Francis A. Longstaff (born August 3, 1956) is an American educator and pioneer in

quantitative finance Mathematical finance, also known as quantitative finance and financial mathematics, is a field of applied mathematics, concerned with mathematical modeling in the financial field. In general, there exist two separate branches of finance that requ ...

. He serves as the

Allstate The Allstate Corporation is an American insurance company, headquartered in Glenview, Illinois (with a Northbrook, Illinois address) since 2022. Founded in 1931 as part of Sears, Roebuck and Co., it was spun off in 1993, but was still pa ...

Professor of Insurance and Finance at the Anderson School of Management,

University of California, Los Angeles The University of California, Los Angeles (UCLA) is a public university, public Land-grant university, land-grant research university in Los Angeles, California, United States. Its academic roots were established in 1881 as a normal school the ...

, and the former Finance Area Chair. His research focuses on

fixed income Fixed income refers to any type of investment under which the borrower or issuer is obliged to make payments of a fixed amount on a fixed schedule. For example, the borrower may have to pay interest at a fixed rate once a year and repay the pr ...

markets, term structure, derivatives,

credit risk Credit risk is the chance that a borrower does not repay a loan In finance, a loan is the tender of money by one party to another with an agreement to pay it back. The recipient, or borrower, incurs a debt and is usually required to pay ...

computational finance Computational finance is a branch of applied computer science that deals with problems of practical interest in finance.Rüdiger U. Seydel, ''Tools for Computational Finance'', Springer; 3rd edition (May 11, 2006) 978-3540279235 Some slightly diff ...

and the role of

arbitrage Arbitrage (, ) is the practice of taking advantage of a difference in prices in two or more marketsstriking a combination of matching deals to capitalize on the difference, the profit being the difference between the market prices at which th ...

in financial markets. He is known for the Longstaff–Schwartz model a multi-factor

short-rate model A short-rate model, in the context of interest rate derivatives, is a mathematical model that describes the future evolution of interest rates by describing the future evolution of the short rate, usually written r_t \,. The short rate Under a sh ...

, and the Longstaff-Schwartz method for valuing

American option In finance, the style or family of an option is the class into which the option falls, usually defined by the dates on which the option may be exercised. The vast majority of options are either European or American (style) options. These options ...

s by

Monte Carlo Simulation Monte Carlo methods, or Monte Carlo experiments, are a broad class of computational algorithms that rely on repeated random sampling to obtain numerical results. The underlying concept is to use randomness to solve problems that might be det ...

. He has published over 50 research and practitioner articles, and is a recipient of the Michael Brennan Award. Longstaff was head of Fixed Income Derivative Research at

Salomon Brothers Salomon Brothers, Inc., was an American multinational bulge bracket investment bank headquartered in New York City. It was one of the five List of investment banks, largest investment banking enterprises in the United States and a very profitabl ...

from 1995 to 1998, and worked in the research department of the

Chicago Board of Trade The Chicago Board of Trade (CBOT), is an American futures exchange, futures and options exchange that was founded in 1848. On July 12, 2007, the CBOT merged with the Chicago Mercantile Exchange (CME) to form CME Group. CBOT and three other excha ...

and for Deloitte and Touche as a

management consultant Management consulting is the practice of providing consulting services to organizations to improve their performance or in any way to assist in achieving organizational objectives. Organizations may draw upon the services of management consultant ...

. He is a research associate in the

National Bureau of Economic Research The National Bureau of Economic Research (NBER) is an American private nonprofit research organization "committed to undertaking and disseminating unbiased economic research among public policymakers, business professionals, and the academic co ...

Asset Pricing Program. Longstaff earned his Ph.D. in finance from the Graduate School of Business at the

University of Chicago The University of Chicago (UChicago, Chicago, or UChi) is a Private university, private research university in Chicago, Illinois, United States. Its main campus is in the Hyde Park, Chicago, Hyde Park neighborhood on Chicago's South Side, Chic ...

, in 1987. He received a BA finance (1979,

magna cum laude Latin honors are a system of Latin phrases used in some colleges and universities to indicate the level of distinction with which an academic degree has been earned. The system is primarily used in the United States. It is also used in some Sout ...

), BA accounting (1982, first in class), and

MBA A Master of Business Administration (MBA) is a professional degree focused on business administration. The core courses in an MBA program cover various areas of business administration; elective courses may allow further study in a particular a ...

(1980, first in class), all from the

University of Utah The University of Utah (the U, U of U, or simply Utah) is a public university, public research university in Salt Lake City, Utah, United States. It was established in 1850 as the University of Deseret (Book of Mormon), Deseret by the General A ...

. He is also a

Certified Public Accountant Certified Public Accountant (CPA) is the title of qualified accountants in numerous countries in the English-speaking world. It is generally equivalent to the title of chartered accountant in other English-speaking countries. In the United Stat ...

(CPA) and holds the

Chartered Financial Analyst The Chartered Financial Analyst (CFA) program is a postgraduate professional certification offered internationally by the US-based CFA Institute (formerly the Association for Investment Management and Research, or AIMR) to investment and financia ...

(CFA) designation.

Footnotes

External links

Home page at UCLA

Personal home page

SSRN Author Page
* 1956 births Living people American financial economists 21st-century American economists UCLA Anderson School of Management faculty University of Chicago Booth School of Business alumni Monte Carlo methodologists CFA charterholders University of Utah alumni National Bureau of Economic Research {{US-economist-stub