Ken Abbott is a Managing Director at Barclays Capital in New York, where he is Chief Risk Officer for the Americas. Prior to this, he was Managing Director and Chief Operating Officer for the Risk Department at Morgan Stanley, and ran market risk management for Bank of America’s Investment Bank. He has over 25 years banking experience, including 14 years at Bankers Trust as an analyst, trader, and risk manager. Ken has a BA from Harvard in Economics, an MA from NYU in Economics and an MS from NYU/Stern in Statistics and Operations Research. He sits on the GARP Board of Directors.
Yury Blyakhman is a Managing Director at JPMorgan Chase in New York where he heads Linear Rates and FX Quantitative Research globally across Developed and Emerging Markets. Yury’s Quantitative Research team is responsible for the development and support of all pricing and risk management models across the full spectrum of products, regions, businesses and asset classes. Yury has been with J.P. Morgan since 2004. Before that, from 2001 to 2004, Yury was part of Fixed Income Research (FIRST) team at BNP Paribas doing Interest Rates modeling. Yury holds Ph.D. in Physics from NYU.
Michael Carlisle is a probabilist with research interests in two-dimensional random walks, Brownian motion, and financial applications of probability. He joined Baruch’s faculty after acting as teaching assistant for the MFE program’s probability sequence during his graduate studies at the CUNY Graduate Center, where he received his PhD.
Miguel Castro’s research interests are in the area of statistical arbitrage, algorithmic trading, and market microstructure. He has over 10 years of experience as a practitioner in algorithmic trading. Most recently he was Managing Director at a quantitative hedge fund where he led a small quant research team in high-frequency algorithmic trading. Before that, he worked as lead quant researcher and research manager in the areas of statistical arbitrage and high-frequency algorithmic trading of equities and futures for a leading European Bank. Before his life in finance, he worked in research and development for Intel Corporation. He holds a B.A. in Physics and Mathematics from Cornell University, an M.S. in Electrical Engineering with specialty in Machine Learning, and a Ph.D. in Physics, both from Purdue University. He also holds an MBA with emphasis in finance from the University of California at Berkeley’s Haas School of Business.
Jay Damask is a trader at Ronin Capital where he and his partners trade equities and futures electronically. He has worked on both the buy and sell sides of the industry as a quant and trader. Prior to his switch into finance Jay spent 15 years in optics, principally focused on the physical layer of telecommunications. He invented an optical instrument that sells worldwide, is the author of “Polarization Optics in Telecommunications”, and the sole or principal inventor of ten US patents. Jay’s degrees are all Electrical Engineering and Computer Science from MIT.
Charles A. Fishkin joined the faculty of Baruch College in 2012. During a thirty-year career in finance, he has held senior leadership positions across the spectrum of financial services, including risk management, asset management, investment banking and trading. From 2004 to 2007, he served as the first Director of the Office of Risk Assessment for the United States Securities and Exchange Commission in Washington, DC. He is the author of the book “The Shape of Risk: A New Look at Risk Management,” published by Palgrave in 2006. His research interests include financial risk management, enterprise risk management, corporate governance, OTC derivatives and the visualization of risk. Charles has served on the Board of Directors of the International Association of Financial Engineers, co-founded its Operational Risk Committee and serves as its co-chair. Charles has a BA in Economics, awarded with General Honors, from University of Chicago.
Jim Gatheral was involved in all of the major derivative product areas as bookrunner, risk manager, and quantitative analyst in London, Tokyo and New York, in a career in the financial industry that spanned over 25 years. Between 1996 and 2005, he led the Equity Quantitative Analytics Group at Merrill Lynch. His current research focus is on volatility modeling and modeling equity market micro-structure for algorithmic trading. Dr. Gatheral is a frequent speaker at both practitioner and academic conferences around the world. His bestselling book, “The Volatility Surface: A Practitioner’s Guide“, has become a standard reference for practitioners, academics and students alike. In April 2013, Dr. Gatheral was named Presidential Professor at Baruch College.
Warren B. Gordon is the Chair of the Mathematics Department and Co-Director of the MFE Program. He has a special interest in mathematical physics, differential equations, mathematics education and the use of technology in the classroom. He holds a BE from CUNY’s City College and earned his PhD in mathematics from New York University’s Courant Institute of Mathematical Sciences.
Martin Helm worked as a quant trader since 1999, at Amaranth Advisors, Sagamore Hill Capital, IFL, Merrill Lynch SIG, and as portfolio manager at Deutsche Bank Alternative Trading. He was awarded the joint Max Planck Society and German Mathematical Society young mathematician award in 1994, has a PhD in mathematics from City University of New York, and held academic positions at University Goettingen, University Stuttgart, and at the Courant Institute.
Douglas Howard brings to Baruch eight years of Wall Street experience, where he developed an expertise in computational methods in finance. He continues to consult to Wall Street firms and writes about applications of probability in finance. His research on the properties of spatially disordered systems, a class of probabilistic models motivated by certain physical phenomena, is funded by a grant from the National Science Foundation (NSF). He holds a BS in mathematics from MIT, an MBA in finance from Columbia, and a PhD from the Courant Institute.
Alireza Javaheri is the Head of Equities Quantitative Research Americas at J.P. Morgan. He has been working since 1994 in the field of derivatives quantitative research in various investment banks including Goldman Sachs and Citigroup. He holds a Ph.D. in Finance from Ecole des Mines de Paris and an M.Sc. in Electrical Engineering from Massachusetts Institute of Technology, and is also a CFA charter holder. He has authored several quantitative finance papers on the subject of volatility, including articles with Peter Carr, Paul Wilmott and Espen Haug. His book “Inside Volatility Arbitrage” was elected the quantitative finance book of the year by Wilmott magazine.
Elena Kosygina‘s main research interests are in the areas of stochastic processes, interacting particle systems, and partial differential equations. She is also interested in applications of probabilistic techniques to finance. A graduate of Moscow State University, she received her PhD form the Courant Institute.
Eugene Krel is responsible for algorithmic design and implementation at Quantitative Brokers, an interest rate agency algorithmic execution firm. Eugene is teaching trading strategies and implementation and has a BA in mathematics from the CUNY Macaulay Honors College and a Masters in Financial Engineering from Baruch College.
Alain Ledon received Masters Degrees in Computer Science from New York University and Financial Engineering from Baruch College. He is currently a Director of Risk Engineering at Ally Bank, and was a Senior Quant Developer for the Portfolio Analytics Group in Bank of America prior to that. Alain is an adjunct professor at Baruch College where he teaches the Object Oriented Programming in Finance course.
Andrew Lesniewski is an expert in quantitative finance and financial engineering and has sixteen years of industrial experience in quantitative research and modeling, risk management, and trading. He is known in the financial industry for his work on the popular SABR model. Prior to joining the faculty of Baruch, Dr. Lesniewski was the Head of Financial Engineering at the DTCC, the world’s largest clearing house. Prior to that, he was the Head of Quantitative Research at Ellington Management Group, a multibillion dollar hedge fund in Greenwich, CT, and the Head of FIRST, the quantitative research team in charge of fixed income modeling, in the New York office of BNP Paribas. He also worked there as a trader in charge of a number of portfolios of structured interest rate options. Before moving to finance in 1997, he was on the faculty of Harvard University. Andrew holds a PhD in Mathematics from the Swiss Federal Institute of Technology (ETH) in Zurich, Switzerland. Dr. Lesniewski is the Curriculum Director of the Baruch MFE Program.
Terrence F. Martell is on the faculty of the finance department in the Zicklin School of Business at Baruch College. He has written extensively on numerous aspects of commodity and financial markets. Before coming to Baruch, he was a senior vice president and the chief economist at COMEX in New York and Washington. He holds a BA in finance from Iona College and a PhD in finance from Penn State.
Ivan Matic works in probability theory, statistical mechanics, and partial differential equation, using techniques from analysis, probability and combinatorics to study large time behavior of variational problems related to solutions of stochastic Hamilton-Jacobi equations. He is also interested in problem solving and is a co-author of the book The IMO Compendium. He holds a B.Sc. degree from University of Belgrade and Ph.D from the University of California at Berkeley.
Jarrod Pickens joined Baruch’s faculty in 2010. He holds a B.S. in Physics and Mathematics from the University of Pittsburgh, and earned a M.A. and Ph.D. in Mathematics from the University of California, Santa Barbara. His research interests include mathematical physics and geometric flows.
Rados Radoicic‘s main research interests are in the areas of discrete and computational geometry, Ramsey theory, additive number theory, extremal combinatorics and graph theory. He is also interested in applications of probabilistic techniques to finance. He earned his BS and his PhD in mathematics at Massachusetts Institute of Technology.His research is funded by National Science Foundation.
Dmitry Rakhlin is a Senior Vice President at Sanford C. Bernstein in New York, where he is Global Head of Trading Research. Dmitry is an expert is market microstructure, regularly publishing and presenting at industry, academic and regulatory events. Dmitry came to Sanford C. Bernstein with the wealth of buy-side experience – he previously spent five years as head of the Quantitative Trading desk of Alliance Bernstein asset management and prior to that as a Senior Quantitative Researcher at Citadel Investment Group working on the Statistical Fixed Income, Currency and Commodity Desk. Dmitry began his Wall Street career in 2000 at Goldman Sachs building electronic trading strategies for Redi+ and Goldman Sachs Algorithmic Trading platforms. Dr. Rakhlin holds a Ph.D. in Physics from New York University as well as a M.S. in Financial Mathematics from NYU/Courant.
Sylvain Raynes is one of the two principals of R&R Consulting, a New York based consulting firm specializing in structured financial analysis in all asset types. He is also the co-author of The Analysis of Structured Securities, a book published in 2003 by Oxford University Press. Dr. Raynes has been extensively involved in the credit analysis of structured securities for the past ten years, including his work at Goldman, Sachs & Co., Citigroup, Credit Suisse First Boston and Moody’s Investors Service. He holds a Diploma from the von Karman Institute for Fluid Dynamics in Brussels, Belgium and a Masters and Ph.D. in Aerospace Engineering from Princeton University.
Career and workplace advisor Ellen Gordon Reeves is the author of Can I Wear My Nose Ring to the Interview? A Crash Course in Finding, Landing, and Keeping Your First Real Job. She is the job-hunting and career columnist for QuantNet. Ms. Reeves has prepared Baruch MFE students for the job market since 2011. Workshops include Extreme Professional Makeover Boot Camp for Job Hunters and Do-it-Yourself Professional Development (DIYPD): Making Your Workplace Work for You. 2011-2012 President of the Harvard Alumni Association, she holds an AB and Ed.M. from Harvard University and a Master of Arts in Writing and Teaching Writing from Northeastern University.
Gordon Ritter is a senior portfolio manager at GSA Capital, where he leads a small, elite team of quantitative traders pursuing a range of alpha strategies across geographies and asset classes. Gordon is an expert on portfolio optimization and econometrics. GSA Capital has won the Equity Market Neutral & Quantitative Strategies category at the Eurohedge awards four times in the last six years, including in 2014. The firm also won the Long-Term (5 year) Performance Award for the second year in a row, and has one of the highest Sharpe ratios of any hedge fund. Prior to joining GSA, Gordon was a Vice President of Highbridge Capital Management and a core member of the firm’s statistical arbitrage group. Concurrently with his other responsibilities, Gordon teaches a graduate course in advanced econometric modelling at the Courant Institute, NYU. He is frequently invited to speak at major industry conferences, such as Risk USA, Quant Congress, and Global Derivatives. Prior to entering the hedge fund industry in 2007, Gordon completed his PhD in mathematical physics at Harvard University, where he published in top international journals across the fields of quantum computation, quantum field theory, and abstract algebra. He earned his Bachelor’s degree with honours in Mathematics from the University of Chicago.
Anja Richter has a background in stochastic analysis, specifically backward SDEs and affine processes. Her current focus is the application of these ideas in the modeling of volatility. More precisely she aims to address the question of how one constructs models which are arbitrage free and evolve in a time consistent fashion as well as the fitting of these models to real data. She obtained her PhD from Humboldt-Universitaet zu Berlin, and subsequently held an appointment as a Post-doctoral researcher at ETH Zurich.
Andrew Sheppard started his career in finance as a quant at Bankers Trust working in London, then Tokyo, and finally in New York. Andrew has since worked as a consultant, chief quant and CTO at various European and U.S. banks and a multi-billion dollar hedge fund. Since 2010 he has worked as a consultant exclusively in the areas of Big Data and Big Compute in finance and insurance.
Robert Spruill is Head of Modeling and Analytics for State Street’s Global Risk Services group. He has a Masters in Financial Engineering from Baruch College, a BA from Rice University, and a Masters from the Writing Seminars at Johns Hopkins. Before coming to Baruch, Bob spent over a decade preparing students for graduate admissions exams, in particular MCAT Physical Sciences and the LSAT. He currently teaches the program’s Quantitative Introduction to Pricing Financial Instruments as an Adjunct Professor.
Dan Stefanica is an applied mathematician specializing in numerical methods for financial applications. He studied methods for fitting smooth yield curves to market data and wrote the book “A Primer for the Mathematics of Financial Engineering” and its “Solutions Manual”, based on material taught in the Advanced Calculus with Financial Engineering Applications refresher seminar to incoming students of the Baruch MFE Program. In other NSF-funded research with application in finance, he designed fast algorithms for the numerical solution of PDEs and worked on geophysical fluid dynamic problems. He has a PhD in mathematics from the Courant Institute and is Co-Director of the Baruch MFE Program.
Breman Thuraisingham is an Executive Director in the Fixed Income E-Trading group at Morgan Stanley, responsible for Interest Rates Electronic Market Making and Algo Trading Technology globally. Prior to this, he was at Barclays Capital and UBS. His career has been focused around electronic trading and algorithmic trading technology in Fixed Income markets, where recent regulatory change and increasing standardization of products has led to a surge in e-trading business. He has specialized expertise in developing low-latency technology platforms for electronic and quantitative trading on bonds, swaps, and futures. Breman has a BA from Cambridge University in Mathematics and MSc from Imperial College London in Advanced Computing (with a dissertation on Quantum Information Theory). He joins the faculty at Baruch in 2015.
Tai-Ho Wang‘s work mostly focuses on option pricing in basically two directions: determining optimal model-free bounds and their corresponding hedging strategies for multi-asset options in a no arbitrage framework, and the Lie symmetry analysis of financial models. He also works on the robustness and masking effect of certain statistical methodologies by using influence functions and their pair-perturbation counterparts. He received his B.A. and Ph.D. in applied mathematics from National Chiao Tung University, Taiwan.
Sherman Wong works in the field of ergodic theory and dynamical systems. He has written on topological properties of systems arising from zero-finding algorithms, such as the Newton-Raphson method, the Steffenson acceleration method, and the Bairstow method. His undergraduate and doctoral degrees were earned at UC Berkeley.