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.
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. Mr. Lesniewski holds a PhD in Mathematics from the Swiss Federal Institute of Technology (ETH) in Zurich, Switzerland.
Ashley Lester is a Managing 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.
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.
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.
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.
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.
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.
Brian Lee Yung Rowe is Head of Engineering and Product at a financial startup creating the world’s first centrally cleared exchange for swaps. His career spans managing quantitative development teams responsible for providing risk analytics at Merrill Lynch to designing data analysis and visualization tools for investigating relationships between economic indicators at Bridgewater Associates to founding his own analytics company specializing in product classification, clustering, and recommendations using artificial neural networks. Brian’s work spans portfolio optimization with random matrix theory and shrinkage estimation, and a functional programming language extension for R. He holds a BS double major in Electrical Engineering and Mathematics from the University of Alaska Fairbanks.
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.
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.
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.