Encyclopedia of Financial Models, Volume I

Contributors

Yves Achdou, PhD

Professor, Lab. Jacques-Louis Lions, University Paris-Diderot, Paris, France

Irene Aldridge

Managing Partner, Able Alpha Trading

Carol Alexander, PhD

Professor of Finance, University of Sussex

Andrew Alford, PhD

Managing Director, Quantitative Investment Strategies, Goldman Sachs Asset Management

Noël Amenc, PhD

Professor of Finance, EDHEC Business School, Director, EDHEC-Risk Institute

Bala Arshanapalli, PhD

Professor of Finance, Indiana University Northwest

David Audley, PhD

Senior Lecturer, The Johns Hopkins University

Jennifer Bender, PhD

Vice President, MSCI

William S. Berliner

Executive Vice President, Manhattan Advisory Services Inc.

Anand K. Bhattacharya, PhD

Professor of Finance Practice, Department of Finance, W. P. Carey School of Business, Arizona State University

Michele Leonardo Bianchi, PhD

Research Analyst, Specialized Intermediaries Supervision Department, Bank of Italy

Olivier Bokanowski

Associate Professor, Lab. Jacques-Louis Lions, University Paris-Diderot, Paris, France

Gerald W. Buetow Jr., PhD, CFA

President and Founder, BFRC Services, LLC

Paul Bukowski, CFA, FCAS

Executive President, Head of Equities, Hartford Investment Management

Joseph A. Cerniglia

Visiting Researcher, Courant Institute of Mathematical Sciences, New York University

Ren-Raw Chen

Professor of Finance, Graduate School of Business, Fordham University

Anna Chernobai, PhD

Assistant Professor of Finance, M. J. Whitman School of Management, Syracuse University

Richard Chin

Investment Manager, New York Life Investments

António Baldaque da Silva

Managing Director, Barclays

Siddhartha G. Dastidar, PhD, CFA

Vice President, Barclays

Arik Ben Dor, PhD

Managing Director, Barclays

Michael Dorigan, PhD

Senior Quantitative Analyst, PNC Capital Advisors

Kevin Dowd, PhD

Partner, Cobden Partners, London

Pamela P. Drake, PhD, CFA

J. Gray Ferguson Professor of Finance, College of Business, James Madison University

Lev Dynkin, PhD

Managing Director, Barclays

Brian Eales

Academic Leader (Retired), London Metropolitan University

Abel Elizalde, PhD

Credit Derivatives Strategy, J.P. Morgan

Robert F. Engle, PhD

Michael Armellino Professorship in the Management of Financial Services and Director of the Volatility Institute, Leonard N. Stern School of Business, New York University

Frank J. Fabozzi, PhD, CFA, CPA

Professor of Finance, EDHEC Business School

Peter Fitton

Manager, Scientific Development, CreditXpert Inc.

Sergio M. Focardi, PhD

Partner, The Intertek Group

Radu Gabudean, PhD

Vice President, Barclays

Vacslav S. Glukhov, PhD

Head of Quantitative Strategies and Data Analytics, Liquidnet Europe Ltd, London, United Kingdom

Felix Goltz, PhD

Head of Applied Research, EDHEC-Risk Institute

Chris Gowlland, CFA

Senior Quantitative Analyst, Delaware Investments

Biliana S. Güner

Assistant Professor of Statistics and Econometrics, Özyegin University, Turkey

Francis Gupta, PhD

Director, Index Research & Design, Dow Jones Indexes

Markus Höchstötter, PhD

Assistant Professor, University of Karlsruhe

John S. J. Hsu, PhD

Professor of Statistics and Applied Probability, University of California, Santa Barbara

Jay Hyman, PhD

Managing Director, Barclays, Tel Aviv

Bruce I. Jacobs, PhD

Principal, Jacobs Levy Equity Management

Robert R. Johnson, PhD, CFA

Independent Financial Consultant, Charlottesville, VA

Frank J. Jones, PhD

Professor, Accounting and Finance Department, San Jose State University and Chairman, Investment Committee, Private Ocean Wealth Management

Robert Jones, CFA

Chairman, Arwen Advisors, and Chairman and CIO, Systems Two Advisors

Andrew Kalotay, PhD

President, Andrew Kalotay Associates

Young Shin Kim, PhD

Research Assistant Professor, School of Economics and Business Engineering, University of Karlsruhe and KIT

Petter N. Kolm, PhD

Director of the Mathematics in Finance Masters Program and Clinical Associate Professor, Courant Institute of Mathematical Sciences, New York University

Glen A. Larsen Jr., PhD CFA

Professor of Finance, Indiana University Kelley School of Business-Indianapolis

Anthony Lazanas

Managing Director, Barclays

Arturo Leccadito, PhD

Business Administration Department, Università della Calabria

Tony Lelièvre, PhD

Professor, CERMICS, Ecole des Ponts Paristech, Marne-la-Vallée, France

Alexander Levin, PhD

Director, Financial Engineering, Andrew Davidson & Co., Inc.

Kenneth N. Levy, CFA

Principal, Jacobs Levy Equity Management

Terence Lim, PhD, CFA

CEO, Arwen Advisors

Peter C. L. Lin

PhD Candidate, The Johns Hopkins University

Steven V. Mann, PhD

Professor of Finance, Moore School of Business, University of South Carolina

Harry M. Markowitz, PhD

Consultant and Nobel Prize Winner, Economics, 1990

Lionel Martellini, PhD

Professor of Finance, EDHEC Business School, Scientific Director, EDHEC-Risk Institute

James F. McNatt, CFA

Executive Vice President, ValueWealth Services

Christian Menn, Dr Rer Pol

Managing Partner, RIVACON

Ivan Mitov

Head of Quantitative Research, FinAnalytica

Edwin H. Neave

Professor Emeritus, School of Business, Queen's University, Kingston, Ontario

William Nelson, PhD

Professor of Finance, Indiana University Northwest

Frank Nielsen

Managing Director of Quantitative Research, Fidelity Investments - Global Asset Allocation

Philip O. Obazee

Senior Vice President and Head of Derivatives, Delaware Investments

Dominic O'Kane, PhD

Affiliated Professor of Finance, EDHEC Business School, Nice, France

Dessislava A. Pachamanova

Associate Professor of Operations Research, Babson College

Bruce D. Phelps

Managing Director, Barclays

Thomas K. Philips, PhD

Regional Head of Investment Risk and Performance, BNP Paribas Investment Partners

David Philpotts

QEP Global Equities, Schroder Investment Management, Sydney, Australia

Wesley Phoa

Senior Vice President, Capital International Research, Inc.

Svetlozar T. Rachev, PhD Dr Sci

Frey Family Foundation Chair Professor, Department of Applied Mathematics and Statistics, Stony Brook University, and Chief Scientist, FinAnalytica

Boryana Racheva-Yotova, PhD

President, FinAnalytica

Shrikant Ramanmurthy

Consultant, New York, NY

Srichander Ramaswamy, PhD

Senior Economist, Bank for International Settlements, Basel, Switzerland

Patrice Retkowsky

Senior Research Engineer, EDHEC-Risk Institute

Paul Sclavounos

Department of Mechanical Engineering, Massachusetts Institute of Technology

Shani Shamah

Consultant, RBC Capital Markets

Koray D. Simsek, PhD

Associate Professor, Sabanci School of Management, Sabanci University

James Sochacki

Professor of Applied Mathematics, James Madison University

Arne D. Staal

Director, Barclays

Maxwell J. Stevenson, PhD

Discipline of Finance, Business School, University of Sydney, Australia

Filippo Stefanini

Head of Hedge Funds and Manager Selection, Eurizon Capital SGR

Stoyan V. Stoyanov, PhD

Professor...