This is a list of ''notable''

quantitative analyst Quantitative analysis is the use of mathematical and statistical methods in finance and investment management. Those working in the field are quantitative analysts (quants). Quants tend to specialize in specific areas which may include derivative ...

s (by ''surname''); see also § Seminal publications there, and List of financial economists.

Pioneers

Kenneth Arrow Kenneth Joseph Arrow (August 23, 1921 – February 21, 2017) was an American economist, mathematician and political theorist. He received the John Bates Clark Medal in 1957, and the Nobel Memorial Prize in Economic Sciences in 1972, along with ...

, (1921–2017), American economist,

Social choice theory Social choice theory is a branch of welfare economics that extends the Decision theory, theory of rational choice to collective decision-making. Social choice studies the behavior of different mathematical procedures (social welfare function, soc ...

. *

Louis Bachelier Louis Jean-Baptiste Alphonse Bachelier (; 11 March 1870 – 28 April 1946) was a French mathematician at the turn of the 20th century. He is credited with being the first person to model the stochastic process now called Brownian motion, as part ...

, (1870–1946), French mathematician, Pioneer of

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

. *

Jacob Bernoulli Jacob Bernoulli (also known as James in English or Jacques in French; – 16 August 1705) was a Swiss mathematician. He sided with Gottfried Wilhelm Leibniz during the Leibniz–Newton calculus controversy and was an early proponent of Leibniz ...

, (1654–1705), Swiss mathematician, discovered the mathematical constant {{math, ''e'' while studying

Compound interest Compound interest is interest accumulated from a principal sum and previously accumulated interest. It is the result of reinvesting or retaining interest that would otherwise be paid out, or of the accumulation of debts from a borrower. Compo ...

. *

Fischer Black Fischer Sheffey Black (January 11, 1938 – August 30, 1995) was an American economist, best known as one of the authors of the Black–Scholes equation. Working variously at the University of Chicago, the Massachusetts Institute of Technology, ...

, (1938–1995), American economist, famous for

Black–Scholes equation In mathematical finance, the Black–Scholes equation, also called the Black–Scholes–Merton equation, is a partial differential equation (PDE) governing the price evolution of derivatives under the Black–Scholes model. Broadly speaking, the ...

. * Michael Brennan, (born 1942), co-designed the Brennan-Schwartz interest rate model, and pioneer of

real options Real options valuation, also often termed real options analysis,Adam Borison (Stanford University)''Real Options Analysis: Where are the Emperor's Clothes?'' (ROV or ROA) applies option (finance), option Valuation of options, valuation technique ...

theory. *

Vinzenz Bronzin Vinzenz Bronzin (born 1872 in Rovigno – died 1970 in Trieste) was an Italian mathematics professor, known today for an early (rediscovered) option pricing formula, similar to, and predating, the Black–Scholes 1973 formula; he also provided a ...

(1872–1970), Italian mathematics professor; published option pricing formulae in 1908, as well as a formulation of

put–call parity In financial mathematics, the put–call parity defines a relationship between the price of a European call option and European put option, both with the identical strike price and expiry, namely that a portfolio of a long call option and a shor ...

. * Phelim Boyle, (born 1941), (Irish physicist), initiated the use of

Monte Carlo method 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 ...

s and

Trinomial tree The trinomial tree is a Lattice model (finance), lattice-based computational model used in financial mathematics to price option (finance), options. It was developed by Phelim Boyle in 1986. It is an extension of the binomial options pricing model, ...

s in

option pricing In finance, a price (premium) is paid or received for purchasing or selling options. The calculation of this premium will require sophisticated mathematics. Premium components This price can be split into two components: intrinsic value, and ...

. *

John Carrington Cox John Carrington Cox is the Nomura Professor of Finance Emeritus at the MIT Sloan School of Management. He is one of the world's leading experts on options theory and one of the inventors of the Cox–Ross–Rubinstein model for option pricing, ...

, (born 1943), one of the inventors of the Cox-Ross-Rubinstein model. *

Emanuel Derman Emanuel Derman (born 1945) is a South African-born academic, businessman and writer. He is best known as a quantitative analyst, and author of the book ''My Life as a Quant: Reflections on Physics and Finance''. He is a co-author of Black–D ...

, (born 1945), particle physicist, co-author of

Black–Derman–Toy model In mathematical 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 br ...

. * Richard A. Epstein, (1927–2016), notable American game theorist and physicist. *

Eugene Fama Eugene Francis "Gene" Fama (; born February 14, 1939) is an American economist, best known for his empirical work on portfolio theory, asset pricing, and the efficient-market hypothesis. He is currently Robert R. McCormick Distinguished Servic ...

, (born 1939) American economist, work on

portfolio theory Modern portfolio theory (MPT), or mean-variance analysis, is a mathematical framework for assembling a portfolio of assets such that the expected return is maximized for a given level of risk. It is a formalization and extension of Diversificatio ...

and asset pricing, laureate

Nobel Memorial Prize in Economic Sciences The Nobel Memorial Prize in Economic Sciences, officially the Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel (), commonly referred to as the Nobel Prize in Economics(), is an award in the field of economic sciences adminis ...

. * Victor Glushkov, (1923–1982), founding father of information theory in the Soviet Union. *

Benjamin Graham Benjamin Graham (; Given name, né Grossbaum; May 9, 1894 – September 21, 1976) was a British-born American financial analyst, economist, accountant, investor and professor. He is widely known as the "father of value investing", and wrote two ...

, (1894–1976) American economist and professional investor and first proponent of value investing. * Myron J. Gordon, (1920–2010) American economist; noted for Gordon model. * Robert Haugen, (1942–2013) US

financial economist Financial economics is the branch of economics characterized by a "concentration on monetary activities", in which "money of one type or another is likely to appear on ''both sides'' of a trade". William F. Sharpe"Financial Economics", in Its c ...

and a pioneer in the field of

quantitative investing Quantitative analysis is the use of mathematical and statistical methods in finance and investment management. Those working in the field are quantitative analysts (quants). Quants tend to specialize in specific areas which may include derivative ...

and

low-volatility investing Low-volatility investing is an investment style that buys Stock market, stocks or Security (finance), securities with low volatility and avoids those with high volatility. This investment style exploits the low-volatility anomaly. According to Capit ...

. * Thomas Ho, author of the Ho–Lee model and

key rate duration Fixed-income attribution is the process of measuring returns generated by various sources of risk in a fixed income portfolio, particularly when multiple sources of return are active at the same time. Importance The risks affecting the return ...

. * John C. Hull, noted for the

Hull–White model In financial mathematics, the Hull–White model is a model of future interest rates. In its most generic formulation, it belongs to the class of no-arbitrage models that are able to fit today's term structure of interest rates. It is relatively st ...

. * Jonathan E. Ingersoll, (born 1949), one of the authors of the

Cox–Ingersoll–Ross model In mathematical finance, the Cox–Ingersoll–Ross (CIR) model describes the evolution of interest rates. It is a type of "one factor model" (short-rate model) as it describes interest rate movements as driven by only one source of market risk. T ...

of the

yield curve In finance, the yield curve is a graph which depicts how the Yield to maturity, yields on debt instruments – such as bonds – vary as a function of their years remaining to Maturity (finance), maturity. Typically, the graph's horizontal ...

. * Kiyoshi Itō, (1915–2008) was a Japanese mathematician whose work is now called Itō calculus. *

Robert A. Jarrow __NOTOC__ Robert Alan Jarrow is the Ronald P. and Susan E. Lynch Professor of Investment Management at the Cornell Johnson Graduate School of Management. Professor Jarrow is a co-creator of the Heath–Jarrow–Morton framework for pricing inte ...

, a co-creator of the

Heath–Jarrow–Morton framework The Heath–Jarrow–Morton (HJM) framework is a general framework to model the evolution of interest rate curves – instantaneous forward rate curves in particular (as opposed to simple forward rates). When the volatility and drift of the ...

for pricing and credit risk model utilized in the financial field. * John Kelly, (1923–1965), American physicist, Bell Labs scientist, best known for formulating the

Kelly criterion In probability theory, the Kelly criterion (or Kelly strategy or Kelly bet) is a formula for sizing a sequence of bets by maximizing the long-term expected value of the logarithm of wealth, which is equivalent to maximizing the long-term expected ...

. * Sang Bin Lee, author of the Ho–Lee model. * Martin L. Leibowitz, developed dedicated portfolio theory. *

Francis Longstaff Francis A. Longstaff (born August 3, 1956) is an American educator and pioneer in quantitative finance. He serves as the Allstate Professor of Insurance and Finance at the Anderson School of Management, University of California, Los Angeles, an ...

, (born 1956), known for the Longstaff-Schwartz interest rate model. * Frederick Macaulay, (1882–1970), Canadian-American economist, introduced the concept of

Bond duration In finance, the duration of a financial asset that consists of fixed cash flows, such as a Bond (finance), bond, is the weighted average of the times until those fixed cash flows are received. When the price of an asset is considered as a functio ...

. *

Harry Markowitz Harry Max Markowitz (August 24, 1927 – June 22, 2023) was an American economist who received the 1989 John von Neumann Theory Prize and the 1990 Nobel Memorial Prize in Economic Sciences. Markowitz was a professor of finance at the Rady Scho ...

, (1927–2023), American economist,

. Pioneering work in

Modern Portfolio Theory Modern portfolio theory (MPT), or mean-variance analysis, is a mathematical framework for assembling a portfolio of assets such that the expected return is maximized for a given level of risk. It is a formalization and extension of Diversificatio ...

. *

Benoît Mandelbrot Benoit B. Mandelbrot (20 November 1924 – 14 October 2010) was a Polish-born French-American mathematician and polymath with broad interests in the practical sciences, especially regarding what he labeled as "the art of #Fractals and the ...

, (1924–2010) was a French American mathematician, the father of

fractal geometry In mathematics, a fractal is a geometric shape containing detailed structure at arbitrarily small scales, usually having a fractal dimension strictly exceeding the topological dimension. Many fractals appear similar at various scales, as ...

. *

Robert C. Merton Robert Cox Merton (born July 31, 1944) is an American economist, Nobel Memorial Prize in Economic Sciences laureate, and professor at the MIT Sloan School of Management, known for his pioneering contributions to continuous-time finance, especia ...

, (born 1944), American economist, and laureate

. *

John von Neumann John von Neumann ( ; ; December 28, 1903 – February 8, 1957) was a Hungarian and American mathematician, physicist, computer scientist and engineer. Von Neumann had perhaps the widest coverage of any mathematician of his time, in ...

, (1903–1957), Hungarian American mathematician made major contributions to a vast range of fields *

Victor Niederhoffer Victor Niederhoffer (born December 10, 1943) is an American hedge fund manager, champion Squash (sport), squash player, bestselling author and statistics, statistician. Life and career Niederhoffer was born in Brooklyn to a Jewish family. His p ...

, (born 1943), American, the father of

Statistical arbitrage In finance, statistical arbitrage (often abbreviated as Stat Arb or StatArb) is a class of short-term financial trading strategies that employ Mean reversion (finance), mean reversion models involving broadly diversified portfolios of securities (h ...

and of

Market microstructure Market microstructure is a branch of finance concerned with the details of how exchange occurs in markets. While the theory of market microstructure applies to the exchange of real or financial assets, more evidence is available on the microstruct ...

studies. * Stephen Ross, (1944–2017), American, known for initiating several important theories and models in

financial economics Financial economics is the branch of economics characterized by a "concentration on monetary activities", in which "money of one type or another is likely to appear on ''both sides'' of a trade".William F. Sharpe"Financial Economics", in Its co ...

. *

Mark Rubinstein Mark Edward Rubinstein (June 8, 1944 – May 9, 2019) was a leading financial economics, financial economist and financial engineering, financial engineer. He was Paul Stephens Professor of Applied Investment Analysis at the Haas School of Busine ...

, (1944–2019), American, a senior academic in the field of

finance Finance refers to monetary resources and to the study and Academic discipline, discipline of money, currency, assets and Liability (financial accounting), liabilities. As a subject of study, is a field of Business administration, Business Admin ...

, focusing on

derivative In mathematics, the derivative is a fundamental tool that quantifies the sensitivity to change of a function's output with respect to its input. The derivative of a function of a single variable at a chosen input value, when it exists, is t ...

s, particularly options. *

Myron Scholes Myron Samuel Scholes ( ; born July 1, 1941) is a Canadian– American financial economist. Scholes is the Frank E. Buck Professor of Finance, Emeritus, at the Stanford Graduate School of Business, Nobel Laureate in Economic Sciences, and co-ori ...

, (born 1941), Canadian-American, financial economist who is best known as one of the authors of the Black–Scholes equation. *

Eduardo Schwartz Eduardo Saul Schwartz (born 1940) is a professor of finance at SFU's Beedie School of Business, where he holds the Ryan Beedie Chair in Finance. He is also a Distinguished Research Professor at the University of California, Los Angeles. He is kno ...

, (born 1940), American, pioneering research in the

method of pricing investments under

uncertainty Uncertainty or incertitude refers to situations involving imperfect or unknown information. It applies to predictions of future events, to physical measurements that are already made, or to the unknown, and is particularly relevant for decision ...

. *

Claude Shannon Claude Elwood Shannon (April 30, 1916 – February 24, 2001) was an American mathematician, electrical engineer, computer scientist, cryptographer and inventor known as the "father of information theory" and the man who laid the foundations of th ...

, (1916–2001), American, mathematician, electronic engineer, and cryptographer known as "the father of

Information Theory Information theory is the mathematical study of the quantification (science), quantification, Data storage, storage, and telecommunications, communication of information. The field was established and formalized by Claude Shannon in the 1940s, ...

". * William F. Sharpe, (born 1934), American

, one of the originators of the

Capital Asset Pricing Model In finance, the capital asset pricing model (CAPM) is a model used to determine a theoretically appropriate required rate of return of an asset, to make decisions about adding assets to a Diversification (finance), well-diversified Portfolio (f ...

. *

Nassim Nicholas Taleb Nassim Nicholas Taleb (; alternatively ''Nessim ''or'' Nissim''; born 12 September 1960) is a Lebanese-American essayist, mathematical statistician, former option trader, risk analyst, and aphorist. His work concerns problems of randomness, ...

, (born 1960), Lebanon, considers himself less a businessman than an epistemologist of

randomness In common usage, randomness is the apparent or actual lack of definite pattern or predictability in information. A random sequence of events, symbols or steps often has no order and does not follow an intelligible pattern or combination. ...

. *

Thales Thales of Miletus ( ; ; ) was an Ancient Greek philosophy, Ancient Greek Pre-Socratic philosophy, pre-Socratic Philosophy, philosopher from Miletus in Ionia, Asia Minor. Thales was one of the Seven Sages of Greece, Seven Sages, founding figure ...

, (c. 624 BC – c. 546 BC), Greek, one of the

Seven Sages of Greece The Seven Sages or Seven Wise Men was the title given to seven philosophers, statesmen, and law-givers of the 7th–6th centuries BCE who were renowned for their wisdom Wisdom, also known as sapience, is the ability to apply knowledge, ...

, made the first recorded option trade. *

Ed Thorp Edward Oakley Thorp (born August 14, 1932) is an American mathematics professor, author, hedge fund manager, and blackjack researcher. He pioneered the modern applications of probability theory, including the harnessing of very small correlatio ...

, (born 1932), American author of Beat the Dealer, the first book to mathematically prove, in 1962, that the house advantage in blackjack could be overcome by

card counting Card counting is a blackjack betting strategy, strategy used to determine whether the player or the dealer has an advantage on the next hand. Card counters try to overcome the casino house edge by keeping a running count of high and low valued c ...

. * Alan White, noted for the Hull-White model. * Oldrich Vasicek, (born 1942), Czech, breakthrough paper, describing the dynamics of the

; see

Vasicek model In Mathematical finance, finance, the Vasicek model is a mathematical model describing the evolution of interest rates. It is a type of one-factor short-rate model as it describes interest rate movements as driven by only one source of market risk ...

Other well-known figures

* Cliff Asness, (born 1966), American, co-founder of AQR Capital Management, credited with popularizing value and momentum strategies. * David Blitz, (born 1973), Dutch, founding researcher of Robeco Quantitative Investments contributor to

factor investing Factor investing is an investment approach that involves targeting quantifiable firm characteristics or "factors" that can explain differences in stock returns. Security characteristics that may be included in a factor-based approach include size, ...

literature. *

Jean-Philippe Bouchaud Jean-Philippe Bouchaud (born 1962) is a French physicist. He is co-founder and chairman of Capital Fund Management (CFM), adjunct professor at École Normale Supérieure and co-director of the CFM-Imperial Institute of Quantitative Finance at Im ...

, (born 1962), French physicist and econophysicist, former editor of ''Quantitative Finance''. *

Damiano Brigo Damiano Brigo (born Venice, Italy 1966) is a mathematician known for research in mathematical finance, filtering theory, stochastic analysis with differential geometry, probability theory and statistics, authoring more than 130 research publicat ...

, (born 1966), Italian, known for results in

systems theory Systems theory is the Transdisciplinarity, transdisciplinary study of systems, i.e. cohesive groups of interrelated, interdependent components that can be natural or artificial. Every system has causal boundaries, is influenced by its context, de ...

probability Probability is a branch of mathematics and statistics concerning events and numerical descriptions of how likely they are to occur. The probability of an event is a number between 0 and 1; the larger the probability, the more likely an e ...

and

mathematical 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 req ...

. * Aaron Brown, (born 1956), American risk expert, known for the idea that the economics of modern global derivatives evolved from gambling. *

Gunduz Caginalp Gunduz Caginalp (died December 7th, 2021) was a Turkish-born American mathematician whose research has also contributed over 100 papers to physics, materials science and economics/finance journals, including two with Michael Fisher and nine with ...

, (1952–2021), Turkish American, researcher known for work in

quantitative behavioral finance Quantitative behavioral finance is a new discipline that uses mathematical and statistical methodology to understand behavioral biases in conjunction with valuation. The research can be grouped into the following areas: # Empirical studies that d ...

. *

Neil Chriss Neil A. Chriss is a mathematician, academic, hedge fund manager, philanthropist and a founding board member of the charity organization " Math for America" which seeks to improve math education in the United States. Chriss also serves on the board ...

, American,

mathematician A mathematician is someone who uses an extensive knowledge of mathematics in their work, typically to solve mathematical problems. Mathematicians are concerned with numbers, data, quantity, mathematical structure, structure, space, Mathematica ...

academic An academy (Attic Greek: Ἀκαδήμεια; Koine Greek Ἀκαδημία) is an institution of tertiary education. The name traces back to Plato's school of philosophy, founded approximately 386 BC at Akademia, a sanctuary of Athena, the go ...

hedge fund A hedge fund is a Pooling (resource management), pooled investment fund that holds Market liquidity, liquid assets and that makes use of complex trader (finance), trading and risk management techniques to aim to improve investment performance and ...

manager, first director of the Courant Institute Mathematical Finance Program. *

Jakša Cvitanić Jakša Cvitanić (born 1962 in Split, Croatia, Yugoslavia) is a Richard N. Merkin Professor of Mathematical Finance at the California Institute of Technology. His main research interests are in mathematical finance, contract theory, stochastic cont ...

, (born 1962), Croatian, Professor of Mathematical Finance at the

California Institute of Technology The California Institute of Technology (branded as Caltech) is a private research university in Pasadena, California, United States. The university is responsible for many modern scientific advancements and is among a small group of institutes ...

. * Raphael Douady, (born 1959) French mathematician, Head of Laboratory of Excellence on Financial Regulation at the Sorbonne. *

Darrell Duffie James Darrell Duffie (born May 23, 1954) is a Canadian financial economist and is Dean Witter Distinguished Professor of Finance at Stanford Graduate School of Business. He is the author of numerous research articles, and several books, includ ...

, (born 1954) Canadian, Dean Witter Distinguished Professor of Finance at

Stanford Graduate School of Business The Stanford Graduate School of Business is the Postgraduate education, graduate business school of Stanford University, a Private university, private research university in Stanford, California. For several years it has been the most selective ...

. * Bruno Dupire, (born 1958), French, known for showing how to derive a

local volatility A local volatility model, in mathematical finance and financial engineering, is an option pricing model that treats Volatility (finance), volatility as a function of both the current asset level S_t and of time t . As such, it is a generalisati ...

model. * Frank J. Fabozzi, American, prolific author, co-developer of the

Kalotay–Williams–Fabozzi 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 s ...

. * J. Doyne Farmer, (born 1952), American, one of the founders of the Prediction Company. * Jim Gatheral, Scottish, known for work on the

volatility smile Volatility smiles are implied volatility patterns that arise in pricing financial options. It is a parameter (implied volatility) that is needed to be modified for the Black–Scholes formula to fit market prices. In particular for a given ex ...

and the volatility surface. * Hélyette Geman French mathematician known for change of numeraire methods in mathematical finance. *

Kenneth C. Griffin Kenneth Cordele Griffin (born October 15, 1968) is an American hedge fund manager, entrepreneur and investor. He is the founder, chief executive officer, co- chief investment officer, and 80% owner of Citadel LLC, a multinational hedge fund. He ...

, (born 1968), is an American

manager. * Albert Hibbs, (1924–2003) noted American mathematician and the "voice" of JPL. * Peter Jaeckel, German mathematician who has influenced the development of the use of Monte Carlo methods in Mathematical Finance. * Mark S. Joshi, (1969–2017) British Australian author, researcher and consultant in

. *

Andrew Kalotay Andrew Kalotay (born 1941) is a Hungarian-born finance professor, Wall Street quant and chess master. He is best known as an authority on fixed income valuation and institutional debt management. He is currently the President of Andrew Kalotay ...

, (born 1941), Hungarian-American, Wall Street quant and chess master, statistician and mathematician. *

Nicole El Karoui Nicole El Karoui (''Birth name, née'' List of English words of Yiddish origin, Schvartz) is a French mathematician and pioneer in the development of mathematical finance, born 29 May 1944 in Paris. She is considered one of the pioneers on the Fr ...

, (born 1944), mathematician, and pioneer in the development of Mathematical Finance. * Piotr Karasinski, quantitative finance pioneer; best known for the

Black–Karasinski model In financial mathematics, the Black–Karasinski model is a mathematical model of the term structure of interest rates; see short-rate model. It is a one-factor model as it describes interest rate movements as driven by a single source of randomnes ...

. * Sheen T. Kassouf, (1929–2006) economist known for research in financial mathematics. * David X. Li, (born c. 1960s), Chinese, pioneered the use of Gaussian copula models for the pricing of

collateralized debt obligation A collateralized debt obligation (CDO) is a type of structured finance, structured asset-backed security (ABS). Originally developed as instruments for the corporate debt markets, after 2002 CDOs became vehicles for refinancing Mortgage-backed se ...

s (CDOs). *

Andrew Lo Andrew Wen-Chuan Lo (; born 1960) is a Hong Kong-born Taiwanese-American economist and academic who is the Charles E. and Susan T. Harris Professor of Finance at the MIT Sloan School of Management. Lo is the author of many academic articles in f ...

, (born 1960), leading authority on

s and

financial engineering Financial engineering is a multidisciplinary field involving financial theory, methods of engineering, tools of mathematics and the practice of programming. It has also been defined as the application of technical methods, especially from mathe ...

; he proposed the

Adaptive market hypothesis The adaptive market hypothesis, as proposed by Andrew Lo,Lo, 2004. is an attempt to reconcile economic theories based on the efficient market hypothesis (which implies that markets are efficient) with behavioral economics, by applying the princi ...

. * David Luenberger, (born 1937), mathematical scientist known for his research and his textbooks. * William Margrabe author of

Margrabe's formula In mathematical finance, Margrabe's formula is an option pricing formula applicable to an option to exchange one risky asset for another risky asset at maturity. It was derived by William Margrabe (PhD Chicago) in 1978. Margrabe's paper has been ...

. *

Fabio Mercurio Fabio Mercurio (born 26 September 1966) is an Italian mathematician, internationally known for a number of results in mathematical finance. Main results Mercurio worked during his Ph.D. on incomplete markets theory using dynamic mean-variance hed ...

, (born 1966), Italian, mathematician, internationally known for

incomplete markets In economics, incomplete markets are markets in which there does not exist an Arrow–Debreu security for every possible state of nature. In contrast with complete markets, this shortage of securities will likely restrict individuals from transferr ...

theory. *

Attilio Meucci Attilio Meucci is an Italian statistician and financial engineer, who specializes in quantitative risk management and quantitative portfolio management. Education Attilio Meucci earned a BA in Physics from the University of Milan, an MA in Ec ...

, Italian, applied mathematician, known for refining the Black–Litterman model and other portfolio and risk management methodologies. * Salih Neftçi, (1947–2009) leading expert in the fields of stochastic processes and financial engineering. *

Norman Packard Norman Harry Packard (born 1954 in Billings, Montana) is a chaos theory physicist and one of the founders of the Prediction Company and ProtoLife. He is an alumnus of Reed College, with a PhD from the University of California, Santa Cruz. Packard ...

, (born 1954), American, is a chaos theory physicist and one of the founders of the Prediction Company and ProtoLife. * William Perraudin, British, economist, specializing in the fields of

risk In simple terms, risk is the possibility of something bad happening. Risk involves uncertainty about the effects/implications of an activity with respect to something that humans value (such as health, well-being, wealth, property or the environ ...

and pricing of debt instruments. * Riccardo Rebonato, former physicist specializing in yield curve modeling and risk management. * Isaak Russman, (1938–2005) was a Russian mathematician and economist. * David E. Shaw, (born 1951) computer scientist and computational biochemist who founded D. E. Shaw & Co. * Peng Shige, (born 1947), Chinese, mathematician noted for his contributions in

stochastic Stochastic (; ) is the property of being well-described by a random probability distribution. ''Stochasticity'' and ''randomness'' are technically distinct concepts: the former refers to a modeling approach, while the latter describes phenomena; i ...

analysis and

. * Steven E. Shreve, academic and widely read author in mathematical finance. * James Harris Simons, (1938–2024), American

manager, mathematician, and philanthropist. *

Case Sprenkle Case M. Sprenkle Profile
economics.illinois.edu was a Stuart Turnbull, co-developer of the Jarrow–Turnbull model for

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 ...

Pim van Vliet Pim van Vliet (born 30 September 1977) is a Dutch fund manager specializing in quantitative investment strategies, with a focus on low-volatility equities. As the head of conservative equities at Robeco Quantitative Investments, van Vliet has cont ...

, (born 1977), Dutch

quantitative fund A quantitative fund is an investment fund that uses Quantitative analysis (finance), quantitative investment management instead of fundamental human analysis. Investment process An Investment, investment process is classified as Quantitative ana ...

manager, researcher with contributions to

. *

Paul Wilmott Paul Wilmott (born 8 November 1959) is an English people, English researcher, consultant and lecturer in quantitative finance.Marc Yor Marc Yor (24 July 1949 – 9 January 2014) was a French mathematician well known for his work on stochastic processes, especially properties of semimartingales, Brownian motion and other Lévy processes, the Bessel processes, and their applicat ...

, (1949–2014), French mathematician, known for work on

stochastic process In probability theory and related fields, a stochastic () or random process is a mathematical object usually defined as a family of random variables in a probability space, where the index of the family often has the interpretation of time. Sto ...

es, especially properties of

semimartingale In probability theory, a real-valued stochastic process ''X'' is called a semimartingale if it can be decomposed as the sum of a local martingale and a càdlàg adapted finite-variation process. Semimartingales are "good integrators", forming the ...

Brownian motion Brownian motion is the random motion of particles suspended in a medium (a liquid or a gas). The traditional mathematical formulation of Brownian motion is that of the Wiener process, which is often called Brownian motion, even in mathematical ...

and other

Lévy process In probability theory, a Lévy process, named after the French mathematician Paul Lévy, is a stochastic process with independent, stationary increments: it represents the motion of a point whose successive displacements are random, in which disp ...

es. Quantitative analysts