Francis Longstaff
Encyclopedia
Francis A. Longstaff is the Allstate
Professor of Insurance and Finance at the Anderson School of Management, University of California, Los Angeles
, and the current Finance Area Chair.
His research focuses on fixed income
markets, term structure, derivatives
, credit risk
, computational finance
and the role of arbitrage
in financial markets. He is known for the Longstaff–Schwartz model a multi-factor short-rate model, and the Longstaff-Schwartz method for valuing American options by Monte Carlo Simulation. He has published over 50 research and practitioner articles, and is a recipient of the Michael Brennan Award
.
He was head of Fixed Income Derivative Research at Salomon Brothers
from 1995 to 1998, and worked in the research department of the Chicago Board of Trade
and for Deloitte and Touche as a management consultant. He is a Research Associate in the National Bureau of Economic Research
Asset Pricing Program.
He received his Ph.D.
in Finance from the Graduate School of Business at the University of Chicago
. He is a Certified Public Accountant
(CPA) and holds the Chartered Financial Analyst
(CFA) designation.
Allstate
The Allstate Corporation is the second-largest personal lines insurer in the United States and the largest that is publicly held. The company also has personal lines insurance operations in Canada. Allstate was founded in 1931 as part of Sears, Roebuck and Co., and was spun off in 1993...
Professor of Insurance and Finance at the Anderson School of Management, University of California, Los Angeles
University of California, Los Angeles
The University of California, Los Angeles is a public research university located in the Westwood neighborhood of Los Angeles, California, USA. It was founded in 1919 as the "Southern Branch" of the University of California and is the second oldest of the ten campuses...
, and the current Finance Area Chair.
His research focuses on fixed income
Fixed income
Fixed income refers to any type of investment that is not equity, which obligates the borrower/issuer to make payments on a fixed schedule, even if the number of the payments may be variable....
markets, term structure, derivatives
Derivative (finance)
A derivative instrument is a contract between two parties that specifies conditions—in particular, dates and the resulting values of the underlying variables—under which payments, or payoffs, are to be made between the parties.Under U.S...
, credit risk
Credit risk
Credit risk is an investor's risk of loss arising from a borrower who does not make payments as promised. Such an event is called a default. Other terms for credit risk are default risk and counterparty risk....
, computational finance
Computational finance
Computational finance, also called financial engineering, is a cross-disciplinary field which relies on computational intelligence, mathematical finance, numerical methods and computer simulations to make trading, hedging and investment decisions, as well as facilitating the risk management of...
and the role of arbitrage
Arbitrage
In economics and finance, arbitrage is the practice of taking advantage of a price difference between two or more markets: striking a combination of matching deals that capitalize upon the imbalance, the profit being the difference between the market prices...
in financial markets. He is known for the Longstaff–Schwartz model a multi-factor short-rate model, and the Longstaff-Schwartz method for valuing American options by Monte Carlo Simulation. He has published over 50 research and practitioner articles, and is a recipient of the Michael Brennan Award
Michael Brennan Award
The BlackRock Michael Brennan Award is an annual prize given to authors in recognition of important finance research papers published in the Review of Financial Studies . It is given annually to the best paper published in The Review of Financial Studies...
.
He was head of Fixed Income Derivative Research at Salomon Brothers
Salomon Brothers
Salomon Brothers was a bulge bracket, Wall Street investment bank. Founded in 1910 by three brothers along with a clerk named Ben Levy, it remained a partnership until the early 1980s, when it was acquired by the commodity trading firm Phibro Corporation and then became Salomon Inc. Eventually...
from 1995 to 1998, and worked in the research department of the Chicago Board of Trade
Chicago Board of Trade
The Chicago Board of Trade , established in 1848, is the world's oldest futures and options exchange. More than 50 different options and futures contracts are traded by over 3,600 CBOT members through open outcry and eTrading. Volumes at the exchange in 2003 were a record breaking 454 million...
and for Deloitte and Touche as a management consultant. He is a Research Associate in the National Bureau of Economic Research
National Bureau of Economic Research
The National Bureau of Economic Research is an American private nonprofit research organization "committed to undertaking and disseminating unbiased economic research among public policymakers, business professionals, and the academic community." The NBER is well known for providing start and end...
Asset Pricing Program.
He received his Ph.D.
Ph.D.
A Ph.D. is a Doctor of Philosophy, an academic degree.Ph.D. may also refer to:* Ph.D. , a 1980s British group*Piled Higher and Deeper, a web comic strip*PhD: Phantasy Degree, a Korean comic series* PhD Docbook renderer, an XML renderer...
in Finance from the Graduate School of Business at the University of Chicago
University of Chicago
The University of Chicago is a private research university in Chicago, Illinois, USA. It was founded by the American Baptist Education Society with a donation from oil magnate and philanthropist John D. Rockefeller and incorporated in 1890...
. He is a Certified Public Accountant
Certified Public Accountant
Certified Public Accountant is the statutory title of qualified accountants in the United States who have passed the Uniform Certified Public Accountant Examination and have met additional state education and experience requirements for certification as a CPA...
(CPA) and holds the Chartered Financial Analyst
Chartered Financial Analyst
The Chartered Financial Analyst Program is a graduate level self-study program offered by the CFA Institute to investment and financial professionals...
(CFA) designation.