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Faculty

Kenneth C. Abbott, Instructor since 2004. Ken Abbott is a Managing Director at Morgan Stanley in New York.  He is responsible for the risk management of currencies, interest rates, commodities, and emerging markets businesses.  He is also responsible for market risk and credit risk methodology.  Formerly, he was Senior Vice President and Global Head of Market Risk for Bank of America's Investment Bank including trading activities, model validation, credit analytics and quantitative training. BA from Harvard in Economics, 1983. MA in Economics from NYU/GSAS in 1991, MS in Statistics and Operations Research from NYU/Stern in 1994. He is on the Board of the Global Association of Risk Professionals.

Steve Allen, Instructor 1998-2009. Steve retired from JPMorgan Chase in 2004, after a 35-year career in the finance industry, most recently as managing director of JPMorgan Chase in charge of risk methodology, including responsibility for capital methodology for both market and credit risk, research on risk issues, and model review. Previous positions he held include 7 years as head of market risk management for all of Chase's derivative products globally and 10 years as director of modeling for Chase's trading activities. Steve has taught in the Courant Masters in Math Finance program since 1998 He is the author of Financial Risk Management: A Practitioner's Guide to Managing Market and Credit Risk and is on the Board of Directors of the International Association of Financial Engineers.

Robert Almgren, Instructor 2006-2009. Co-founder of Quantitative Brokers.  Until 2008, Dr. Almgren was a Managing Director and Head of Quantitative Strategies in the Electronic Trading Services group of Banc of America Securities. From 2000-2005, he was a tenured Associate Professor of Mathematics and Computer Science at the University of Toronto, and Director of its Master of Mathematical Finance Program. Before that, he was an Assistant Professor of Mathematics at the University of Chicago and Associate Director of the Program on Financial Mathematics. Dr. Almgren holds a B.S. in Physics and Mathematics from the Massachusetts Institute of Technology, an M.S. in Applied Mathematics from Harvard University and a Ph.D. in Applied and Computational Mathematics from Princeton University. He has an extensive research record in applied mathematics, including several papers on optimal securities trading, transaction cost measurement, and portfolio formation.

Leif Andersen, Instructor since 2004. Leif holds an MSc in Electrical and Mechanical Engineering from Technical University of Denmark; an MBA from University of California at Berkeley; and a PhD in Finance from Aarhus Business School. He currently heads the rates, FX, and credit quantitative research groups at Banc of America Securities. Before that he spent 9 years at General Re Financial Products, working in a variety of financial markets. Leif has published many papers in academic and industry journals, and won Risk Magazine's 2001 Quant of the Year Award.

Marco M. Avellaneda, Professor of Mathematics and Director of the Division of Financial Mathematics, Organizer of Math Finance Seminar Series. Instructor since 1998. B.S., Buenos Aires, 1981, Ph.D. University of Minnesota 1985. Marco's research centers around quantitative trading strategies and financial models. He has published in mathematical finance and applied mathematics, including volatility modeling, the design of composite materials and hydrodynamic turbulence. He was a V.P. at Morgan Stanley in  1997 and 1998 in the Derivatives Products Group; Portfolio Manager at Capital Fund Management, where he created the Nimbus Fund 2004; Portfolio Manager at a major New York hedge fund where he ran Statistical Arbitrage 2006 to 2008; Partner at Finance Concepts LLC, a risk management consultancy with offices in New York and Paris 2003 to present ; Editor of journals Quantitative Finance, International Journal of Theoretical and Applied Finance, where he was editor in chief from 1998 to 2003; Managing editor of the International Journal of Theoretical and Applied Finance; Associate editor of Communications in Pure and Applied Mathematics and Mathematical Methods in Applied Sciences. Marco is the author of the textbook ''Quantitative Modeling of Derivative Securities: From Theory to Practice," and edited the collection "Quantitative Analysis in Financial Markets, Vols I - III." Marco was named Quant of the Year 2010 by Risk Magazine.

Paul Bourgade, Associate Professor of Mathematics and Chair of Financial Mathematics M.S. Program.  Paul earned his Ph.D. in Mathematics from Université Paris 6, France, in 2009.  He received an M.S. in Probability from Université Paris 6, France, and an M.S. in Computer Science from Telecom Paris, France, in 2007.  He received his B.S. in Mathematics and Physics, École Polytechnique, France, in 2006. His research lies in probability theory (random matrices, stochastic analysis) and its connections with other domains of mathematics like partial differential equations.

Peter Carr, Executive Director of the M.S. Program in Mathematics in Finance, Instructor since 2003. In the spring of 2010, Peter rejoined Morgan Stanley as a Managing Director and the Global Head of Market Modelling. Previously he headed the Quantitative Financial Research group for Bloomberg in NY and equity derivative research groups at Banc of America Securities and at Morgan Stanley. His academic positions include 4 years as an adjunct professor at Columbia University and 8 years as a finance professor at Cornell University. Peter received his PhD. in Finance from UCLA in 1989 and has published extensively in both academic and industry-oriented journals. He is associate editor for 6 academic journals related to mathematical finance and derivatives and a frequent speaker at both practitioner and academic conferences. He is Risk Magazine's "Quant of the Year" for 2003 and Wilmott Magazine’s award for "Cutting Edge Research" in 2004.

Slyvain Corlay is a quant researcher at Bloomberg LP. Sylvain is also an adjunct faculty member at Columbia University. He holds a PhD in applied mathematics from University Paris VI. Sylvain’s research interests include: numerical probability, functional quantization methods, volatility and correlation modeling, and stochastic control.

Jan Dash, Instructor since 2009,  was a Director and managed quant/risk groups at Merrill Lynch, Eurobrokers, Fuji Capital Markets, Salomon Smith Barney / Citigroup, and Moore Capital Management. He is President of J. Dash Consultants LLC and Visiting Reseach Scholar at Fordham University’s Graduate School of Business. He introduced Feynman-Wiener path integrals as a general paradigm, including options. He co-invented the Macro-Micro Model that produces a more realistic description of underlying variables, including both long and short time scales. He wrote the book Quantitative Finance and Risk Management, A Physicist’s Approach (World Scientific, 2004). Earlier, he was Assistant Professor at the University of Oregon, Director de Recherche at the Centre de Physique Théorique (CNRS, Marseille, France), and MTS
at Bell Labs. He published over 60 scientific papers. He holds a BS in engineering from Caltech and a PhD in theoretical high-energy physics from UC Berkeley.

Bruno Dupire, Instructor since 2005. After having headed derivatives research teams at Societe Generale, Paribas and Nikko FP, Bruno joined Bloomberg in New York in 2004 to develop advanced analytics. He is best known for his work on volatility modelling, including the Local Volatility Model (1993), simplest extension of the Black-Scholes-Merton model to fit all option prices, and subsequent results on stochastic volatility and volatility derivatives. He was included in December 2002 in the Risk magazine "Hall of Fame" of the 50 most influential people in the history of derivatives. He is the recipient of the 2006 "Cutting edge research" Wilmott award and was voted in 2006 the most important derivatives practitioner of the past 5 years in the ICBI Global Derivatives industry survey.

Eymen Errais, Instructor in 2010. CEO and founder of CreditFlow, a Structured Credit Trading Advisory Firm, Dr. Errais has a PhD from Stanford University in Management Science and Engineering. He holds masters both in Operations Research and in Financial Engineering. He has worked in the areas of stochastic modelling, dynamic programming and Monte Carlo simulations. Eymen began his career as a credit derivatives trader at Credit Suisse before joining Barclays Capital where he worked both as a flow credit correlation trader and a bespoke trader. Then, he joined Calypso Technology to run their credit and rates business and to head Galapagos, a software company building genetic algorithms, acquired by Calypso Tech. Recently Eymen was the head of bespoke, options and off the run tranches trading at Creditex in NY.

Vladimir Finkelstein, Instructor since 2005, is a founding partner and Chief Science Officer of Horton Point LLC, investment management company specializing in quantitative strategies across asset classes. Prior to that, he was a Managing Director and Head of Quantitative Research at Citadel Investment Group (2003-2005), and the Head Derivatives Risk Modeler and a global head of Credit Derivatives Analytics at Goldman, Sachs (2000-2003). Vladimir began his carrier in finance at J.P.Morgan in 1991, where he first built the Fixed Income Derivatives Research Group in New York, and later was responsible for Global Credit Derivatives Analytics. He holds a Ph.D. in Physics from NYU and an M.S. in Theoretical Physics from the Moscow Institute of Physics and Technology.

Jonathan B. Goodman, Professor of Mathematics; Founding Chair of the Committee on Mathematics in Finance; Instructor since 2000. Jonathan earned his Ph.D. in 1982 from Stanford University, specializing in computational and applied mathematics. His research interests have ranged from the mathematical theory of shock waves to innovative Monte Carlo methods in quantum chemistry. His private consulting has included work on computational methods in finance for Morgan Stanley & Co. and NumeriX.

Douglas Greenig, Instructor in 2010. Doug is a portfolio manager with extensive experience in macro and fixed-income investing.  He was Managing Director at the Fortress Investment Group from 2006 to 2010.   Prior to Fortress, Doug was Managing Director at RBS Greenwich Capital where he ran both the MBS and the Structured Portfolios (multi-strategy) prop desks.  Doug worked at Goldman Sachs for 6 years in proprietary trading and fixed-income research.   Doug holds a Ph.D and an M.S. in Mathematics from the University of California at Berkeley, and an A.B. from Princeton University where he won the Wilson Prize for work in macroeconomics in 1986.

Julien Guyon is a senior quantitative analyst in the Quantitative Research group at Bloomberg L.P., New York. He is also an adjunct professor at Columbia University. Before joining Bloomberg, Julien worked in the Global Markets Quantitative Research team at Societe Generale in Paris for six years (2006-2012). He co-authored the book Nonlinear Option Pricing (Chapman & Hall, CRC Financial Mathematics Series, 2014) with Pierre Henry-Labordere. Julien holds a Ph.D. in Probability Theory and Statistics from Ecole des ponts (Paris). He graduated from Ecole Polytechnique (Paris), Universite Paris 6, and Ecole des ponts. He was also an adjunct professor at Universite Paris 7 and Ecole des ponts. His main research interests include nonlinear option pricing, volatility and correlation modeling, and numerical probabilistic methods.

Ali Hirsa, Instructor since 2004.  Head of Analytical Trading Strategy at Caspian Capital Management, LLC.  Prior to his current position, Ali worked at Morgan Stanley, Banc of American Securities, and Prudential Securities.  Ali received his Ph.D. in applied mathematics from University of Maryland at College Park under the supervision of Dilip B. Madan.  His dissertation focus was on pricing exotic options under Levy processes. 

Merrell Hora, Instructor in 2009.  Merrell Hora is responsible for the internal quantitative execution strategies for Credit Suisse's equity program trading group.  Previously he was responsible for quantitative research and development for Credit Suisse's algorithmic trading platform, Advanced Execution Services.  Prior to joining Credit Suisse he was with Lava Trading, providing quantitative research supporting dynamic order routing and liquidity forecasting.  Prior to that, he was a senior portfolio manager with OppenheimerFunds, serving as lead manager for 7 fixed income funds.  While at OppenheimerFunds he also developed numerous quantitative products supporting intraday hedging, stock selection, asset allocation, and risk management.  Merrell has a Ph.D in economics from the University of Minesota, and a bachelors from the University of California at San Diego.

Brett Humphreys, Instrucor since 2008. Brett is an Executive Director in the Commodities group at Morgan Stanley where he focuses on risk management.  Prior to this, he worked in the commodities group at J.P Morgan, as a risk management consultant at Price Waterhouse, and in risk management advisory at Bankers Trust. In 1999, he co-founded Risk Capital, an independent risk management consulting company that was sold in 2006 to Towers Perrin.  He has a BA from Harvard in Physical Sciences (1991) and a Ph.D. from Pennsylvania State University in Mineral Economics, (1996).

Robert V. Kohn, Professor of Mathematics; Chair of the Committee on Mathematics in Finance (2003-2006 and 2009-2011); Instructor since 1998. Bob received his Ph.D. from Princeton University in 1979. His research interests include materials science, nonlinear partial differential equations, inverse problems and optimization as well as finance.

Petter N. Kolm, Clinical Associate Professor of Mathematics since 2007;  Director of the Mathematics in Finance M.S. Program. Petter's research interests include quantitative trading strategies, delegated portfolio management, financial econometrics, risk management, and optimal portfolio strategies. He is a member of the editorial board of the Journal of Portfolio Management. Previously, Petter worked in the Quantitative Strategies Group at Goldman Sachs Asset Management where his responsibilities included researching and developing new quantitative investment strategies for the group's hedge fund. Petter coauthored the books Financial Modeling of the Equity Market: From CAPM to Cointegration (Wiley, 2006), Trends in Quantitative Finance (CFA Research Institute, 2006), and Robust Portfolio Management and Optimization (Wiley, 2007). He holds a doctorate in mathematics from Yale University, an M.Phil. in applied mathematics from the Royal Institute of Technology in Stockholm, and an M.S. in mathematics from ETH Zurich.

Kishor Laud, Instructor since 2000. Kishor's work includes pricing models, risk management solutions, trading strategies and their implementation in high-performance computing environments. Currently, he is a Principal at a leading asset management firm focusing on solutions for portfolio construction, risk and asset allocation.  Prior to that, Kishor was Director in the Global Equity Derivatives group at Merrill Lynch. At Merrill since 1993, Kishor has been in a wide range of businesses such as Emerging Markets, Credit Trading, and Bond Option Trading. Before Merrill, he was an analyst at Salomon Brothers. Kishor received his undergraduate degree in Electrical engineering from IIT, Mumbai and an MBA in Finance from the Stern School of Business at NYU.

Andrew Lesniewski , Instructor since 2007, is a Managing Director and the Head of Quantitative Research at Ellington Management Group, a Greenwich, CT hedge fund. His team is responsible for the design and development of mathematical models supporting the firm’s fixed income trading and risk management. Prior to that, Andrew 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 structured products trader in charge of trading exotic interest rates options. Before moving to finance, he was on the faculty of Harvard University. Andrew holds a Ph.D. in Mathematics from the Swiss Federal Institute of Technology (ETH) in Zurich, Switzerland.

Keith Lewis, instructor since 2008. By training, Keith is a mathematican who began his career as an assistant professor at Brown University. Since 1991 Keith has been working in New York at top investment firms.  At Bankers Trust he did technology for the interest rate derivatives group and worked in the quant group responsible for all derivative products traded by Bankers worldwide.  At Morgan Stanley Keith worked in the technology group supporting the fixed income derivative desk, ran the technical side of their AAA subsidiary, and was a member of the Global Treasury group responsible for determining capital charges for all trades done by the Derivative Products Group. At Banc of America Securities Keith was very actively engaged in many levels of their derivative securities business. Since 2002, Keith has been doing consulting for hedge funds and investment banks.

Richard Lindsey, Instructor since 2009, is president of the Callcott Group, LLC, a consulting group specializing in financial markets, risk management, and quantitative portfolio analysis.  He is the Chairman of the International Association of Financial Engineers.  Until December 2006, Dr. Lindsey was president of Bear, Stearns Securities Corporation and a member of the Management Committee of The Bear Stearns Companies, Inc.  Before joining Bear Stearns, Dr. Lindsey served as the Director of Market Regulation for the U.S. Securities and Exchange Commission and as the Chief Economist of the SEC.  He was a finance professor at the Yale School of Management before joining the SEC.  Dr. Lindsey has done extensive work in the areas of market micro-structure and the pricing of derivative securities.  He has held the positions of Visiting Academic at the Nikko Research Institute in Tokyo, Japan, and Visiting Economist at the New York Stock Exchange. He has a B.S. in Chemical Engineering from Illinois Institute of Technology, an M.S. in Chemical Engineering from Berkeley, an M.B.A. from the University of Dallas, and a Ph.D. in Finance from the University of California, Berkeley.

Lee Maclin, Instructor since 2000.  Lee has over twenty years of experience on Wall Street and has worked and consulted for some of its largest and best known firms. Since 1991, Lee has worked primarily in the trading and investment management fields, specializing in the application of statistical methods, modeling, and high frequency simulation. From 1993 to 1997, Lee ran a quantitative trading department for Mint Investment Management, which, at the time, was one of the largest commodity trading advisors in the world. In 2002, Lee was one of the founding partners of Pragma Financial Systems and, for the next six years, served as its Director of Research. At Pragma, Lee's work focused on the development of optimal execution and dynamic portfolio management tools. He is a frequent speaker on the topic of algorithmic trading and computational finance.

Fabio Mercurio, Instructor in 2011,  is a quant business managers at Bloomberg LP, New York. Previously, he was the head of the Financial Engineering at Banca IMI, Milan. He holds a BSc in Applied Mathematics from the University of Padua and a Ph.D. in Mathematical Finance from the Erasmus University of Rotterdam. His recent scientific interests include interest rate and inflation modelling for pricing and hedging exotics, the pricing of hybrids and the smile modelling for different asset classes. Fabio has published extensively in books and international journals, including 10 cutting-edge articles in Risk Magazine. He also jointly authored the book 'Interest rate models: theory and practice'.

Robert Reider, Instructor since 2007, is a Portfolio Manager for Millennium Partners, a multistrategy hedge fund, where he develops and trades various quantitative equity strategies. Prior to that, he was Vice President at J.P. Morgan in the Foreign Exchange Options group (1994-1997) and the Proprietary Trading group (1997-2000). He holds a Ph.D. in Finance from the Wharton School and a BS and MS in Systems Engineering from the University of Pennsylvania.

David Shimko, Instructor since 2006.  David holds a Ph.D. in finance from Northwestern University. He has taught finance at Northwestern, USC, Harvard Business School and the Courant Institute (NYU). His professional career included managing commodity derivatives research and risk management at JPMorgan, managing client advisory at Bankers Trust, and co-founding Risk Capital, an independent advisory firm sold to Towers Perrin in 2006.

Glen Swindle, Instructor since 2008. Glen Swindle is a Managing Director and co-head of natural gas and power trading at Credit Suisse in the Energy Marketing and Trading Group.  He was previously a Managing Director at Constellation Energy where he ran the strategies group.  Prior to this, he worked at Avista Energy in Houston, Westend Capital Management in Bermuda and at CSFB in fixed income arbitrage.  He has a Ph.D. in Applied Mathematics from Cornell University (1988), and held tenured positions at the University of California, Santa Barbara and at Cornell University.  He also has a BS from Caltech in Mechanical Engineering, (1982) and a MSE from Princeton University in Mechanical Aerospace Engineering, (1985). 

Leon Tatevossian, Instructor since 2009,  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.


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