Robert J. Frey, Research Professor

Director, Program in  Quantitative Finance

Applied Mathematics and Statistics
College of Engineering and Applied Sciences

1-103 Math Tower

Stony Brook University

Stony Brook, NY 11794-3600

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 and then embarked, with some trepidation, 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.

Site Map

• Announcements and Updates (on this page)
• Program In Quantitative Finance
• Biographical Information
• Research and Presentations
• Classes, Office Hours and Instructional Resources

Announcements and Updates

• 24 Nov 2008 - Tonight's class for AMS-512 - Capital Markets and Portfolio Theory is canceled due to illness. The course page is current with notes through last week.
• 05 Nov 2008 - Tonight's class for AMS-512 - Capital Markets and Portfolio Theory is canceled due to illness. We will definitely meet next Monday.
• 21 Oct 2008 - The link to the solutions file for class 4M for AMS-512 - Capital Markets and Portfolio Theory was incorrect. It has now been fixed.
• 12 Oct 2008 - The notes and data file for class 6M for AMS-512 - Capital Markets and Portfolio Theory have been updated to include last Friday's market results.  The class focuses on the modeling of extreme events and the current market turmoil has given us an excellent opportunity to explore this topic.
• 10 Oct 2008 - The notes for class 6M for AMS-512 - Capital Markets and Portfolio Theory were delayed.  The class focuses on the modeling of extreme events and the current market turmoil has given us an excellent opportunity to explore this topic. The notes along with S&P 500 data from Feb 1875 to Oct 2008 have now been posted.
• 06 Oct 2008 - Unfortunately, tonights AMS-512 - Capital Markets and Portfolio Theory is cancelled.  Class notes will, nevertheless, be posted later this evening; please read them in preparation for our next meeting on Mon 13 Oct 2008.
• 18 Sep 2008 - A brief statement clarifying the procedures for submitting assignments for AMS-512 - Capital Markets and Portfolio Theory has been added to the course page under the "Homeworks and Assignments" subheading.
• 09 Sep 2008 - The notes and data files for AMS-512 - Capital Markets and Portfolio Theory have been posted for the first three classes. All students in the class are asked to have worked through the material identified under classes 1W, 2M and 2W by the next class.
• 03 Sep 2008 - First day of class for AMS-512 - Capital Markets and Portfolio Theory.

• Archived Announcements and Updates

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