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.
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.
Mark Higgins is the Chief Operating Officer, co-founder, and lead quant at Beacon Platform Inc (previously Washington Square Technologies), a financial technology company focused on the capital markets that builds an institutional quant platform called Beacon. Prior to starting Beacon Platform Inc in May 2014, Dr Higgins spent eight years at JPMorgan, where he co-headed the Quantitative Research group for the Investment Bank, launched and delivered the Athena project, and ran part of the Currency Options franchise. He started on Wall St at Goldman Sachs in 1998 where he worked as a Strategist on the FX and rates desks, focused on derivatives pricing and risk management. Dr Higgins has a PhD in astrophysics from Queen’s University in Kingston, Canada.
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 Kosyginais a probabilist with additional interests in PDEs. Her research concerns random walks and diffusions in random media and homogenization of viscous Hamilton-Jacobi equations with random coefficients. She enjoys teaching probability and stochastic calculus at Baruch’s MFE program and probability, analysis, and mathematical finance courses at Baruch’s Mathematics Department, which she joined in 2002. Since 2005 she is also a member of doctoral faculty at the CUNY Graduate Center. She received her Candidate Degree in Physics and Mathematics from Moscow State University and PhD from Courant Institute of Mathematical Sciences, NYU.
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 he has sixteen years of industrial experience in derivatives trading, quantitative research and modeling, and risk management. He is widely known in the financial industry for his work on the popular SABR volatility 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 fixed income hedge fund in Greenwich, CT. He was 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, mathematical finance, and partial differential equation. 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.
Bill Morokoff is a Managing Director at Axioma, where as Head of Research he oversees model development of the firm’s multi-asset class risk and portfolio construction solutions as well as the Applied Research team’s work on market commentary and thought leadership. Prior to Axioma, he was Managing Director, Head of Quantitative Analytics at Standard & Poor’s Ratings Services where his group focused on credit risk modeling. Bill has also worked on modeling portfolio credit risk at Moody’s KMV and in developing market risk models at Goldman Sachs. He holds a B.S. in Chemical Engineering from Purdue University and a Ph.D. in Mathematics from the Courant Institute at New York University, where he specialized in Monte Carlo methods and numerical analysis.
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 managing director at Goldman Sachs where he heads the Systematic Equity Trading effort in the asset management division. Dmitry is an expert is market microstructure, regularly publishing and presenting at industry, academic and regulatory events. Dmitry joined Goldman Sachs in 2000 in the Securities Division building electronic trading strategies for Redi+ and Goldman Sachs Algorithmic Trading platforms. He re-joined Goldman Sachs in 2013 in the Quantitative Investment Strategies (QIS) Group to build the systematic trading effort within QIS. Previously, Dmitry was a senior vice president at Sanford C. Bernstein, where he was global head of Trading Research. Before that, from 2008 to 2012 he was managing the Quantitative Trading desk at Alliance Bernstein Asset Management. Earlier in his career, Dmitry worked as a senior quantitative researcher at Citadel Investment Group on the Statistical Fixed Income, Currency and Commodity Desk. Dr. Rakhlin holds a PhD in Physics from New York University (NYU) as well as and an MS in Financial Mathematics from NYU Courant Institute of Mathematical Sciences.
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.
Mark Ross is a desk strategist in Morgan Stanley’s Securities Lending Division. He has been giving VBA workshops to the incoming Baruch MFE cohorts for years. In addition to VBA, Mark is now an adjunct professor teaching Python to first year students.
Adrian Sisser is a co-founder of Seven Eight Capital in New York, a quantitative, medium-term, Statistical Arbitrage hedge fund with a strong emphasis on machine learning. Prior to Seven Eight, Adrian co-led the Stat Arb group at IVC Americas, a London-based fund. He also has extensive experience in IT, acting as a Vice-President in the Equities Risk IT group at Lehman Brothers and has a BA in Computer Science from Duke University and an MS in Computational Finance from Carnegie Mellon.
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.
Giulio Trigila has a background in Physics and Applied Mathematics with a focus in applied probability and numerical optimization. His main research topic concerns data driven algorithms for the solution of the optimal transport problem and its application to data analysis. In particular, he is developing a new methodology for the explanation of variability and the removal of confounding factors from data defined in high dimensional spaces. He obtained a M.S. in Theoretical Physics at the University of Rome La Sapienza and a Ph.D. in Applied Mathematics from the Courant Institute of Mathematical Sciences. Subsequently he held an appointment as a Post-doctoral fellow at the Technical University of Munich.
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.