List of quantitative analysts
Encyclopedia
This is a list of notable quantitative analyst
s (by surname); see also :Category:Financial economists.
Quantitative analyst
A quantitative analyst is a person who works in finance using numerical or quantitative techniques. Similar work is done in most other modern industries, but the work is not always called quantitative analysis...
s (by surname); see also :Category:Financial economists.
Pioneers
- Kenneth ArrowKenneth ArrowKenneth Joseph Arrow is an American economist and joint winner of the Nobel Memorial Prize in Economics with John Hicks in 1972. To date, he is the youngest person to have received this award, at 51....
, (born August 23, 1921), American economist, Social choice theorySocial choice theorySocial choice theory is a theoretical framework for measuring individual interests, values, or welfares as an aggregate towards collective decision. A non-theoretical example of a collective decision is passing a set of laws under a constitution. Social choice theory dates from Condorcet's... - Louis BachelierLouis Bachelier-External links:** Louis Bachelier webpage at the Université de Franche-Comté, Besançon / France. Text in French.** also from Index Funds Advisors, this discussion of...
, (1870-1946), French mathematician, Pioneer of financial mathematics - Fischer BlackFischer BlackFischer Sheffey Black was an American economist, best known as one of the authors of the famous Black–Scholes equation.-Background:...
, (January 11, 1938 – August 30, 1995), American economist, famous for Black–Scholes equation. - Michael BrennanMichael Brennan (finance)Michael J. Brennan is emeritus professor of finance at the UCLA Anderson School of Management. Brennan co-designed the Brennan-Schwartz interest rate model and was a pioneer of real options theory...
, co-designed the Brennan-Schwartz interest rate model. - John Carrington Cox, one of the inventors of the Cox-Ross-Rubinstein model.
- Emanuel DermanEmanuel DermanEmanuel Derman is a South African-born academic, businessman and writer. He is best known as a quantitative analyst, and author of the book My Life as A Quant: Reflections on Physics and Finance....
, co-author of Black-Derman-Toy model. - Richard A. EpsteinRichard A. EpsteinRichard Arnold Epstein , also known under the pseudonym E. P. Stein, is a notable American game theorist.-Education:...
, (born March 5, 1927 -), notable American game theorist. - Eugene FamaEugene FamaEugene Francis "Gene" Fama is an American economist, known for his work on portfolio theory and asset pricing, both theoretical and empirical. He is currently Robert R...
, (born February 14, 1939) American economist, work on portfolio theory and asset pricing. - Victor GlushkovVictor GlushkovVictor Glushkov was the founding father of information technology in the Soviet Union , and one of the founders of Cybernetics....
, (August 24, 1923 – January 30, 1982), founding father of information theory in the Soviet Union - Benjamin GrahamBenjamin GrahamBenjamin Graham was an American economist and professional investor. Graham is considered the first proponent of value investing, an investment approach he began teaching at Columbia Business School in 1928 and subsequently refined with David Dodd through various editions of their famous book...
, (May 8, 1894 – September 21, 1976) American economist and professional investor and first proponent of value investingValue investingValue investing is an investment paradigm that derives from the ideas on investment and speculation that Ben Graham and David Dodd began teaching at Columbia Business School in 1928 and subsequently developed in their 1934 text Security Analysis...
. - Myron J. GordonMyron J. GordonMyron J. Gordon was an American economist. He was Professor Emeritus of Finance at Rotman School of Management of the University of Toronto. In 1959, Gordon published a method for valuing a stock or business, now known as Gordon growth model.Gordon held a B.A. from the University of...
, (October 15, 1920 - July 5, 2010) American economist; noted for Gordon model. - Robert Arthur HaugenRobert HaugenRobert Arthur Haugen is a renowned professor of theoretical finance. He is currently retired from academics and is the president of Haugen Custom Financial Systems....
, (born June 26, 1942, Chicago, Illinois),first academic article on the nature and power of the expected return factor model. - Thomas HoThomas Ho (finance)Thomas Ho is a finance consultant, practitioner and academic. He is best known as developer of the Ho-Lee short rate model, the first arbitrage-free model of that type, and of key rate durations, a widely used interest rate risk measure...
, author of the Ho–Lee model. - John C. Hull, noted for the Hull-White modelHull-White modelIn financial mathematics, the Hull–White model is a model of future interest rates. In its most generic formulation, it belongs to the class of no-arbitrage models that are able to fit today's term structure of interest rates...
. - Jonathan E. IngersollJonathan E. IngersollJonathan Edwards "Jon" Ingersoll, Jr. is an American economist. He is currently the Adrian C. Israel Professor at Yale School of Management, having previously taught at the University of Chicago....
, one of the authors of the Cox–Ingersoll–Ross model of the yield curveYield curveIn finance, the yield curve is the relation between the interest rate and the time to maturity, known as the "term", of the debt for a given borrower in a given currency. For example, the U.S. dollar interest rates paid on U.S...
. - Kiyoshi ItōKiyoshi Itowas a Japanese mathematician whose work is now called Itō calculus. The basic concept of this calculus is the Itō integral, and among the most important results is Itō's lemma. The Itō calculus facilitates mathematical understanding of random events...
, (September 7, 1915 – November, 10 2008) was a Japanese mathematician whose work is now called Itō calculusIto calculusItō calculus, named after Kiyoshi Itō, extends the methods of calculus to stochastic processes such as Brownian motion . It has important applications in mathematical finance and stochastic differential equations....
. - Robert A. JarrowRobert A. JarrowRobert Alan Jarrow is the Ronald P. and Susan E. Lynch Professor of Investment Management at the Johnson Graduate School of Management, Cornell University...
, a co-creator of the Heath–Jarrow–Morton framework for pricing interest rate derivatives. - John Kelly, (1923 – 1965),American, Bell Labs scientist, best known for formulating the Kelly criterionKelly criterionIn probability theory, the Kelly criterion, or Kelly strategy or Kelly formula, or Kelly bet, is a formula used to determine the optimal size of a series of bets. In most gambling scenarios, and some investing scenarios under some simplifying assumptions, the Kelly strategy will do better than any...
. - Martin L. Leibowitz, developed dedicated portfolio theoryDedicated Portfolio TheoryDedicated Portfolio Theory, in finance, deals with the characteristics and features of a portfolio built to generate a predictable stream of future cash inflows...
. - Francis LongstaffFrancis LongstaffFrancis 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....
, known for the Longstaff-Schwartz interest rate model. - Harry MarkowitzHarry MarkowitzHarry Max Markowitz is an American economist and a recipient of the John von Neumann Theory Prize and the Nobel Memorial Prize in Economic Sciences....
, (born August 24, 1927), American economist, Nobel Memorial Prize in Economic SciencesNobel Memorial Prize in Economic SciencesThe Nobel Memorial Prize in Economic Sciences, commonly referred to as the Nobel Prize in Economics, but officially the Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel , is an award for outstanding contributions to the field of economics, generally regarded as one of the...
. Pioneering work in Modern Portfolio TheoryModern portfolio theoryModern portfolio theory is a theory of investment which attempts to maximize portfolio expected return for a given amount of portfolio risk, or equivalently minimize risk for a given level of expected return, by carefully choosing the proportions of various assets...
. - Benoît MandelbrotBenoît MandelbrotBenoît B. Mandelbrot was a French American mathematician. Born in Poland, he moved to France with his family when he was a child...
, (20 November 1924 – 14 October 2010) was a French American mathematician, the father of fractal geometry. - Robert C. MertonRobert C. MertonRobert Carhart Merton is an American economist, Nobel laureate in Economics, and professor at the MIT Sloan School of Management.-Biography:...
, (born 31 July 1944), American economist, and Nobel laureate in economics. - John Von NeumannJohn von NeumannJohn von Neumann was a Hungarian-American mathematician and polymath who made major contributions to a vast number of fields, including set theory, functional analysis, quantum mechanics, ergodic theory, geometry, fluid dynamics, economics and game theory, computer science, numerical analysis,...
, (December 28, 1903 – February 8, 1957), Hungarian American mathematician made major contributions to a vast range of fields - Victor NiederhofferVictor NiederhofferVictor Niederhoffer is a hedge fund manager, champion squash player, bestselling author and statistician.Victor Niderhoffer was born in Brooklyn to a Jewish family. His father, Arthur, graduated from Brooklyn Law School but went to work in the police. Victor’s mother, Elaine was a teacher....
, (born December 10, 1943), American, the father of Statistical arbitrageStatistical arbitrageIn the world of finance and investments, statistical arbitrage is used in two related but distinct ways:* In academic literature, "statistical arbitrage" is opposed to arbitrage. In deterministic arbitrage, a sure profit can be obtained from being long some securities and short others...
and of Market microstructureMarket microstructureMarket microstructure is a branch of finance concerned with the details of how exchange occurs in markets. While the theory of market microstructure applies to the exchange of real or financial assets, more evidence is available on the microstructure of financial markets due to the availability of...
studies. - Stephen RossStephen Ross (economist)Stephen Alan "Steve" Ross is the inaugural Franco Modigliani Professor of Financial Economics at the MIT Sloan School of Management. He is known for initiating several important theories and models in financial economics...
, American, known for initiating several important theories and models in financial economicsFinancial economicsFinancial Economics is the branch of economics concerned with "the allocation and deployment of economic resources, both spatially and across time, in an uncertain environment"....
. - Mark RubinsteinMark RubinsteinMark Edward Rubinstein is a leading financial economist and financial engineer. He is currently Professor of Finance at the Haas School of Business of the University of California, Berkeley, where he is involved in teaching courses in the , an academic program that is focused on equipping...
, American, a senior academic in the field of financeFinance"Finance" is often defined simply as the management of money or “funds” management Modern finance, however, is a family of business activity that includes the origination, marketing, and management of cash and money surrogates through a variety of capital accounts, instruments, and markets created...
, focusing on derivativeDerivative (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...
s, particularly optionOption (finance)In finance, an option is a derivative financial instrument that specifies a contract between two parties for a future transaction on an asset at a reference price. The buyer of the option gains the right, but not the obligation, to engage in that transaction, while the seller incurs the...
s. - Myron ScholesMyron ScholesMyron Samuel Scholes is a Canadian-born American financial economist who is best known as one of the authors of the Black–Scholes equation. In 1997 he was awarded the Nobel Memorial Prize in Economic Sciences for a method to determine the value of derivatives...
, (born July 1, 1941), Canadian-American, financial economist who is best known as one of the authors of the Black–Scholes equation. - Eduardo SchwartzEduardo SchwartzEduardo Saul Schwartz is a professor of finance at the Anderson School of Management, University of California, Los Angeles, where he holds the California Chair in Real Estate & Land Economics...
, American, pioneering research in the real options method of pricing investments under uncertaintyUncertaintyUncertainty is a term used in subtly different ways in a number of fields, including physics, philosophy, statistics, economics, finance, insurance, psychology, sociology, engineering, and information science...
. - Claude Shannon, (April 30, 1916 – February 24, 2001), American, mathematician, electronic engineer, and cryptographer known as "the father of Information TheoryInformation theoryInformation theory is a branch of applied mathematics and electrical engineering involving the quantification of information. Information theory was developed by Claude E. Shannon to find fundamental limits on signal processing operations such as compressing data and on reliably storing and...
". - William Forsyth SharpeWilliam Forsyth SharpeWilliam Forsyth Sharpe is the STANCO 25 Professor of Finance, Emeritus at Stanford University's Graduate School of Business and the winner of the 1990 Nobel Memorial Prize in Economic Sciences....
, American, (born June 16, 1934), Nobel Memorial Prize in Economic SciencesNobel Memorial Prize in Economic SciencesThe Nobel Memorial Prize in Economic Sciences, commonly referred to as the Nobel Prize in Economics, but officially the Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel , is an award for outstanding contributions to the field of economics, generally regarded as one of the...
, one of the originators of the Capital Asset Pricing Model. - George SorosGeorge SorosGeorge Soros is a Hungarian-American business magnate, investor, philosopher, and philanthropist. He is the chairman of Soros Fund Management. Soros supports progressive-liberal causes...
, Hungarian-American (born August 12, 1930), pioneered the concept of reflexivityReflexivity (social theory)Reflexivity refers to circular relationships between cause and effect. A reflexive relationship is bidirectional with both the cause and the effect affecting one another in a situation that does not render both functions causes and effects...
. - Nassim TalebNassim TalebNassim Nicholas Taleb is a Lebanese American essayist whose work focuses on problems of randomness and probability. His 2007 book The Black Swan was described in a review by Sunday Times as one of the twelve most influential books since World War II....
, Lebanese, (born 1960), considers himself less a businessman than an epistemologist of randomnessRandomnessRandomness has somewhat differing meanings as used in various fields. It also has common meanings which are connected to the notion of predictability of events....
. - ThalesThalesThales of Miletus was a pre-Socratic Greek philosopher from Miletus in Asia Minor, and one of the Seven Sages of Greece. Many, most notably Aristotle, regard him as the first philosopher in the Greek tradition...
, Greek, (c. 624 BC – c. 546 BC), one of the Seven Sages of GreeceSeven Sages of GreeceThe Seven Sages or Seven Wise Men was the title given by ancient Greek tradition to seven early 6th century BC philosophers, statesmen and law-givers who were renowned in the following centuries for their wisdom.-The Seven Sages:Traditionally, each of the seven sages represents an aspect of worldly...
, made the first recorded option trade. - Ed Thorp, American, (born August 14, 1932, Chicago), author of Beat the Dealer, the first book to mathematically prove, in 1962, that the house advantage in blackjack could be overcome by card countingCard countingCard counting is a casino card game strategy used primarily in the blackjack family of casino games to determine whether the next hand is likely to give a probable advantage to the player or to the dealer. Card counters, also known as advantage players, attempt to decrease the inherent casino house...
.
Others
- Hassan Bassam, (born 1954), Iraqi, worked heavily with Salif Neftçi on numerous models.
- Damiano BrigoDamiano BrigoDamiano Brigo is an applied mathematician, and current Gilbart Chair of Financial Mathematics at King's College, London, known for a number of results in systems theory, probability and mathematical finance.-Main results:...
, (born 1966), Italian, known for results in systems theorySystems theorySystems theory is the transdisciplinary study of systems in general, with the goal of elucidating principles that can be applied to all types of systems at all nesting levels in all fields of research...
, probabilityProbabilityProbability is ordinarily used to describe an attitude of mind towards some proposition of whose truth we arenot certain. The proposition of interest is usually of the form "Will a specific event occur?" The attitude of mind is of the form "How certain are we that the event will occur?" The...
and mathematical financeMathematical financeMathematical finance is a field of applied mathematics, concerned with financial markets. The subject has a close relationship with the discipline of financial economics, which is concerned with much of the underlying theory. Generally, mathematical finance will derive and extend the mathematical...
. - Aaron C. BrownAaron C. BrownAaron C. Brown is an American finance professor, author and quant. He wrote Red-Blooded Risk: The Secret History of Wall Street, The Poker Face of Wall Street and A World of Chance...
, (born November 27, 1956), American, known for the idea that the economics of modern global derivatives evolved from gambling. - Phelim BoylePhelim BoylePhelim Boyle , a distinguished professor and actuary, is a professor of finance in the Laurier School of Business & Economics at Wilfrid Laurier University in Canada and is a pioneer of quantitative finance. He is best known for initiating the use of Monte Carlo methods in option pricing...
, (born 1941), (Irish), initiated the use of Monte Carlo methodMonte Carlo methodMonte Carlo methods are a class of computational algorithms that rely on repeated random sampling to compute their results. Monte Carlo methods are often used in computer simulations of physical and mathematical systems...
s in option pricingOption (finance)In finance, an option is a derivative financial instrument that specifies a contract between two parties for a future transaction on an asset at a reference price. The buyer of the option gains the right, but not the obligation, to engage in that transaction, while the seller incurs the...
. - Gunduz CaginalpGunduz CaginalpGunduz Caginalp is a Turkish mathematician, currently a professor at the University of Pittsburgh.He received his PhD from Cornell University in 1978...
, (Turkish), known for work in quantitative behavioral financeQuantitative behavioral financeQuantitative behavioral finance is a new discipline that uses mathematical and statistical methodology to understand behavioral biases in conjunction with valuation. Some of this endeavor has been led by Gunduz Caginalp and collaborators including Vernon L...
. - Bill Chen, (born 1970), (American), known for work in Statistical ArbitrageStatistical arbitrageIn the world of finance and investments, statistical arbitrage is used in two related but distinct ways:* In academic literature, "statistical arbitrage" is opposed to arbitrage. In deterministic arbitrage, a sure profit can be obtained from being long some securities and short others...
. - Neil ChrissNeil ChrissNeil A. Chriss is a mathematician, academic, hedge fund manager, philanthropist and a founding board member of the charity organization "Math for America" which seeks to improve math education in the United States.-Early career:...
, American, is a mathematicianMathematicianA mathematician is a person whose primary area of study is the field of mathematics. Mathematicians are concerned with quantity, structure, space, and change....
, academic, hedge fundHedge fundA hedge fund is a private pool of capital actively managed by an investment adviser. Hedge funds are only open for investment to a limited number of accredited or qualified investors who meet criteria set by regulators. These investors can be institutions, such as pension funds, university...
manager. - Nauman Malik, Quant Analyst, Econometrician, specialized in IRD and other derivatives.
- Jakša CvitanićJakša CvitanicJakša Cvitanić is a Professor of Mathematical Finance at the California Institute of Technology. His main research interests are in mathematical finance, contract theory, stochastic control theory, and stochastic differential equations.Cvitanić has co-authored some fundamental papers on financial...
, Croation, (born February 26, 1962), Professor of Mathematical Finance at the California Institute of TechnologyCalifornia Institute of TechnologyThe California Institute of Technology is a private research university located in Pasadena, California, United States. Caltech has six academic divisions with strong emphases on science and engineering...
. - Ron DemboRon DemboRon S. Dembo is the Founder and CEO of Zerofootprint, a socially responsible enterprise whose mission is to apply technology, design and risk management to the massive reduction of our environmental footprint...
, American, President of Algorithmics IncorporatedAlgorithmics Inc.Algorithmics is a Toronto, Ontario based company founded by Ron Dembo that provides risk management software to financial institutions. Founded in 1989, Algorithmics employs over 850 people in 23 global offices, and serves more than 350 clients, including 25 of the 30 largest banks in the world,...
. - Darrell DuffieDarrell DuffieJames Darrell Duffie is a Canadian economist. He is the Dean Witter Distinguished Professor of Finance at Stanford Graduate School of Business, and has been on the finance faculty at Stanford since receiving his Ph.D. from Stanford in 1984...
, Canadian, Dean Witter Distinguished Professor of Finance at Stanford Graduate School of BusinessStanford Graduate School of BusinessThe Stanford Graduate School of Business is one of the professional schools of Stanford University, in Stanford, California and is broadly regarded as one of the best business schools in the world.The Stanford GSB offers a general management Master of Business Administration degree, the Sloan...
. - Bruno DupireBruno Dupire-Local volatility:Dupire is best known for showing how to derive a local volatility model consistent with a surface of option prices across strikes and maturities, establishing the so called Dupire's approach to local volatility for modeling the volatility smile....
, known for showing how to derive a local volatilityLocal volatilityA local volatility model, in mathematical finance and financial engineering, is one which treats volatility as a function of the current asset level S_t and of time t .-Formulation:...
model. - Frank J. FabozziFrank J. FabozziFrank J. Fabozzi is Professor of Finance at EDHEC Business School, one of Europe’s leading business schools, and a Member of . He was previously a Professor in the Practice of Finance and Becton Fellow in the Yale School of Management...
, American, Author, co-developer of the Kalotay–Williams–Fabozzi Model. - J. Doyne FarmerJ. Doyne FarmerJ. Doyne Farmer is an American physicist and entrepreneur, with interest in chaos theory and complexity. He is a professor at the Santa Fe Institute. He was also a member of Eudaemonic Enterprises.-Biography:...
, (1952 in Houston, TexasHouston, TexasHouston is the fourth-largest city in the United States, and the largest city in the state of Texas. According to the 2010 U.S. Census, the city had a population of 2.1 million people within an area of . Houston is the seat of Harris County and the economic center of , which is the ...
), American, one of the founders of the Prediction CompanyPrediction CompanyPrediction Company was founded in Santa Fe, New Mexico, USA, in March 1991 by J. Doyne Farmer, Norman Packard and James McGill. The company uses various forecasting techniques to build black-box trading systems for various financial markets...
. - Jim GatheralJim GatheralJim Gatheral is a researcher in the field of Mathematical finance, who has contributed to the study of volatility as applied to the pricing and risk management of derivatives....
, British, known for work on the volatility smileVolatility SmileIn finance, the volatility smile is a long-observed pattern in which at-the-money options tend to have lower implied volatilities than in- or out-of-the-money options. The pattern displays different characteristics for different markets and results from the probability of extreme moves...
and the volatility surface. - Kenneth C. GriffinKenneth C. GriffinKenneth C. Griffin is an American hedge fund manager. He is the founder and CEO of Citadel LLC, a Chicago-based investment firm...
, (born October 15, 1968 in Daytona Beach, FloridaDaytona Beach, FloridaDaytona Beach is a city in Volusia County, Florida, USA. According to 2008 U.S. Census Bureau estimates, the city has a population of 64,211. Daytona Beach is a principal city of the Deltona – Daytona Beach – Ormond Beach, Florida Metropolitan Statistical Area, which the census bureau estimated had...
), is an American hedge fundHedge fundA hedge fund is a private pool of capital actively managed by an investment adviser. Hedge funds are only open for investment to a limited number of accredited or qualified investors who meet criteria set by regulators. These investors can be institutions, such as pension funds, university...
manager. - Espen Gaarder Haug, is an author, quantitative trader and arbitrageur specializing in options and other derivatives.
- Albert HibbsAlbert HibbsAlbert Roach Hibbs was a noted mathematician known worldwide as "the voice of JPL". He was born in Akron, Ohio on October 19, 1924 and died on February 24, 2003 of complications following heart surgery....
, (born October 19, 1924 Akron, OhioAkron, OhioAkron , is the fifth largest city in the U.S. state of Ohio and the county seat of Summit County. It is located in the Great Lakes region approximately south of Lake Erie along the Little Cuyahoga River. As of the 2010 census, the city had a population of 199,110. The Akron Metropolitan...
died on February 24, 2003) noted mathematician and the "voice" of JPLJet Propulsion LaboratoryJet Propulsion Laboratory is a federally funded research and development center and NASA field center located in the San Gabriel Valley area of Los Angeles County, California, United States. The facility is headquartered in the city of Pasadena on the border of La Cañada Flintridge and Pasadena...
. - Peter JaeckelPeter JaeckelPeter Jaeckel is a mathematician who has influenced the development of the use of Monte Carlo methods in Mathematical Finance. Dr. Jaeckel has served as Global Head of Credit, Hybrid, Inflation, and Commodity Derivative Analytics at ABN Amro and has made important contributions in the field of...
, British mathematician who has influenced the development of the use of Monte Carlo methods in Mathematical Finance. - Mark S. JoshiMark S. JoshiMark S. Joshi is a researcher and consultant in mathematical finance. He obtained a B.A. in mathematics from the University of Oxford in 1990, and a Ph.D. in pure mathematics from the Massachusetts Institute of Technology in 1994 under the supervision of Richard Melrose...
, is a researcher and consultant in mathematical financeMathematical financeMathematical finance is a field of applied mathematics, concerned with financial markets. The subject has a close relationship with the discipline of financial economics, which is concerned with much of the underlying theory. Generally, mathematical finance will derive and extend the mathematical...
. - Andrew KalotayAndrew KalotayAndrew Kalotay is a Hungarian-born finance professor, Wall Street quant and chess master. He is best known as an authority on fixed income valuation and institutional debt management...
, (born Hungary 1941),Hungarian-American, Wall Street quant and chess master,statistician and mathematician. - Nicole El KarouiNicole El KarouiNicole El Karoui is a French mathematician, and pioneer in the development of Mathematical Finance. The courses she teaches are regarded by many as the most prestigious in this field. She is currently professor of Applied Mathematics at the Pierre and Marie Curie University and previously at Ecole...
, is a mathematician, and pioneer in the development of Mathematical Finance. - Piotr KarasinskiPiotr KarasinskiPiotr Karasinski is a pioneering quantitative analyst, best known for the Black-Karasinski short rate model which he co-developed with the late Fischer Black. He is currently Senior Advisor at the European Bank for Reconstruction and Development. His contributions to quantitative finance include...
, quantitative finance pioneer; best known for the Black–Karasinski modelBlack–Karasinski modelIn financial mathematics, the Black–Karasinski model is a mathematical model of the term structure of interest rates; see short rate model. It is a one-factor model as it describes interest rate movements as driven by a single source of randomness....
. - Sheen T. KassoufSheen T. KassoufSheen T. Kassouf was an economist known for research in financial mathematics. Kassouf received a PhD in Economics from Columbia University and was later Professor of Economics at University of California Irvine. Together with Edward O. Thorp he wrote the book Beat the Market in...
, (1929-2006) was an economist known for research in financial mathematics. - David X. LiDavid X. LiDavid X. Li is a quantitative analyst and a qualified actuary who in the early 2000s pioneered the use of Gaussian copula models for the pricing of collateralized debt obligations...
, (born 1960), Chinese, pioneered the use of Gaussian copula models for the pricing of collateralized debt obligations (CDOs). - Andrew LoAndrew LoAndrew W. Lo is the Harris & Harris Group Professor of Finance at the MIT Sloan School of Management. He is a leading authority on hedge funds and financial engineering; he proposed the Adaptive market hypothesis...
, leading authority on hedge fundHedge fundA hedge fund is a private pool of capital actively managed by an investment adviser. Hedge funds are only open for investment to a limited number of accredited or qualified investors who meet criteria set by regulators. These investors can be institutions, such as pension funds, university...
s and financial engineering; he proposed the Adaptive market hypothesisAdaptive market hypothesisThe adaptive market hypothesis, as proposed by Andrew Lo, is an attempt to reconcile economic theories based on the efficient market hypothesis with behavioral economics, by applying the principles of evolution to financial interactions: competition, adaptation and natural selection.Under this...
. - David LuenbergerDavid LuenbergerDavid G. Luenberger is a mathematical scientist known for his research and his textbooks, which center on mathematical optimization. He is a professor in the department of Management Science and Engineering at Stanford University.-Biography:...
, (born 1937) is a mathematical scientist known for his research and his textbooks. - Harry MarkopolosHarry MarkopolosHarry M. Markopolos is a former securities industry executive and independent financial fraud investigator for institutional investors and others seeking forensic accounting expertise. He has received public acclaim for uncovering evidence over a period of nine years that Bernard Madoff's wealth...
, (born 1954) best known as the man who blew the whistle on Bernard MadoffBernard MadoffBernard Lawrence "Bernie" Madoff is a former American businessman, stockbroker, investment advisor, and financier. He is the former non-executive chairman of the NASDAQ stock market, and the admitted operator of a Ponzi scheme that is considered to be the largest financial fraud in U.S...
's massive Ponzi schemeMadoff investment scandalThe Madoff investment scandal broke in December 2008 when former NASDAQ chairman Bernard Madoff admitted that the wealth management arm of his business was an elaborate Ponzi scheme....
. - Fabio MercurioFabio MercurioFabio Mercurio is an Italian mathematician, internationally known for a number of results in mathematical finance.-Main results:...
, (born 26 September 1966), Italian, mathematician, internationally known for incomplete marketsIncomplete marketsIn economics, incomplete markets refers to markets in which the number of Arrow–Debreu securities is less than the number of states of nature...
theory. - R. Scott MorrisR. Scott MorrisR. Scott Morris is an American author, financial engineer and quantitative consultant. He is president of Morris Consulting, LLC, and served as CEO of the Boston Options Exchange from 2006-08. He has also served as Managing Director of Goldman Sachs and Partner at Hull Trading Company.-Education...
, American author, financial engineer and quantitative consultant. - Ranji H. NagaswamiRanji H. NagaswamiRanji H. Nagaswami is the Chief Investment Officer for AllianceBernstein Fund Investors. She has held this position since 2004. Nagaswami has responsibility for growth, value, and core stock as well as fixed income investments. She chairs the retail investors investment policy group and has been...
, Indian, is the Chief Investment Officer for AllianceBernstein Fund Investors. - Salih Neftçi, (July 14, 1947 – April 15, 2009) was a leading expert in the fields of financial markets and financial engineering.
- Norman PackardNorman PackardNorman Harry Packard is a chaos theory physicist and one of the founders of the Prediction Company and ProtoLife. He is an alumnus of Reed College and the University of California, Santa Cruz. Packard is known for his contributions to both chaos theory and cellular automata...
, (born 1954), American, is a chaos theory physicist and one of the founders of the Prediction CompanyPrediction CompanyPrediction Company was founded in Santa Fe, New Mexico, USA, in March 1991 by J. Doyne Farmer, Norman Packard and James McGill. The company uses various forecasting techniques to build black-box trading systems for various financial markets...
and ProtoLifeProtoLifeProtoLife is a startup company based in San Francisco, USA, headed by co-founder and CEO Norman Packard. Their current main area of endeavor is the development of machine-learning, statistical model-based methodologies for evolutionary design of complex, high-throughput...
. - William PerraudinWilliam PerraudinWilliam R. M. Perraudin is a British economist. He is Professor and Chair of Finance at Imperial College London, specialising in the fields of risk and pricing of debt instruments....
, British, economist, specialising in the fields of riskRiskRisk is the potential that a chosen action or activity will lead to a loss . The notion implies that a choice having an influence on the outcome exists . Potential losses themselves may also be called "risks"...
and pricing of debt instrumentBond (finance)In finance, a bond is a debt security, in which the authorized issuer owes the holders a debt and, depending on the terms of the bond, is obliged to pay interest to use and/or to repay the principal at a later date, termed maturity...
s. - Isaak RussmanIsaak RussmanIsaak Borisovich Russman was a Russian mathematician and economist. He studied and worked at Voronezh State University.Isaak Borisovich Russman was born on March 7, 1938 in Voronezh. Although his childhood dream was studying astronomy, in 1955 he entered Voronezh State University where he studied...
, Russian, (7 March 1938 – 11 July 2005) was a mathematician and economist. - David E. Shaw, (born 1951) is a computer scientist and computational biochemist who founded D. E. Shaw & CoD. E. Shaw & CoD. E. Shaw & Co., L.P. is an American-based global investment management firm founded in 1988 by David E. Shaw and based in New York City. The firm's trading mode is systematic and computer-driven.-Investment Strategy:...
. - Robert ShawRobert Shaw (physicist)Robert Stetson Shaw is an American physicist who was part of Eudaemonic Enterprises in Santa Cruz in the late 1970s and early 1980s. In 1988 he was awarded a MacArthur Fellowship for his work in Chaos theory.-Chaos theory:...
, American, physicist who was part of Eudaemonic EnterprisesEudaemonsThe Eudaemons were a small group headed by graduate physics students J. Doyne Farmer and Norman Packard at the University of California Santa Cruz in the late 1970s. The group's immediate objective was to find a way to beat roulette, but a loftier objective was to use the money made from roulette...
in Santa CruzSanta Cruz, CaliforniaSanta Cruz is the county seat and largest city of Santa Cruz County, California in the US. As of the 2010 U.S. Census, Santa Cruz had a total population of 59,946...
. - Peng Shige, (born December , 1947), Chinese, mathematician noted for his contributions in stochasticStochasticStochastic refers to systems whose behaviour is intrinsically non-deterministic. A stochastic process is one whose behavior is non-deterministic, in that a system's subsequent state is determined both by the process's predictable actions and by a random element. However, according to M. Kac and E...
analysis and mathematical financeMathematical financeMathematical finance is a field of applied mathematics, concerned with financial markets. The subject has a close relationship with the discipline of financial economics, which is concerned with much of the underlying theory. Generally, mathematical finance will derive and extend the mathematical...
. - James Harris SimonsJames Harris SimonsJames Harris "Jim" Simons is an American hedge fund manager, mathematician, and philanthropist.In 1982, Simons founded Renaissance Technologies, a private investment firm based in New York with over $15 billion under management; Simons is still at the helm, as CEO, of what is now one of the...
, (born 1938), American, hedge fundHedge fundA hedge fund is a private pool of capital actively managed by an investment adviser. Hedge funds are only open for investment to a limited number of accredited or qualified investors who meet criteria set by regulators. These investors can be institutions, such as pension funds, university...
manager, mathematician, and philanthropist. - William ToyWilliam ToyWilliam W. Toy is a leading finance practitioner in the area of equity derivatives, and a pioneering modeller in the area of interest rate derivatives. He is best known as a co-developer of the Black–Derman–Toy model for interest rate- and bond-options. His roles have included managing director...
, pioneering modeller in the area of interest rate derivatives. - Stephen D. UnwinStephen D. UnwinStephen D. Unwin is a physicist and author best known for his book, The Probability of God. Unwin is a graduate of Imperial College London and received his doctorate in theoretical physics from the University of Manchester for his research in the field of quantum gravity...
, president of his own consulting firm, specializing in risk managementRisk managementRisk management is the identification, assessment, and prioritization of risks followed by coordinated and economical application of resources to minimize, monitor, and control the probability and/or impact of unfortunate events or to maximize the realization of opportunities...
for various Fortune 100 clients. - David B. WeinbergerDavid B. WeinbergerDavid B. Weinberger is an American mathematician and mathematical financier.-Education:Weinberger was a University Scholar at Princeton University, from which he was graduated in mathematics in 1969. While there, he was a member of Princeton Tower Club...
, (born 1947), American, work included the implementation of early index arbitrageIndex arbitrageIndex arbitrage is a subset of statistical arbitrage focusing on index components.The idea is that an index is made up of several components that influence the index price in a different manner.For instance, there are leaders...
strategies. - Oldrich VasicekOldrich VasicekOldrich Alfons Vasicek a Czech mathematician, received his master's degree in math from the Czech Technical University, 1964, and a doctorate in probability theory from Charles University four years later....
, (born 1942), Czech, breakthrough paper, describing the dynamics of the yield curveYield curveIn finance, the yield curve is the relation between the interest rate and the time to maturity, known as the "term", of the debt for a given borrower in a given currency. For example, the U.S. dollar interest rates paid on U.S...
. - Paul WilmottPaul WilmottPaul Wilmott is a researcher, consultant and lecturer in quantitative finance. He is best known as the author of various academic and practitioner texts on risk and derivatives, and for Wilmott magazine and Wilmott.com , a quantitative finance portal....
, researcher, consultant and lecturer in quantitative finance. - Marc YorMarc YorMarc Yor is a French mathematician well-known for his work on stochastic processes, especially properties of semimartingales, Brownian motion and other Lévy processes, the Bessel processes, and their applications to mathematical finance...
, (born July 24, 1949), French mathematician, known for work on stochastic processStochastic processIn probability theory, a stochastic process , or sometimes random process, is the counterpart to a deterministic process...
es, especially properties of semimartingaleSemimartingaleIn probability theory, a real valued process X is called a semimartingale if it can be decomposed as the sum of a local martingale and an adapted finite-variation process....
s, Brownian motionBrownian motionBrownian motion or pedesis is the presumably random drifting of particles suspended in a fluid or the mathematical model used to describe such random movements, which is often called a particle theory.The mathematical model of Brownian motion has several real-world applications...
and other Lévy processLévy processIn probability theory, a Lévy process, named after the French mathematician Paul Lévy, is any continuous-time stochastic process that starts at 0, admits càdlàg modification and has "stationary independent increments" — this phrase will be explained below...
es.