Robert J. Frey

               

Robert J. Frey, Research Professor

Director, Program in  Quantitative Finance

  

Applied Mathematics and Statistics
College of Engineering and Applied Sciences

    

Stony Brook University

Stony Brook, NY 11794-3600

 

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+1 631-473-6314

+1 631-473-6317

+1 631-513-3690

    

Robert.Frey@StonyBrook.edu

Proud graduate of

Saint Saviour's Elementary School

Brooklyn, NY, 1968

    


After 25 years as an applied mathematician in industry, the last 15 years spent in quantitative finance as a managing director with a well known hedge fund, I retired in 2004 and embarked on an academic career. My focus is on risk management, modeling the process of managing complex and dynamic portfolios, particularly those that naturally arise in so-called alternative investment strategies. This interest has found its expression in two areas of research: characterizing those interactions via regime-switching models and developing policies for risk control and capital structure management through micro-simulations.

    

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Announcements and Updates

       

  • 18 May 2014 -  The course page for AMS-511 Foundations of Quantitative Finance is now completely up-to-date, including detailed solutions for Workshop II and the Final Examination. You were a great class, and I enjoyed teaching you. Constructive criticism is always welcome both right now while the class is fresh in your mind and later on when you realize that I may not have covered material in enough depth to prepare you for other courses. Criticisms of my jokes, however, is strictly forbidden. Have a wonderful Summer and may Heaven smile on all your endeavours.
  • 02 May 2014 -  The solution of Workshop I for AMS-511 Foundations of Quantitative Finance will be posted to the course page at 05:00 PM on Saturday 03 May 2014. After that, no further submissions will be excepted unless special arrangements have been made with me.
  • 28 Apr 2014 -  A revised Notes notebook for Lecture 12 of AMS-511 Foundations of Quantitative Finance has been posted to the course page, correcting typos in the derivation of pricing for the chooser European option.
  • 20 Apr 2014 -  The Notes and Assignment notebooks for Lecture 11 of AMS-511 Foundations of Quantitative Finance has been posted to the course page.
  • 01 Apr 2014 -  Copies of the mid-term examination along with its solutions for AMS-511 Foundations of Quantitative Finance have been posted under Class 08 on the course page. Hope everyone stayed safe in the unfortunate Springtime snow!
  • 24 Mar 2014 -  The mid-term examination for AMS-511 Foundations of Quantitative Finance will be held in class next week, Mon 31 Mar 2014. You can find 20+ sample mid-term questions with full solutions and other important information under Class 07 on the course page.
  • 27 Feb 2014 -  The Provost has just notified the campus community that in order to make up for lost time due to inclement weather, Monday 12 Mar 2014, originally scheduled as a reading day, will now be a regular class day. The syllabus on the AMS-511 Foundations of Quantitative Finance course page has been updated to reflect this change.
  • 26 Feb 2014 -  The Assignment 04 notebook for AMS-511 Foundations of Quantitative Finance has been posted to the course page. Due to the posting delay, the due date is Wed 05 Mar 2014.
  • 24 Feb 2014 -  The Notes 04 notebook for AMS-511 Foundations of Quantitative Finance has been posted to the course page.
  • 21 Feb 2014 -  Wolfram Research is offerring a free online workshop on 25 Feb 2014 for the Wolfram language, the programming language underlying Mathematica. For more information see http://bit.ly/NiV8nj.
  • 21 Feb 2014 -  The Solution 01 notebook for AMS-511 Foundations of Quantitative Finance has been posted to the course page. The copy on Blackboard may not contain certain useful information about Mathematica that was added in this version.
  • 20 Feb 2014 -  Prof. Rachev's optional lectures for AMS-511 Foundations of Quantitative Finance have been temporarily moved from Psy A146 to HH312 until problems with the room's AV set-up are resolved. See the course page for additional information and check here and on Blackboard for notifications of room changes. Regular Monday lectures are still being held in Frey 112.
  • 19 Feb 2014 -  A new version of the StonyBrook.nb stylesheet is available. Minor improvements to make formatting more consistent were made. It can be downloaded from the link here or from the link on the AMS-511 Foundations of Quantitative Finance course page, where it is located immediately above the syllabus.
  • 09 Feb 2014 -  The course page for AMS-511 Foundations of Quantitative Finance for the Spring 2014 is now available. The detailed syllabus will be updated once we determine how the missed time from last week's snow day will be made up.
  • 03 Feb 2014 -  Snow day. All classes cancelled.
  • 27 Jan 2014 -  First day of classes.

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