Robert J. Frey

               

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

  

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+1 631-473-6314

+1 631-473-6317

+1 631-513-3690

    

frey@ams.sunysb.edu
Upon entering my sixth decade, I decided that it was appropriate to honor the venerable tradition of publishing an out-of-date photograph of myself. This is my 1968 elementary school graduation picture.

    

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.

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Announcements and Updates

    

  • 04 Nov 2009 - This evening's (Wednesday's) class for AMS-511 - Foundations of Quantitative Finance has been cancelled.
  • 02 Nov 2009 - Some individuals have had problems using LinearModelFit[] with large datasets in Mathematica. Workaround code has been posted to the AMS-511 - Foundations of Quantitative Finance course page just below the original link for Workshop 1. Also, because of this problem, the due date for Workshop 1 has been extended to Thu 05 Nov 2009.
  • 09 Oct 2009 - IMPORTANT: The International Association of Financial Engineers (IAFE) is hosting "How I Became a Quant: Financial Engineers Give a Personal View of their Careers in Quantitative Finance, A Panel Discussion For Students Interested in a Career in Quantitative Finance" on the evening of Tue 20 Oct 2009 in New York City. For more information follow the link here.
  • 07 Oct 2009 - I've had a bad reaction to a flu shot (so much for preventive medicine) and Wednesday's AMS-511 - Foundations of Quantitative Finance is cancelled. Please review the class notes posted on the course page through to lecture 06B, inclusive, and the homework solutions through to assignment 04B, inclusive.
  • 10 Sep 2009 - In the Solutions for class 01B of AMS-511 - Foundations of Quantitative Finance, the answer for Chapter 3, Question 15 contained a typo in the original Mathematica code. A corrected copy has been posted on the course page. Thanks to Jimmy Goode for finding the error!
  • 07 Sep 2009 - Labor Day. No Classes In Session.
  • 05 Sep 2009 - The course page for AMS-511 - Foundations of Quantitative Finance for Spring 2009 is up.
  • 31 Aug 2009 - First day of classes for the Fall 2009 Semester. Welcome!

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