|
 |
Program Faculty
|
| |
Turan G. Bali
|
| |
|
Turan G. Bali is on the faculty of the Department of Economics and Finance in
Baruch's prestigious Zicklin School of Business. Professor Bali has published
numerous articles in the Annals of Operations Research, Journal of Business,
Journal of Finance, Journal of Financial and Quantitative Analysis, Journal of
Empirical Finance, Journal of Banking and Finance, Journal of Futures Markets,
Journal of Fixed Income, and Risk. Professor Bali’s fields of specialization are
financial risk management, extreme value theory and its applications, pricing
fixed income derivatives and interest rate options, term structure of interest
rate volatility, value at risk, optimal portfolio selection, dynamic asset
allocation, GARCH, diffusion and stochastic volatility models. He received his
BA from Bogazic University (Turkey), his MPhil and PhD from the City University
of New York. |
|
| |
Lev Borodovsky
|
| |
|
Lev Borodovsky serves as a senior risk officer for a leading European investment
bank, overseeing risk management for a multi billion-dollar trading and
investment portfolio. Dr. Borodovsky is the co-founder of GARP (Global
Association of Risk Professionals), the leading risk management institution
providing information and services to a membership of over 30,000 risk
professionals from over 100 countries. He also co-authored the FRM examination,
the international financial risk manager certification program. Dr. Borodovsky
co-authored The Professional Handbook of Financial Risk Management. Dr.
Borodovsky holds a PhD in Physics from Columbia University. |
|
| |
Greg Ciresi
|
| |
|
Greg Ciresi has a degree in physics and a Masters Degree in Mathematical
Finance from the Courant Institute of Mathematical Sciences, New York
University. He has worked as a programmer and quantitative analyst for
several large equity and fixed income hedge funds in New York. Currently,
he is Senior Financial Engineer of Structured Portfolios in the Debt
Capital Markets Group at Cantor Fitzgerald. He is an adjunct professor
at Baruch College and at NYU, where he teaches courses on option
pricing, credit risk management and empirical finance. |
|
| |
Warren B. Gordon
|
| |
|
Warren B. Gordon has been Chair of the Mathematics Department at Baruch since
1985. He has a special interest in mathematical physics, differential equations,
mathematics education and the use of technology in the classroom. He holds a BE
from CUNY's City College and earned his PhD in mathematics from NYU's Courant
Institute of Mathematical Sciences. |
|
| |
C. Douglas Howard
|
| |
|
C. Douglas Howard brings to Baruch eight years of Wall Street experience, where
he developed an expertise in computational methods in finance. He continues to
consult to Wall Street firms and writes about applications of probability in
finance. His research on the properties of spatially disordered systems, a class
of probabilistic models motivated by certain physical phenomena, is funded by a
grant from the National Science Foundation (NSF). He holds a BS in mathematics
from MIT, an MBA in finance from Columbia, and a PhD from the Courant Institute. |
|
| |
Elena Kosygina
|
| |
|
Elena Kosygina's main research interests are in the areas of stochastic
processes, interacting particle systems, and partial differential equations. She
is also interested in applications of probabilistic techniques to finance. A
graduate of Moscow State University, she received her PhD form the Courant
Institute. |
|
| |
Susan H. Ma
|
| |
|
Susan H. Ma is a Manager at Enterprise Risk Management at American International
Group. Dr. Ma has ten years of risk management experience in banking, insurance,
and consumer finance business. Her interests focus on market risk management,
credit risk management, ALM, ERM and derivative pricing, and she co-authored The
Risk Management for Life Insurance Companies. She holds a B.S. in Physics from
Peking University, a M.S. in Mathematical Finance from New York University, a
Ph.D. in Physics from York University. She did her postdoctoral research at
Harvard University. Dr. Ma receives numerous awards, including the Canadian
Governor-General's Gold Medal, Research Fellowship from Natural Sciencce and
Engineering Research Council of Canada, and York Excellent Ph.D. Thesis Award. |
|
| |
Terrence F. Martell
|
| |
|
Terrence F. Martell is on the faculty of the finance department in Baruch's
prestigious Zicklin School of Business. He has written extensively on numerous
aspects of commodity and financial markets. Before coming to Baruch, he was a
senior vice president and the chief economist at COMEX in New York and
Washington. He holds a BA in finance from Iona College and a PhD in finance from
Penn State. |
|
| |
Anita Mayo
|
| |
|
Anita Mayo received the Ph.D. degree in mathematics from the Courant Institute,
then taught at the University of California, Berkeley, Stanford University and
SUNY Stony Brook. Following that she joined the staff of the Watson Research
Center at IBM. While there, she developed and implemented mathematical
techniques for designing computer components and recording devices. She also
developed computational techniques used to solve problems in computer graphics,
fluid dynamics and computational biology. Her most recent area of work is in
computational finance. She is a consultant to engineers at IBM on mathematical
problems arising in the manufacture of computer chips, and doing research with
financial analysts at Bloomberg on hedging strategies and the pricing of certain
types of exotic options. |
|
| |
Carlos J. Moreno
|
| |
|
Carlos J. Moreno, who is also on the faculty of the CUNY Graduate Center, has
over sixty publications, including two books, on topics related to algebra and
number theory. His research, funded by several NSF grants, has earned him a
reputation as a world-class mathematician. At the Graduate Center, he has had
extensive experience serving as graduate thesis adviser. He earned his BA and
his PhD in mathematics at NYU. |
|
| |
Salih Neftci
|
| |
|
Salih Neftci is well known for his books Principles of Financial Engineering -a
unique book presenting a practioner's angle on the trading and valuation of
financial instruments, and An Introduction to the Mathematics of Pricing
Financial Derivatives - one of the standard texts in financial derivatives
graduate courses. His current research and teaching is in the areas of financial
engineering, risk management of extreme events, in emerging market asset trading
strategies and in contingent capital and credit lines. Professor Neftci is the
Head of the FAME Certificate program in Switzerland, teaches at the Graduate
School of the City University of New York, at the New School University and has
a visiting appointment at the ISMA Centre, Reading University, U.K. He holds a
PhD from University of Minnesota. |
|
| |
Sylvain Raynes
|
| |
|
Sylvain Raynes is one of the two principals of R&R Consulting, a New York based
consulting firm specializing in structured financial analysis in all asset
types. He is also the co-author of The Analysis of Structured Securities, a book
published in 2003 by Oxford University Press. Dr. Raynes has been extensively
involved in the credit analysis of structured securities for the past ten years,
including his work at Goldman, Sachs & Co., Citigroup, Credit Suisse First
Boston and Moody's Investors Service. He holds a Diploma from the von Karman
Institute for Fluid Dynamics in Brussels, Belgium and a Masters and Ph.D. in
Aerospace Engineering from Princeton University.
|
|
| |
Dan Stefanica
|
| |
|
Dan Stefanica is an applied mathematician specializing in numerical methods for
geophysical fluid dynamic problems. He also studied models of the term structure
of interest rates and wrote about the fitting of smooth yield curves to market
data. In other NSF-funded research with application in finance, he designs fast
algorithms for solving Partial Differential Equations. He has a BA from the
University of Bucharest and a PhD in mathematics from the Courant Institute. |
|
| |
Sherman Wong
|
| |
|
Sherman Wong works in the field of ergodic theory and dynamical systems. He has
written on topological properties of systems arising from zero-finding
algorithms, such as the Newton-Raphson method, the Steffenson acceleration
method, and the Bairstow method. His undergraduate and doctoral degrees were
earned at UC Berkeley. |
|
| |
Mona Zamfirescu
|
| |
|
Mona Zamfirescu works in the fields of probability theory, stochastic
analysis, control and optimization problems and their applications to finance.
She has received her B.A. from the University of Bucharest and Ph.D. in
statistics from Columbia University.
|
|
|
|
