance from BI Norwegian Business School and a Ph.D. in finance from the University of California, Berkeley.
Samim Ghamami, Instructor since 2015. Samim Ghamami is currently a senior economist at the Office of Financial Research within the US Department of the Treasury. He is also an adjunct professor of mathematical finance at NYU's Courant Institute of Mathematical Sciences and a senior researcher at UC Berkeley Center for Risk Management Research. Samim obtained his Ph.D. in Operations Research and Mathematical Finance from the University of Southern California in 2009. His work has broadly focused on finance, risk management, and stochastic modeling. Samim has been an economist at the Board of Governors of the Federal Reserve System, an advisor to the Basel Committee on Banking Supervision, a visiting scholar at the Department of Economics at UC Berkeley, a senior quantitative researcher at MSCI, a quantitative analyst at Barclays Capital in New York, an adjunct faculty member of USC, and a post-doctoral researcher at CREATE Homeland Security Center. His publications have appeared in various journals including the Journal of Applied Probability, Mathematics of Operations Research, Journal of Credit Risk, Journal of Derivatives, Probability in the Engineering and Informational Sciences, Quantitative Finance, and the international Journal of Financial Engineering.
Jonathan B. Goodman, Professor of Mathematics; Founding Chair of the Committee on Mathematics in Finance; Instructor since 2000. Jonathan earned his Ph.D. in 1982 from Stanford University, specializing in computational and applied mathematics. His research interests have ranged from the mathematical theory of shock waves to innovative Monte Carlo methods in quantum chemistry. His private consulting has included work on computational methods in finance for Morgan Stanley & Co. and NumeriX.
Julien Guyon, Instructor since 2015. Julien Guyon is a senior quantitative analyst in the Quantitative Research group at Bloomberg L.P., New York. He is also an adjunct professor at Columbia University. Before joining Bloomberg, Julien worked in the Global Markets Quantitative Research team at Societe Generale in Paris for six years (2006-2012). He co-authored the book Nonlinear Option Pricing (Chapman & Hall, CRC Financial Mathematics Series, 2014) with Pierre Henry-Labordere. Julien holds a Ph.D. in Probability Theory and Statistics from Ecole des ponts (Paris). He graduated from Ecole Polytechnique (Paris), Universite Paris 6, and Ecole des ponts. He was also an adjunct professor at Universite Paris 7 and Ecole des ponts. His main research interests include nonlinear option pricing, volatility and correlation modeling, and numerical probabilistic methods.
A big football fan, Julien has also developed a strong interest in sports analytics, and has published several articles on the FIFA World Cup, the UEFA Champions League, and the UEFA Euro in top-tier newspapers such as The New York Times, Le Monde, and El Pais, including a new, fairer draw method for the FIFA World Cup.
Alireza Javaheri, Instructor since 2011, is the Head of Equities Quantitative Research Americas at J.P. Morgan. He has been working since 1994 in the field of derivatives quantitative analysis in various investment banks including Goldman Sachs and Citigroup. He holds an M.Sc. in Electrical Engineering from Massachusetts Institute of Technology and a Ph.D. in Finance from Ecole des Mines de Paris. He is also a CFA charter holder. He has authored several quantitative finance papers on the subject of volatility, including articles with Peter Carr, Paul Wilmott and Espen Haug. His book "Inside Volatility Arbitrage" was elected the quantitative finance book of the year by Wilmott magazine.
Robert V. Kohn, Professor of Mathematics; Chair of the Committee on Mathematics in Finance (2003-2006 and 2009-2011); Instructor since 1998. Bob received his Ph.D. from Princeton University in 1979. His research interests include materials science, nonlinear partial differential equations, inverse problems and optimization as well as finance.
Petter N. Kolm, Clinical Professor of Mathematics since 2007; Director of the Mathematics in Finance M.S. Program. Petter's research interests include quantitative trading strategies, delegated portfolio management, financial econometrics, risk management, and optimal portfolio strategies. He is a member of the editorial board of the Journal of Portfolio Management. Previously, Petter worked in the Quantitative Strategies Group at Goldman Sachs Asset Management where his responsibilities included researching and developing new quantitative investment strategies for the group's hedge fund. Petter coauthored the books Financial Modeling of the Equity Market: From CAPM to Cointegration (Wiley, 2006), Trends in Quantitative Finance (CFA Research Institute, 2006), and Robust Portfolio Management and Optimization (Wiley, 2007). He holds a doctorate in mathematics from Yale University, an M.Phil. in applied mathematics from the Royal Institute of Technology in Stockholm, and an M.S. in mathematics from ETH Zurich.
Alexey Kuptsov, Instructor since 2009.
Yadong Li, Instructor since 2015. Yadong Li is currently the head of Trading Book Risk modeling team in Quantitative Analytics of Barclays. Previously he held leadership roles in various areas of quantitative modeling in Lehman and Barclays, including Credit Correlation, Emerging Market Credit, Basel 2.5 Market Risk and Basel 3 Counterparty Exposure Risk etc. His current research interests are in Risk and regulatory capital modeling, including stress testing, CCAR, FRTB, back-testing, risk capital allocation and optimization etc. Yadong held a Ph.D. in Physics and a MS in Computer Sciences from Wisconsin-Madison, and a Master in Financial Engineering degree from UC-Berkeley.
Bryan Liang, Instructor since 2016. Bryan Liang is a Senior Quant Researcher, Bloomberg LP. Bryan Liang joined the Bloomberg quant research team in 2011. He has been working extensively on various aspects of derivatives modelling, including pricing, hedging, risk management, structuring, market making, trading strategies and parallel computing. One of particular themes of his recent work is the proper use of derivatives, an effort trying to bring derivatives back to their initial economic purposes and aiming to align product to problem. Before joining Bloomberg, He worked for derivatives analysis group at Goldman Sachs, covering interest rate derivatives modelling. Bryan received his Ph.D. in mathematics from University of Michigan and taught math at Northwestern University and UC Davis before he moved to finance.
Alexander Lipton, Instructor since 2016. Alexander Lipton is Connection Science fellow at MIT Media Lab, adjunct professor of mathematics at NYU Courant Institute, and an advisory board member at the Oxford-Man Institute.
In the end of May, he departed as a managing director, quantitative solutions executive, from Bank of America where he served for ten years. Prior to this role, he was a managing director, co-head of the Global Quantitative Group at Bank of America Merrill Lynch. Earlier, he was a managing director and head of Capital Structure Quantitative Research at Citadel Investment Group in Chicago; he has also worked for Credit Suisse, Deutsche Bank and Bankers Trust. While working full time as a banker, Alex held several prestigious academic appointments, including visiting professor of quantitative finance at Oxford University, visiting professor of mathematics at Imperial College London, and visiting professor of mathematics at the University of Illinois. Before switching to finance, Alex was a full professor of Mathematics at the University of Illinois and a consultant at Los Alamos National Laboratory. He received his undergraduate and graduate degrees in pure mathematics from Moscow State University.
His current professional interests include holistic risk management, FinTech, including distributed ledger and other applications of cryptography in banking and payment systems, etc. His scientific interests are centered on quantitative development of modern monetary circuit theory, mechanisms of money creation, interlinked banking networks, etc.
In 2000 Alex was awarded the first Quant of the Year Award by Risk Magazine. Alex is the author of two books (Magnetohydrodynamics and Spectral Theory and Mathematical Methods for Foreign Exchange) and the editor of five more, including, most recently, Quant of the Year 2000-2014, All Award Winning Papers. He has published more than a hundred papers on hydrodynamics, magnetohydrodynamics, astrophysics, chemical physics, and financial engineering. Alex is a founding patron of The 14-10 Club at the Royal Institution (jointly with David Harding). Alex is an avid collector of military optics and is currently working on a book on the history of military binoculars.
Wujiang Luo, Instructor since 2017. Wujiang Lou is a director trader with HSBC‘s global fixed income, currently specializing in structured repo and HY credit trading. Lou joined HSBC in 2006 as a lead quant from Morgan Stanley’s structured credit trading unit and has since moved to the trading side. He headed the US structured finance trading of the global structured credit products during the financial crisis until the legacy business was substantially unwound. Having painstakingly managed large short term funding books during the crisis, Lou is among the first to recognize asymmetric funding cost into derivatives pricing and funding valuation adjustment (FVA). Leveraging his frontline experience of managing counterparty risk, funding and capital, Lou has conducted independent research on derivatives pricing under funding, margin, collateral and capital costs, and has published multiple technical articles in Risk magazine covering credit, funding, margin, and capital valuation adjustments -- CVA, FVA, MVA, and KVA. His other research interests cover structured products, asset-backed security valuation, and repo pricing.
Lou is a "rocket scientist" by training, holding a Ph.D. in aircraft design from Nanjing University of Aeronautics and Astronautics with publications in aerodynamics, and later studied light scattering and combustion physics at Louisiana State University.
Lee Maclin, Instructor since 2000. Lee has over twenty years of experience on Wall Street and has worked and consulted for some of its largest and best known firms. Since 1991, Lee has worked primarily in the trading and investment management fields, specializing in the application of statistical methods, modeling, and high frequency simulation. From 1993 to 1997, Lee ran a quantitative trading department for Mint Investment Management, which, at the time, was one of the largest commodity trading advisors in the world. In 2002, Lee was one of the founding partners of Pragma Financial Systems and, for the next six years, served as its Director of Research. At Pragma, Lee's work focused on the development of optimal execution and dynamic portfolio management tools. He is a frequent speaker on the topic of algorithmic trading and computational finance.
Fabio Mercurio, Instructor in 2011. Fabio is global head of Quantitative Analytics at Bloomberg LP, New York. His team is responsible for the research on and implementation of cross-asset analytics for derivatives pricing, XVA valuations and credit and risk management. Fabio has jointly authored the book 'Interest rate models: theory and practice' and published extensively in books and international journals, including 16 cutting-edge articles in Risk Magazine. Fabio holds a BSc in Applied Mathematics from the University of Padua, Italy, and a PhD in Mathematical Finance from the Erasmus University of Rotterdam, The Netherlands.
Robert Reider, Instructor since 2007. Robert is a Portfolio Manager for Millennium Partners, a multistrategy hedge fund, where he develops and trades various quantitative equity strategies. Prior to that, he was Vice President at J.P. Morgan in the Foreign Exchange Options group (1994-1997) and the Proprietary Trading group (1997-2000). He holds a Ph.D. in Finance from the Wharton School and a BS and MS in Systems Engineering from the University of Pennsylvania.
Gordon Ritter, Instructor since 2013. Gordon Ritter completed his PhD in mathematical physics at Harvard University in 2007, where he published in top international journals across the fields of quantum computation, quantum field theory, and abstract algebra. Prior to that he earned his Bachelor's degree with honours in Mathematics from the University of Chicago, completing many graduate courses while still an undergraduate. Gordon is currently a senior portfolio manager and leader of a team trading a broad range of market-neutral absolute return strategies across geographies and asset classes. Gordon is also responsible for directing all research in GSA's New York office. GSA has won the Equity Market Neutral & Quantitative Strategies category at the Eurohedge awards four times, with numerous other awards. Prior to joining GSA, Gordon was a Vice President of Highbridge Capital Management and a core member of the firm's statistical arbitrage group. Concurrently with his positions in industry, Gordon teaches at three of the nation's leading MFE programs, including Baruch College and NYU (both ranked in the top 5 MFE programs). He has published several articles on portfolio optimization in Risk, the most widely-read practitioner journal, and is frequently invited to speak at the top industry conferences, such as Risk USA and Global Derivatives.
Rodney Sunada-Wong, Instructor since 2014. Rodney Sunada-Wong is the Chief Risk Officer for Morgan Stanley’s U.S. Broker Dealer, it’s major U.S. Swap Dealers and its Mexican Swap Dealer. He teaches a grad-level course in Corporate Finance at Columbia University’s IEOR school, and in Modeling Securitized Products at NYU’s Courant Institute. Previously, he oversaw market risk for Morgan Stanley’s deposit-taking banks, and the Wealth Management and Global Treasury divisions, and before that, for Merrill Lynch’s deposit-taking banks. Mr. Sunada-Wong began his risk management career at Commodities Corporation (Goldman Sachs Hedge Fund Strategies) and at Bankers Trust. He received his MBA in Finance from Cornell University’s Johnson Graduate School of Management, and his AB from Harvard College.
Glen Swindle, Instructor since 2009. Glen is the Managing Partner and co-founder of Scoville Risk Partners, a global professional services firm focused on the energy and commodities sectors. Glen has held senior positions at Constellation Energy, where he ran the Strategies Group for the merchant energy business, and at Credit Suisse, where, as Managing Director and Co-Head of Power and Natural Gas Trading, he ran structured trading teams responsible for significant aspects of the North American energy business. Previously he held tenured positions at UCSB and Cornell University. He currently holds an adjunct faculty position at New York University where he lectures on energy valuation and portfolio management. He is also on the Energy Oversight Committee for GARP's Energy Risk Professional Program and is a frequent speaker at panel discussions and webinars. Glen is the author of Valuation and Risk Management in Energy Markets (Cambridge University Press, 2014). He holds a Ph.D. in Applied Mathematics from Cornell University, an M.S.E. in Mechanical Aerospace Engineering from Princeton, and a B.S. in Mechanical Engineering from Caltech.
Leon Tatevossian, Instructor since 2009. Leon Tatevossian was a director in Group Risk Management at RBC Capital Markets, LLC, where worked from 2009 to 2016. At RBC he covered market risk for asset-backed security (ABS) and commercial mortgage-backed security (CMBS) trading. Leon has twenty-eight years of experience in the fixed-income capital markets, including positions as a trader, quantitative strategist, derivatives modeler, and market-risk analyst. In 2006-07, he was a principal and senior trader in the MBS/ABS principal-investment group at Banc of America Securities. Leon's product background includes US Treasury securities, US agency securities, interest-rate derivatives, MBSs, and credit derivatives. He graduated from MIT (SB, mathematics) and was a graduate student in mathematics (algebraic number theory) at Brown University.