Robert J. Frey, Research Professor, Director for Quantitative Finance
Ph.D., 1986, Stony Brook University: Quantitative Finance
Robert Frey had worked in an array of operations research related managerial positions before earning his Applied Math PhD in 1986. Then he became involved in designing mathematically based financial trading systems, first at Morgan Stanley, then at Kepler Associates, and finally at Renaissance Technologies, from which he retired at the rank of Managing Director in 2004. Among his many current activities, he chairs the advisory committee of the U. of Chicago Financial Mathematics program (the country’s top ranked quantitative finance program), is co-owner of a small investment bank in London, and heads a construction company. Frey just launched his own hedge fund, Frey Quantitative Strategies, with initial capital of $365 million.
http://www.ams.sunysb.edu/~frey/ Office: Math Tower 1-103, Phone: 631-473-6314
Svetlozar Rachev, Professor, Co-Director for Quantitative Finance
Ph.D., 1979, Lomonosov University(Moscow): Mathematics
Doctor of Science., 1986, Steklov Mathematical Institute (Moscow): Physics and Mathematics
Svetlozar Rachev is Professor in the Department of Applied Mathematics at Stony Brook University in New York. In addition, he holds the title of Co- Director in Quantitative Finance. Dr. Rachev is one of the world’s foremost authorities in the application of heavy-tailed distributions in finance. His 30 years of research were culminated in three recently awarded patents at FinAnalytica, where he serves as Chief Scientist. He was a co-founder and President of Bravo Risk Management Group, originator of the Cognity methodology, acquired by FinAnalytica. In addition to his Chair-Professorship at Karlsruhe Institute of Technology, he is Professor Emeritus at the University of California, Santa Barbara in the Department of Statistics and Applied Probability. Rachev is the author of 14 books and over 300 published articles on finance, econometrics, probability, statistics and actuarial science.
http://www.ams.sunysb.edu/~rachev Office: Mathematics Tower B-148, Phone: 631-632-5741
Xinyun Chen, Assistant Professor, Ph.D., 2013, Columbia University:
Xinyun Chen's research interests are focused on modeling and computation of stochastic systems with applications in financial and service engineering. She has been working on data-based modeling of order book dynamics in high frequency trading, stochastic asymptotic analysis of insurance models and Monte Carlo methods for stochastic differential equations.
http://www.ams.stonybrook.edu/~chenxy/ Office: Math Tower B-148, Phone: 631-632-5741
Sergio Focardi, Visiting Professor, Ph.D., 2009, University of Karlsruhe, Germany: Mathematical Finance
An engineer by training, Sergio Focardi started his career in scientific computing, where most recently he held the position of Managing Director of the Italian subsidiary of the supercomputer firm Control Data. In 1992 he co-founded the consulting firm The Intertek Group (Paris) which consults major pension funds and financial institutions. He was also a co-founder of CINEF, a multidisciplinary research center in Econophysics at the University of Genoa (Italy). He later joined the EDHEC Business School (Nice, France) as Professor of Finance. Sergio has a PhD in Financial Mathematics from the University of Karlsuhe (Germany). He is on the Editorial Board of the Journal of Portfolio Management.
Sergio’s research interests include the study of factor models of equity prices, explaining and predicting market trends, trend reversals and market crashes, economic models with multiple inflation rates, and financial economics with artificial markets. The underlying theme of his research agenda is Economics as a complex system with multiple interacting agents. He has co-authored numerous papers that appeared in major journals and has co-authored ten books published by Wiley and three CFA Institute monographs: Investment Management after the Global Financial Crisis (2010), Challenges in Quantitative Equity Management(2008), and Trends in Quantitative Finance (2006). He is a co-worker on a CFA Institute project aimed at understanding the changes needed in the teaching of finance at universities and business schools following the recent financial crisis.
Xiaolin Li, Professor, Ph.D., 1987, Columbia University: Computational applied mathematics
Xiaolin Li's research involves the design and development of a high resolution numerical method, the front tracking method, for the study of complex partial differential equations arising in a variety of settings, ranging from financial option prices to fluid interface instabilities. His research has involved collaborations with scientists at Los Alamos National Laboratory, Argonne National Laboratory and Brookhaven National Laboratory.
http://www.ams.sunysb.edu/~linli/Office: Math Tower P-137, Phone: 631-632-8354
Andrew Mullhaupt, Research Professor, Ph.D., 1984, New York University: Quantitative Finance
Andrew Mullhaupt's original research interests involved partial differential equations and linear algebra. He has worked on Wall Street for over 20 years designing mathematically based trading systems, first at Morgan Stanley, then at Renaissance Technologies, and most recently at S A C Capital where he was Director of Research for the SAC's Meridian Fund.
http://pw1.netcom.com/~amullhau/ Office: Mathematics Tower B-148, Phone: 631-632-5479
Haipeng Xing, Assistant Professor, Ph.D., 2004, Stanford University: Financial Statistics, Change Point Methods
Haipeng Xing is a statistician whose research is focused on: (i) change-points detection, parameter estimation and adaptive control problems and their applications in engineering, economics and genetics; (ii) statistical models and methods in financial econometrics and engineering; and (iii) time series modeling. He is co-author, with T.L. Lai of Stanford, of a widely used graduate textbook on financial statistics.
http://www.ams.sunysb.edu/~xing/ Office: Math Tower 1-102, Phone: 631-632-1892