Salih Neftci

A long time professor in the Baruch MFE program, Dr. Salih Neftci passed away in April 2009, after a long battle with cancer. A scholarship in his memory was established in perpetuity through generous donations of alumni and students the Baruch MFE program in 2009.

Ken Abbott is a Managing Director at Morgan Stanley in New York, where he is Chief Operating Officer for the Risk Department. In addition, he also supervises legal entity risk management for Morgan Stanley and is the senior risk officer covering the buy side. Previously, he 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.

Lev Borodovsky serves as a senior risk officer for a leading European investment bank, overseeing risk management for a multi billion-dollar trading and investment portfolio. Dr. Borodovsky is the co-founder of GARP (Global Association of Risk Professionals), the leading risk management institution providing information and services to a membership of over 30,000 risk professionals from over 100 countries. He also co-authored the FRM examination, the international financial risk manager certification program. Dr. Borodovsky co-authored The Professional Handbook of Financial Risk Management. Dr. Borodovsky holds a PhD in Physics from Columbia University.

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.

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.

Warren B. Gordon has been Chair of the Mathematics Department at Baruch since 1985. 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.

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.

Ashley Lester is an Executive Director at Morgan Stanley in New York, where he is Global Head of Market Risk Analytics. His team is responsible for creating, producing and evaluating the models used to produce VaR and other firm-wide risk measures at Morgan Stanley. These models span risk across all asset classes and regions of the world. Before joining Morgan Stanley in 2007, Ashley was an Assistant Professor of Economics at Brown and a Visiting Assistant Professor at Columbia Business School. He had previously worked as an economist at the Reserve Bank of Australia. Ashley has a PhD in Economics from the Massachusetts Institute of Technology and an Honours degree in Economics from the University of Sydney.

Jim Liew obtained his Ph.D. in Finance from Columbia Business School and has spent many years within the hedge fund industry. He is currently the CEO of JKL Capital Management, LLC. Dr. Liew has previously worked at a large macro futures fund and a high-frequency NYC-based statistical arbitrage fund, where he built, back-tested, and implemented systematic strategies. Dr. Liew has extensive business experience within the hedge fund-of-funds industry as well. Such experiences include: starting a successful fund-of-funds business that eventually spun out of The Carlyle Group, managing the World Bank’s pension fund direct investments into hedge funds, and sourcing hedge funds and creating institutional investment products for a managed account platform. Dr. Liew serves on the CAIA Hedge Fund Curriculum Committee.

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.

Anita Mayo received the Ph.D. degree in mathematics from the Courant Institute, then taught at the University of California, Berkeley, Stanford University and SUNY Stony Brook. Following that she joined the staff of the Watson Research Center at IBM. While there, she developed and implemented mathematical techniques for designing computer components and recording devices. She also developed computational techniques used to solve problems in computer graphics, fluid dynamics and computational biology. Her most recent area of work is in computational finance. She is a consultant to engineers at IBM on mathematical problems arising in the manufacture of computer chips, and doing research with financial analysts at Bloomberg on hedging strategies and the pricing of certain types of exotic options.

Attilio Meucci is the chief risk officer at Kepos Capital LP, and has been teaching the intensive Advanced Risk and Portfolio Management bootcamp at Baruch College since 2009.  Previously, Attilio was the head of research at ALPHA, Bloomberg LP’s portfolio analytics and risk platform; a researcher at POINT, Lehman Brothers’ portfolio analytics and risk platform; a trader at the hedge fund Relative Value International; and a consultant at Bain & Co, a strategic consulting firm. Attilio is the author of Risk and Asset Allocation – Springer and numerous other publications in practitioners and academic journals. He holds a BA summa cum laude in Physics from the University of Milan, a MA in Economics from Bocconi University, a PhD in Mathematics from the University of Milan and he is CFA chartholder.

Luis A. Molina worked as a Managing Director of Commodities Index Trading at Credit Suisse and prior to that at Merrill Lynch/Bank of America. Previously to that, he ran Market Risk Management at Entergy-Koch, Inc. which was subsequently purchased by Merrill Lynch in 2005. He has also held various roles in Technology companies engaged in the building and implementation of risk management systems for major financial institutions. Early in his career, Luis worked as a Foreign Exchange Trader for Banks such as Chemical Bank/Chase, Citibank and Soc Gen as a Market-maker on the Forwards FX desk, his specialty being the seeking out of arbitrage opportunities in FX forwards vs. Interest rate differentials. In all, Luis has over 18 years of trading and risk management experience. He holds a BA in Physics from Harvard.

Carlos J. Moreno, who is also on the faculty of the CUNY Graduate Center, has over sixty publications, including two books, on topics related to algebra and number theory. His research, funded by several NSF grants, has earned him a reputation as a world-class mathematician. At the Graduate Center, he has had extensive experience serving as graduate thesis adviser. He earned his BA and his PhD in mathematics at NYU.

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.

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.

Aryasomayajula Sekhar is an Executive Director at Morgan Stanley in New York, where he is global head of market risk management for securitized products and credit derivatives products. Prior to this, he worked in fixed income research at RBS, MSIM and Countrywide. Dr. Sekhar has also published mortgage research articles in leading publications such as The Journal of Fixed Income and The Journal of Portfolio Management. He holds an undergraduate degree in Mechanical Engineering from Delhi University and a Ph.D. in finance from Oklahoma State University.

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.

Leon Tatevossian has twenty-one years of experience in the fixed-income capital markets, including positions as a trader, quantitative strategist, derivatives modeler, and market-risk analyst. Currently, he is a consultant in the Group Risk Management area at Royal Bank of Canada Capital Markets. In 2006-07, Leon was a principal and senior trader in an internal asset-backed securities hedge fund at Banc of America Securities. His prior experience includes trader and strategist/modeler roles in US Treasury securities, US agency securities, interest-rate derivatives, mortgage-backed securities, and credit derivatives at Morgan Stanley, Salomon Brothers, Citicorp Securities, ABN AMRO Incorporated, and Countrywide Securities. He also worked as a fixed-income derivatives analyst in the Firmwide Risk Department at Goldman Sachs from 2000-03. Leon has an S.B. degree in mathematics from MIT and was a graduate student in mathematics at Brown University.

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.

Mona Zamfirescu works in the fields of probability theory, stochastic analysis, control and optimization problems and their applications to finance. She has received her B.A. from the University of Bucharest and Ph.D. in statistics from Columbia University.