List of quantitative analysts
Encyclopedia
This is a list of notable quantitative analyst
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 Arrow
    Kenneth Arrow
    Kenneth 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 theory
    Social choice theory
    Social 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 Bachelier
    Louis 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 Black
    Fischer Black
    Fischer 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 Brennan
    Michael 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 Derman
    Emanuel Derman
    Emanuel 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. Epstein
    Richard A. Epstein
    Richard 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 Fama
    Eugene Fama
    Eugene 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 Glushkov
    Victor Glushkov
    Victor 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 Graham
    Benjamin Graham
    Benjamin 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 investing
    Value investing
    Value 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. Gordon
    Myron J. Gordon
    Myron 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 Haugen
    Robert Haugen
    Robert 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 Ho
    Thomas 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 model
    Hull-White model
    In 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. Ingersoll
    Jonathan E. Ingersoll
    Jonathan 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 curve
    Yield curve
    In 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 Itō
    Kiyoshi Ito
    was 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 calculus
    Ito calculus
    Itō 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. Jarrow
    Robert A. Jarrow
    Robert 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 criterion
    Kelly criterion
    In 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 theory
    Dedicated Portfolio Theory
    Dedicated Portfolio Theory, in finance, deals with the characteristics and features of a portfolio built to generate a predictable stream of future cash inflows...

    .
  • Francis Longstaff
    Francis Longstaff
    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....

    , known for the Longstaff-Schwartz interest rate model.
  • Harry Markowitz
    Harry Markowitz
    Harry 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 Sciences
    Nobel Memorial Prize in Economic Sciences
    The 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 Theory
    Modern portfolio theory
    Modern 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 Mandelbrot
    Benoît Mandelbrot
    Benoît 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. Merton
    Robert C. Merton
    Robert 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 Neumann
    John von Neumann
    John 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 Niederhoffer
    Victor Niederhoffer
    Victor 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 arbitrage
    Statistical arbitrage
    In 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 microstructure
    Market microstructure
    Market 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 Ross
    Stephen 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 economics
    Financial economics
    Financial 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 Rubinstein
    Mark Rubinstein
    Mark 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 finance
    Finance
    "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 derivative
    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...

    s, particularly option
    Option (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 Scholes
    Myron Scholes
    Myron 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 Schwartz
    Eduardo Schwartz
    Eduardo 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 uncertainty
    Uncertainty
    Uncertainty 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 Theory
    Information theory
    Information 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 Sharpe
    William Forsyth Sharpe
    William 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 Sciences
    Nobel Memorial Prize in Economic Sciences
    The 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 Soros
    George Soros
    George 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 reflexivity
    Reflexivity (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 Taleb
    Nassim Taleb
    Nassim 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 randomness
    Randomness
    Randomness has somewhat differing meanings as used in various fields. It also has common meanings which are connected to the notion of predictability of events....

    .
  • Thales
    Thales
    Thales 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 Greece
    Seven Sages of Greece
    The 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 counting
    Card counting
    Card 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 Brigo
    Damiano Brigo
    Damiano 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 theory
    Systems theory
    Systems 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...

    , probability
    Probability
    Probability 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 finance
    Mathematical finance
    Mathematical 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. Brown
    Aaron C. Brown
    Aaron 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 Boyle
    Phelim Boyle
    Phelim 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 method
    Monte Carlo method
    Monte 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 pricing
    Option (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 Caginalp
    Gunduz Caginalp
    Gunduz 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 finance
    Quantitative behavioral finance
    Quantitative 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 Arbitrage
    Statistical arbitrage
    In 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 Chriss
    Neil Chriss
    Neil 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 mathematician
    Mathematician
    A 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 fund
    Hedge fund
    A 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 Cvitanić
    Jakša Cvitanic
    Jakša 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 Technology
    California Institute of Technology
    The 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 Dembo
    Ron Dembo
    Ron 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 Incorporated
    Algorithmics 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 Duffie
    Darrell Duffie
    James 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 Business
    Stanford Graduate School of Business
    The 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 Dupire
    Bruno 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 volatility
    Local volatility
    A 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. Fabozzi
    Frank J. Fabozzi
    Frank 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 Farmer
    J. Doyne Farmer
    J. 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, Texas
    Houston, Texas
    Houston 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 Company
    Prediction Company
    Prediction 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 Gatheral
    Jim Gatheral
    Jim 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 smile
    Volatility Smile
    In 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. Griffin
    Kenneth C. Griffin
    Kenneth 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, Florida
    Daytona Beach, Florida
    Daytona 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 fund
    Hedge fund
    A 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 Hibbs
    Albert Hibbs
    Albert 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, Ohio
    Akron, Ohio
    Akron , 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 JPL
    Jet Propulsion Laboratory
    Jet 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 Jaeckel
    Peter Jaeckel
    Peter 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. Joshi
    Mark S. Joshi
    Mark 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 finance
    Mathematical finance
    Mathematical 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 Kalotay
    Andrew Kalotay
    Andrew 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 Karoui
    Nicole El Karoui
    Nicole 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 Karasinski
    Piotr Karasinski
    Piotr 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 model
    Black–Karasinski model
    In 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. Kassouf
    Sheen T. Kassouf
    Sheen 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. Li
    David X. Li
    David 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 Lo
    Andrew Lo
    Andrew 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 fund
    Hedge fund
    A 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 hypothesis
    Adaptive market hypothesis
    The 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 Luenberger
    David Luenberger
    David 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 Markopolos
    Harry Markopolos
    Harry 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 Madoff
    Bernard Madoff
    Bernard 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 scheme
    Madoff investment scandal
    The 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 Mercurio
    Fabio Mercurio
    Fabio 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 markets
    Incomplete markets
    In 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 Morris
    R. Scott Morris
    R. 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. Nagaswami
    Ranji H. Nagaswami
    Ranji 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 Packard
    Norman Packard
    Norman 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 Company
    Prediction Company
    Prediction 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 ProtoLife
    ProtoLife
    ProtoLife 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 Perraudin
    William Perraudin
    William 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 risk
    Risk
    Risk 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 instrument
    Bond (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 Russman
    Isaak Russman
    Isaak 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 & Co
    D. E. Shaw & Co
    D. 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 Shaw
    Robert 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 Enterprises
    Eudaemons
    The 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 Cruz
    Santa Cruz, California
    Santa 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 stochastic
    Stochastic
    Stochastic 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 finance
    Mathematical finance
    Mathematical 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 Simons
    James Harris Simons
    James 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 fund
    Hedge fund
    A 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 Toy
    William Toy
    William 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. Unwin
    Stephen D. Unwin
    Stephen 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 management
    Risk management
    Risk 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. Weinberger
    David B. Weinberger
    David 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 arbitrage
    Index arbitrage
    Index 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 Vasicek
    Oldrich Vasicek
    Oldrich 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 curve
    Yield curve
    In 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 Wilmott
    Paul Wilmott
    Paul 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 Yor
    Marc Yor
    Marc 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 process
    Stochastic process
    In probability theory, a stochastic process , or sometimes random process, is the counterpart to a deterministic process...

    es, especially properties of semimartingale
    Semimartingale
    In 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 motion
    Brownian motion
    Brownian 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 process
    Lévy process
    In 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.
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