Francis A. Longstaff (born August 3, 1956) [1] is an American educator and pioneer in quantitative finance. He serves as the Allstate Professor of Insurance and Finance at the Anderson School of Management, University of California, Los Angeles, and the former Finance Area Chair. [2]
His research focuses on fixed income markets, term structure, derivatives, credit risk, computational finance and the role of arbitrage in financial markets. He is known for the Longstaff–Schwartz model a multi-factor short-rate model, and the Longstaff-Schwartz method for valuing American options by Monte Carlo Simulation. [3] He has published over 50 research and practitioner articles, [4] [5] and is a recipient of the Michael Brennan Award.
Longstaff was head of Fixed Income Derivative Research at Salomon Brothers from 1995 to 1998, and worked in the research department of the Chicago Board of Trade and for Deloitte and Touche as a management consultant. He is a research associate in the National Bureau of Economic Research Asset Pricing Program. [6]
Longstaff earned his Ph.D. in finance from the Graduate School of Business at the University of Chicago, in 1987. He received a BA finance (1979, magna cum laude), BA accounting (1982, first in class), and MBA (1980, first in class), all from the University of Utah. He is also a Certified Public Accountant (CPA) and holds the Chartered Financial Analyst (CFA) designation.
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A swaption is an option granting its owner the right but not the obligation to enter into an underlying swap. Although options can be traded on a variety of swaps, the term "swaption" typically refers to options on interest rate swaps.
A short-rate model, in the context of interest rate derivatives, is a mathematical model that describes the future evolution of interest rates by describing the future evolution of the short rate, usually written .
Monte Carlo methods are used in corporate finance and mathematical finance to value and analyze (complex) instruments, portfolios and investments by simulating the various sources of uncertainty affecting their value, and then determining the distribution of their value over the range of resultant outcomes. This is usually done by help of stochastic asset models. The advantage of Monte Carlo methods over other techniques increases as the dimensions of the problem increase.
John C. Hull is a Professor of Derivatives and Risk Management at the Rotman School of Management at the University of Toronto.
Fixed-income arbitrage is a group of market-neutral-investment strategies that are designed to take advantage of differences in interest rates between varying fixed-income securities or contracts. Arbitrage in terms of investment strategy, involves buying securities on one market for immediate resale on another market in order to profit from a price discrepancy.
Frank J. Fabozzi is an American economist, educator, writer, and investor, currently Professor of Practice at The Johns Hopkins University Carey Business School and a Member of Edhec Risk Institute. He was previously a Professor of Finance at EDHEC Business School, Professor in the Practice of Finance and Becton Fellow in the Yale School of Management, and a Visiting Professor of Finance at the Sloan School of Management at the Massachusetts Institute of Technology. He has authored and edited many books, three of which were coauthored with Nobel laureates, Franco Modigliani and Harry Markowitz. He has been the editor of the Journal of Portfolio Management since 1986 and is on the board of directors of the BlackRock complex of closed-end funds.
Robert Alan Jarrow is the Ronald P. and Susan E. Lynch Professor of Investment Management at the Johnson Graduate School of Management, Cornell University. Professor Jarrow is a co-creator of the Heath–Jarrow–Morton framework for pricing interest rate derivatives, a co-creator of the reduced form Jarrow–Turnbull credit risk models employed for pricing credit derivatives, and the creator of the forward price martingale measure. These tools and models are now the standards utilized for pricing and hedging in major investment and commercial banks.
The following outline is provided as an overview of and topical guide to finance:
A master's degree in quantitative finance concerns the application of mathematical methods to the solution of problems in financial economics. There are several like-titled degrees which may further focus on financial engineering, computational finance, mathematical finance, and/or financial risk management.
Ivo Welch, a German-born economist and finance academic. He is the J. Fred Weston Professor of Finance at UCLA Anderson School of Management. He completed his BA in computer science in 1985 at Columbia University, and both his MBA and PhD in finance at the University of Chicago.
Chi-fu Huang is a private investor, a retired hedge fund manager, and a former finance academic. He has made contributions to the theory of financial economics, writing on dynamic general equilibrium theory, intertemporal utility theory, and the theory of individual consumption and portfolio decisions.
Eduardo Saul Schwartz is a professor of finance at SFU's Beedie School of Business, where he holds the Ryan Beedie Chair in Finance. He is also a Distinguished Research Professor at the University of California, Los Angeles. He is known for pioneering research in several areas of finance, particularly derivatives. His major contributions include: the real options method of pricing investments under uncertainty; the Longstaff–Schwartz model - a multi-factor short-rate model; the Longstaff-Schwartz method for valuing American options by Monte Carlo Simulation; the use of Finite difference methods for option pricing.
Michael J. Brennan is emeritus professor of finance at the UCLA Anderson School of Management. Brennan co-designed the Brennan-Schwartz interest rate model and was a pioneer of real options theory. His writings on real options and asset pricing, corporate finance, derivative securities, market microstructure, the role of information in capital markets, and risk management have been published extensively.
Mathematical finance, also known as quantitative finance and financial mathematics, is a field of applied mathematics, concerned with mathematical modeling of financial markets.
Farshid Jamshidian is a finance researcher, academic and practitioner. His experience covers both fixed-income and equity research and trading. Dr. Jamshidian has made important contributions to the theory of derivatives pricing, and has published extensively, especially on interest rate modelling, amongst other contributions, developing the use of the forward measure, and "Jamshidian's trick", widely applied in the pricing of bond options.
Riccardo Rebonato is Professor of Finance at EDHEC Business School and EDHEC-Risk Institute, Scientific Director of the EDHEC Risk Climate Impact Institute (ERCII), and author of journal articles and books on Mathematical Finance, covering derivatives pricing, risk management, asset allocation and climate change. Prior to this, he was Global Head of Rates and FX Analytics at PIMCO.
Söhnke Matthias Bartram is a Professor in the Department of Finance at Warwick Business School (WBS). He is also a Research Fellow in the Financial Economics programme and the International Macroeconomics and Finance programme of the Centre for Economic Policy Research (CEPR), a Charter Member of Risk Who's Who, and a member of an international think tank for policy advice to the German government. Prior to joining the University of Warwick, he held faculty positions at Lancaster University and Maastricht University and worked for several years in quantitative investment management at State Street Global Advisors as Head of the London Advanced Research Center.
Alan D. White is a University of Toronto finance professor, a specialist in financial engineering, best known for the Hull-White interest rate model and associated numerical procedures, authored with John Hull.
Craig Woodworth Holden is the Finance Department Chair and Gregg T. and Judith A. Summerville Chair of Finance at the Kelley School of Business at Indiana University. His research focuses on market microstructure. He is secretary-treasurer of the Society for Financial Studies. He is an associate editor of the Journal of Financial Markets. His M.B.A. and Ph.D. are from the Anderson School of Management at UCLA. He received the Fama-DFA Prize for the second best paper in capital markets published in the Journal of Financial Economics in 2009, the Spangler-IQAM Award for the best investments paper published in the Review of Finance in 2017-2018, and the Philip Brown Prize for the best paper published in 2017 using SIRCA data. His research has been cited more than 4,300 times. He has written two books on financial modeling in Excel: Excel Modeling in Investments and Excel Modeling in Corporate Finance. He has chaired 22 dissertations, been a member or chair of 62 dissertations, and serves on the program committees of the Western Finance Association and European Finance Association.
Antonio Mele is an Italian economist.
