Archive for the ‘Featured News’ Category

Dr. Andrew Lesniewski named Curriculum Director of the Baruch MFE Program

Monday, March 23rd, 2015

Dr. Andrew Lesniewski joins Baruch MFE program


Professor Andrew Lesniewski, a renowned expert on interest rate modeling and celebrated in particular as one of the originators of the SABR model, who joined the Baruch MFE Program and the mathematics department at Baruch College in August 2013 as tenured full professor, has assumed the role of Curriculum Director of the Baruch MFE Program in January 2015.

Professor Lesniewski will continue working on keeping the curriculum of the Baruch MFE Program cutting edge, introducing three new courses in the 2015-2016 academic year, to go along more than fifteen new courses introduced since Fall 2010.

Since switching from an earlier successful academic career in mathematical physics, Dr. Lesniewski has had an very accomplished career in the financial industry, most recently as Head of Financial Engineering at DTCC, and prior to that as Managing Director and Head of Quantitative Research at Ellington Management Group.

Dr. Lesniewski has a PhD degree in mathematics from ETH Zurich and was Associate Professor of Mathematical Physics at Harvard University before joining the financial industry.

Baruch Quantitative Finance Seminar

Wednesday, October 29th, 2014

The Baruch Quantitative Finance Seminar provides a forum for Baruch faculty and students to present their research. Seminars are open to everyone who is interested.  We meet on select Wednesday afternoons, typically from 2pm to 3pm in Baruch Vertical Campus Room 6-215.

Jim Gatheral, Presidential Professor, Department of Mathematics

Fall 2014

September 24, 2014

Jim Gatheral, Baruch College

Title: Fractional Volatility Models


October 1, 2014

Feng Chen, Baruch College

Title: The Space-time Parallel Approach with Spectral Method and Parareal Method

Abstract:In large-scale scientific computing, the computational costs are high in both spatial and temporal dimensions. There is an increasing demand of new mathematical algorithms scalable on modern supercomputing architectures. In this presentation, I will introduce a high-order, space-time parallel framework for computationally complex disciplines. I first discuss recent efforts to develop spectral methods on graphics processing units (GPU). Then I will present the parallel-in-time approach to break the sequential bottleneck of the time direction.


October 8, 2014


Tai-Ho Wang, Baruch College

Title: Most likely path approximations

Abstract:We derive an exact Brownian bridge representation for the transition density in a local volatility model, which then leads to an exact expression for the transition density in terms of a path integral. In the time homogeneous case, we recover the heat kernel expansion by Taylor-expanding around the most-likely-path. Repeating the same procedure in the time inhomogeneous case leads to a new and natural approximation to the transition density which differs from the conventional heat kernel expansion. We show that by suitably approximating the path integral representation, we recover the results obtained in our previous work. Applying the same methodology to higher dimension models we obtain a Bessel bridge representation for the heat kernel in the hyperbolic space. In particular, the closed form expression in the case of 3 dimensional hyperbolic space is recovered. Extensions to fractional models will be briefly discussed.


October 22, 2014

Anja Richter, Baruch College

Title: Discrete Time Term Structure Theory and Consistent Recalibration Models

Abstract:We present theory and applications of forward characteristic processes in discrete time following a seminal paper of Jan Kallsen and Paul Krühner. More precisely we describe a rich, still tractable class of discrete time stochastic processes, whose marginal distributions are given at initial time and which are free of arbitrage. This means we can construct models with a pre-described (implied) volatility surface and quite general volatility surface dynamics. We finally describe the simulation and calibration of consistent recalibration models.


Baruch MFE’s Team Wins Fourth Place in 2014 Rotman International Trading Competition

Monday, March 10th, 2014

The Baruch College’s Master of Financial Engineering (MFE) program won 4th place (out of 52 teams from 48 universities) at 11th Rotman International Trading Competition held in February 2014 in Toronto.

This is the fourth year in a row a Baruch MFE team is in Top 5 at RITC (after winning the competition in 2012 and placing 3rd in 2011 and 2013)! This consistency unprecedented in the 11 years of RITC competition highlights the strength of our community – our students are prepared by dedicated alumni who participated in the competition in prior years, including Andrew Chang, Yike Lu, and Alexei Smirnov, and coordinated by Eugene Krel.

Congratulations to our students, John Han (team captain), Jun Hua, Dustin Moy, Fubo Shi, Bo Yuan, Peng Wu!

A record number of teams participated this year, including US-based MFE/Math Finance programs: UC Berkeley (3 and 15), Chicago (17 and 22), Rutgers (19), Stanford (26), Boston University (35 and 36), and undergraduate teams from Princeton (7), MIT (18), and Cornell (41), among others.

Ivan Matic

Tuesday, February 25th, 2014

Assistant Professor
Department of Mathematics
Baruch College
City University of New York
Office: VC 6-294, Phone: (646) 312-4142
55 Lexington – Newman Vertical Campus
E-mail: Ivan”dot”Matic”at”baruch”dot”cuny”dot”edu


Spring 2015:

Click here to access the information on current and past courses.


I am interested in probability, statistical mechanics, partial differential equations, combinatorics, and dynamical systems. Click here to get a more detailed description of my research.


  • I. Matic, D. Sivakoff, Excited deterministic walk in a random environment, Electronic Journal of Probability, vol. 20 (2015) no. 44, 1-19, Institute of Mathematical Statistics, ISSN 1083-6489 [PDF]

  • I. Matic, Inequalities with determinants of perturbed positive matrices, Linear Algebra and its Applications 449 (2014), 166–174 [PDF]

  • I. Matic, J. Nolen, A sublinear variance bound for solutions of a random Hamilton-Jacobi equation, Journal of Statistical Physics, 149 (2012), 342-361 [PDF]

  • I. Matic, Large deviations for processes in random environments with jumps, Electronic Journal of Probability, vol. 16 no. 87 (11-23-2011), pp. 2406-2438, Institute of Mathematical Statistics, ISSN 1083-6489 [PDF]

  • I. Matic, Homogenizations and large deviations (PhD Thesis), UC Berkeley, 2010 [PDF]


  • D. Djukic, V. Jankovic, I. Matic, N. Petrovic, The IMO Compendium 1959-2009 (second edition), Springer 2011

  • V. Baltic, D. Djukic, Dj. Krtinic, I. Matic, Practice Problems for High School Math Competitions in Serbia (in Serbian), Serbian Mathematical Society, 2008

  • Z. Kadelburg, D. Djukic, M. Lukic, I. Matic, Inequalities (in Serbian), Serbian Mathematical Society, 2003


Dr. Jim Gatheral Named Presidential Professor at Baruch College

Wednesday, April 10th, 2013

Jim Gatheral joins Baruch MFE program


April 11, 2013. It is with great pleasure that we are able to announce that Dr. Jim Gatheral of the Financial Engineering Masters Program at Baruch College was named Presidential Professor at Baruch College, City University of New York.

Dr. Gatheral joined Baruch College in August 2010, after a distinguished career in finance, most recently as a Managing Director at Merrill Lynch, where he led the quantitative research group for 17 years. Before making his way to New York, Dr. Gatheral’s work spanned the trading and banking worlds, working out of London and Tokyo.

Dr. Gatheral,  one of the top quants in the world and author of the best selling book “The Volatility Surface: A Practitioner’s Guide“, has strengthened the Baruch MFE Program, propelling it to be included among the top five such programs by the end of 2011. Jim’s impact on the Baruch MFE program has been significant and multi-faceted, leading directly to not only increasing the program’s prestige and standing, but also attracting even stronger students who have since won international competitions, including the Rotman International Trading Competition and the Metaquotes Automated Trading Championship.

Baruch MFE – Third year in a row in Top 3 at the Rotman International Trading Competition

Tuesday, March 26th, 2013


The Baruch Financial Engineering Program won 3rd place (out of 48 teams) at the Rotman International Trading Competition held in February 2013 at University of Toronto.

This is the third year in a row a Baruch MFE team is in Top 3 at RITC (after winning the competition in 2012 and placing 3rd in 2011)! This consistency, unprecedented at RITC, coupled with the 2nd place for the Baruch MFE Program in the IAFE Case Competition, highlights the breadth of knowledge of our students at highly competitive levels.


Top 5:
1. Laval University
2. Chulalongkorn University (Thailand)
3. Baruch College
3. University of Toronto
5. BI Norwegian Business School (2012 winner of the European Rotman Competition)

The Baruch MFE team ranked in top five in four of the six parts of the competition:

Quant Outcry – 1st
Options Trading – 2nd
Sales & Trader – 2nd
Algo Trading – 3rd

A record number of US-based MFE/Math Finance programs participated this year: Baruch (3rd place), Berkeley (38), Boston University (29 and 37), Chicago (12 and 41), NYU (35), Rutgers (32).

Congratulations to our students, Andrew Chang, Juan Pablo Alonso, Kenneth Chan, Richard Postelnik, Kelvin Zhang, and Sean Zhang! (Kelvin and Sean were also members of the IAFE team.)

Baruch MFE Program – Second Place in the 2012 IAFE Academic Case Competition

Tuesday, March 26th, 2013


The Baruch MFE Program won second place in the IAFE Academic Case Competition, which was announced at the IAFE Annual Gala in February 2013.

Having our students at the very top in both trading competitions (winning the Rotman International Trading Competition in 2012) and case competitions is unique. The breadth of their knowledge and interests are one of the keys to their remarkable success on the job market.

31 teams representing 17 financial engineering programs entered the five weeks competition concluded in December 2012; UC Berkeley won first place; no other winners past second place were announced.

The case was a capital adequacy problem – how to allocate funds to maximize returns while complying with the regulatory requirement of Basel III, as well as suggest regulatory improvements for Basel III.

The Baruch MFE program entered one team made of six (first semester) students; two of them were also on the 3rd place Baruch MFE team at the 2013 Rotman Trading Competition:

Yi Kelvin Zhang (team captain; RITC team) Srinivas Kanepalli Jin Kong Ran Sally Liu Yujia Helen Sun Shixiang Sean Zhang (RITC team)

Congratulations to our winners!

Baruch MFE student JP Alonso – Second Place in the Metaquotes Automated Trading Championship 2012

Saturday, December 15th, 2012


Baruch MFE student Juan Pablo Alonso (Baruch MFE’13) won second place in the 2012 Metaquotes Automated Trading Championship held from October 1st to December 28th, 2012, and a $25,000 money prize.

Juan Pablo programmed a fully automated currency trading robot that ran without human interaction for the three months of the competition. The program was created using statistical analysis of historical EUR\USD data to find a trade algorithm that maximized the expected return.

451 traders from over 50 countries on all continents created trading robots that participated in the competition. In the top 20 were participants from United States, Spain, Russia, Belarus, China, Lithuania, Indonesia, France, and Italy. In true trading fashion, only the top three places received prize money.

Juan Pablo was the most followed trader of the competition; an interview with him is posted at


The Baruch MFE Program Wins the 2012 Rotman International Trading Competition (RITC)

Friday, December 14th, 2012

The Baruch MFE students won the 2012 Rotman International Trading Competition.

The Baruch MFE teams ranked first and fourth place out of 50 teams in the ninth annual Rotman International Trading Competition that took place in February 2012 at University of Toronto.

Top Five:

1. Baruch College
2. University of Rome – LUISS Guido Carli
3. University of Chicago
4. Baruch College
5. University of Waterloo

The final results can be found here.

Detailed performances per case:

Quantitative Event Driven Trading: 2nd and 4th place
Commodities Trading: 4th and 5th place
High Frequency Algorithmic Trading: 4th and 7th place
Sales and Trader: 5th and 5th place
Options Trading: 10th and 13th place
Quantitative Outcry: 12th and 22nd place

Our students placed particularly high in the quantitative and algorithmic cases.

The team was trained by Mr. Eugene Krel (Baruch MFE’09 and Quantitative Brokers; member of the first Baruch MFE team at RITC 2009) and was advised during the competition by Eugene and Professor Rados Radoicic.

Our success is a tribute to the great consistency and self-discipline of our team members, their intensive preparation for the competition, and their trading and analytical skills. Last but not least, our students demonstrated outstanding teamwork.

Congratulations to our Baruch MFE winners, Andrew Chang, Jing Chen, Alex Hawat, Gama Le Bouder, Tom Maloney, Yike Lu, Alexei Smirnov and Zhechao Zhou!

The Baruch MFE Team:

Mr. Andrew Chang graduated in three years, Summa Cum Laude, with a double major in actuarial science and economics and a minor in statistics and quantitative modeling from Baruch College. While a fixed income intern at Goldstein Capital, Andrew worked on the valuation and hedging of mortgage backed securities. Andrew has experience using Monte Carlo simulations in C++ for the valuation of both derivative securities and insurance products using copula models. In addition to C++, Andrew is proficient in C, VBA and R as well as implementing these languages for numerical pricing techniques. Andrew is working as a research assistant with Jim Gatheral.

Mr. Jing Chen has a bachelor’s degree in economics from Shanghai University of Finance and Economics (SHUFE). He has experience developing a financial software platform in the Financial Laboratory at SHUFE, and interned in the mortgage department at Citibank China. Jing is a quick learner and has strong mathematical knowledge and programming skills. His programming abilities encompass C++, C, VBA and Matlab. Jing already demonstrated very good problem solving ability and teamwork spirit, having his colleagues gravitate to him for help understanding the material.

Mr. Alexandre El Hawat has over eight years of experience in finance and software development. His experience in finance spans from financial advisory, investment consulting and private equity in the Middle-East to investment banking advisory at Lehman Brothers’ Communications and Media group. Alex was an application engineer at Schlumberger where he developed security applications for Schlumberger’s smart card division and its major energy industry clients. Before that, he was a software engineer at Tradanet where he managed the development of a retail-banks Supply chain Management software. He is proficient in programming languages (C/C++, Python, R, Matlab among others) and major financial systems (Bloomberg, Thomson One, Capital IQ and Reuters). Alex has over 10 years of experience in trading equity and options. His unique background and experience allowed him to understand the concepts of quantitative analysis and to efficiently employ his mathematical, financial and computer modeling skills to make pricing, hedging, trading and portfolio management decisions. He holds a Bachelor in Electrical Engineering from the American University of Beirut and an MBA with a Concentration in Finance from the McCombs School of Business at the University of Texas in Austin.

Mr. Gama Le Bouder holds a Bachelors of Science in Economics from the Massachusetts Institute of Technology. While an undergraduate at MIT, he worked in the Financial Engineering Lab as a member of the Traders’ Task Force, conducting monthly electronic trading simulations focused around fixed income securities, equities and futures. Gama is a two-time winner of the Rotman International Trading Competition as a member of the MIT team (ranked first out of 50 teams), and also placed third in the online DC Energy DegreeTrade competition. Gama has been exposed to working in emerging markets and has a broad perspective on global markets. He is very professional and couples an easy-going personality with razor sharp focus.

Mr. Yike Lu (Baruch MFE’12, B.S. Physics Caltech’09) designed the strategy for Baruch College’s first place algorithm for RITC2011 and works at QuantBot Technologies.

Mr. Thomas Maloney holds a bachelor’s degree in physics and mathematics from Cornell University. He was a consultant with Morgan Stanley Prime Brokerage, and has gained research experience while working at The Rockefeller University in the Laboratory of Neurobiology and Behavior. He has extensive experience analyzing EEG signals in Matlab using signal processing techniques. At Baruch Thomas has expanded his knowledge of C++, VBA, Python, and bash scripting; he has written Monte Carlo and Finite Difference programs to price various options and to estimate the Greeks. Thomas is a team-player and eager to contribute his skills in quantitative finance.

Mr. Alexei Smirnov has a computer science and biology dual degree from Binghamton University – SUNY. As a member of the Baruch MFE team at the Rotman International Competition (3rd place out of 50 teams), he co-designed the trading algorithm that gave the team first place, by a wide margin, in algorithmic trading, and created the team’s news-based Natural Gas Futures trading model. Alexei also created the team’s practice environment, which was essential to the success of the team. Alexei is currently working on novel portfolio optimization techniques at Winged Foot Capital. He is experienced in conducting statistical analysis for financial applications in C++, VBA and R, and is interested in fundamental and quantitative trading techniques. Alexei is highly capable and focused on delivering the highest quality results.

Ms. Zhechao Zhou has a master degree in applied mathematics from University of Michigan and a bachelor in physics and mathematics from Bard College. She built jump-diffusion forecast models of the VIX index for trading strategies at a New York hedge fund. She also developed models analyzing the relationship of high frequency trading and equity pricing in research. Zhechao has an unusually vast experience in implementing numerical pricing techniques in C++, VBA and Matlab, and has strong motivation for personal achievement and team success.

Photo credit Mr. William Chiu

Baruch MFE Tenth Anniversary – September 2012

Monday, December 10th, 2012

New York City – Over 200 people celebrated the 10 year anniversary of the Financial Engineering Program at Baruch College on Monday, Sept 24, 2012. Recognized at the reception were major contributors to the success of the Baruch MFE Program, including alumni, faculty, friends from the financial industry, as well as leaders of City University of New York and of Baruch College and the Zicklin School of Business.

Brief speeches showcasing the history and the achievements of the Baruch MFE Program and its highly successful and close-knit community, were followed by an animated reception. More than 80 alumni, including alumni from each cohort graduated so far participated at the reception, and current students had the opportunity to interact with alumni and leading industry practitioners.

Major achievements in the first ten years of the Baruch MFE Program:

World-Class Excellence:
Rotman International Trading Competition: 1st and 4th (2012); 3rd (2011); 10th (2009)
Interactive Brokers Trading Competition: 2nd place (2006, 2008); seven of 62 winners from 13 countries in 2009 (final year) were Baruch MFE students
World class faculty led by Professor Jim Gatheral

Engaged Community: volunteering in Central Park; trips to NYSE, Morgan Library, MoMA, Metropolitan Opera, Planetarium – Natural History Museum, Yankees Stadium

Alumni Community
• One-on-one mentoring by alumni offered to all current students
• 50% of all alumni attended the April 2011 Baruch MFE Town Hall Meeting
• 43% of all alumni contributed to refurbishing the QuantLab (Baruch MFE student study lounge)
• Three alumni teaching in the program: Eugene Krel’09 – trading, Alain Ledon’08 – software engineering, Bob Spruill’07 – financial instruments
• Three alumni coaching team for Rotman International Trading Competition (1st place in 2012): Eugene Krel’09, Yike Lu’12, Alexei Smirnov’12