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Program Faculty
A long time professor in the Baruch MFE program, Dr. Salih Neftci passed away on April 15, 2009, after a long battle with cancer. A special online tribute in his memories was created by his students.
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Ken Abbott is a Managing Director at Morgan Stanley in New York, where he is Chief Operating Officer for the Market Risk Department. In addition, he also supervises the capital, regulatory and scenario processes and is responsible for the legal entity risk management for Morgan Stanley's US broker dealer and national bank. 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 is an adjunct faculty member at NYU and Rutgers and sits on the GARP Board of Directors. |
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Turan G.
Bali is on the faculty of the Department of Economics and Finance in
Baruch's prestigious Zicklin School of Business. He published in
the Annals of Operations Research, Journal of Business,
Journal of Finance, Journal of Financial and Quantitative Analysis,
Journal of
Empirical Finance, Journal of Banking and Finance, Journal of Futures
Markets,
Journal of Fixed Income, and Risk. He specializes in
financial risk management, extreme value theory and its applications,
pricing
fixed income derivatives and interest rate options, term structure of
interest
rate volatility, value at risk, optimal portfolio selection, dynamic
asset
allocation, GARCH, diffusion and stochastic volatility models. He holds
a
BA from Bogazic University (Turkey) and MPhil and PhD degrees from the
City University
of New York. |
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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. |
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Greg
Ciresi has a degree in physics and a Masters Degree in Mathematical
Finance from the Courant Institute of Mathematical Sciences, New York
University. He has worked as a quantitative analyst for
several large equity and fixed income hedge funds in New York.
Currently,
he is Senior Financial Engineer of Structured Portfolios in the Debt
Capital Markets Group at Cantor Fitzgerald. He is an adjunct professor
at Baruch College and at NYU, where he teaches courses on option
pricing, credit risk management and empirical finance. |
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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. |
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Warren B.
Gordon has been Chair of the Mathematics Department at Baruch since
1985. 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 NYU's
Courant
Institute of Mathematical Sciences. |
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C. 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. |
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Cal
Johnson comes to Baruch with twenty-six years of Wall Street
experience, where he was a "quant" in
both fixed-income and equity derivatives, working with single-factor
interest rate term-structure
models and "local volatility" equity skew models at Salomon
Brothers,Smith Barney and Citigroup. He
holds a BS in mathematics from the California Institute of Technology
and a Ph.D. in mathematics from
the University of Massachusetts. |
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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. |
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Terrence
F. Martell is on the faculty of the finance department in Baruch's
prestigious Zicklin School of Business. 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. |
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Anita Mayo
received the Ph.D. degree in mathematics from the Courant Institute,
then taught at the University of California, Berkeley, Stanford
University and
SUNY Stony Brook. Following that she joined the staff of the Watson
Research
Center at IBM. While there, she developed and implemented mathematical
techniques for designing computer components and recording devices. She
also
developed computational techniques used to solve problems in computer
graphics,
fluid dynamics and computational biology. Her most recent area of work
is in
computational finance. She is a consultant to engineers at IBM on
mathematical
problems arising in the manufacture of computer chips, and doing
research with
financial analysts at Bloomberg on hedging strategies and the pricing
of certain
types of exotic options. |
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Attilio Meucci leads the research effort of ALPHA, the portfolio analytics and risk platform at Bloomberg.
Previously, Attilio was a researcher at Lehman Brothers, a trader at the hedge fund Relative Value International, and a consultant at Bain & Co. Attilio is the author of Risk and Asset Allocation, Springer, 2005, and several other publications in practitioners and academic journals. He teaches graduate courses on quantitative risk- and portfolio-management worldwide and he is frequently invited as a speaker to conferences, financial institutions and universities. Attilio Meucci holds a BA summa 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.
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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. |
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Salih Neftci is well known for his books Principles of Financial Engineering
- a unique book presenting a practioner's angle on the trading and
valuation of financial instruments, and An Introduction to the Mathematics of
Pricing
Financial Derivatives - one of the standard texts in financial
derivatives
graduate courses. His current research and teaching is in the areas of
financial
engineering, risk management of extreme events, in emerging market
asset trading
strategies and in contingent capital and credit lines. Professor Neftci
is the
Head of the FAME Certificate program in Switzerland, teaches at the
Graduate
School of the City University of New York, at the New School University
and has
a visiting appointment at the ISMA Centre, Reading University, U.K. He
holds a
PhD from University of Minnesota. |
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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. |
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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.
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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", based on material taught in
the Advanced Calculus refresher course 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. |
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Leon Tatevossian 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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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. |
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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. |
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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.
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