List of quantitative analysts
This is a list of notable quantitative analysts (by surname); see also List of financial economists.
Pioneers
- Kenneth Arrow, (August 23, 1921 – February 21, 2017), American economist, Social choice theory.
- Louis Bachelier, (1870–1946), French mathematician, Pioneer of financial mathematics.
- Jacob Bernoulli, (1654–1705), Swiss mathematician, discovered the mathematical constant e while studying Compound interest.
- Fischer Black, (January 11, 1938 – August 30, 1995), American economist, famous for Black–Scholes equation.
- Michael Brennan, (born 1942), co-designed the Brennan-Schwartz interest rate model, and pioneer of real options theory.
- Phelim Boyle, (born 1941), (Irish physicist), initiated the use of Monte Carlo methods and Trinomial trees in option pricing.
- John Carrington Cox, (born 1943), one of the inventors of the Cox-Ross-Rubinstein model.
- Emanuel Derman, (born 1945), particle physicist, co-author of Black–Derman–Toy model.
- Richard A. Epstein, (born March 5, 1927), notable American game theorist and physicist.
- Eugene Fama, (born February 14, 1939) American economist, work on portfolio theory and asset pricing, laureate Nobel Memorial Prize in Economic Sciences.
- Victor Glushkov, (August 24, 1923 – January 30, 1982), founding father of information theory in the Soviet Union.
- Benjamin Graham, (May 8, 1894 – September 21, 1976) American economist and professional investor and first proponent of value investing.
- Myron J. Gordon, (October 15, 1920 – July 5, 2010) American economist; noted for Gordon model.
- Robert Arthur Haugen, (June 26, 1942 – January 6, 2013, from Chicago, Illinois),first academic article on the nature and power of the expected return factor model.
- Thomas Ho, author of the Ho–Lee model and key rate duration.
- John C. Hull, noted for the Hull-White model.
- Jonathan E. Ingersoll, (born 1949), one of the authors of the Cox–Ingersoll–Ross model of the yield curve.
- Kiyoshi Itō, (September 7, 1915 – November 10, 2008) was a Japanese mathematician whose work is now called Itō calculus.
- Robert A. Jarrow, a co-creator of the Heath–Jarrow–Morton framework for pricing interest rate derivatives.
- John Kelly, (1923–1965), American physicist, Bell Labs scientist, best known for formulating the Kelly criterion.
- Sang Bin Lee, author of the Ho–Lee model.
- Martin L. Leibowitz, developed dedicated portfolio theory.
- Francis Longstaff, (born 1956), known for the Longstaff-Schwartz interest rate model.
- Frederick Macaulay, (1882–1970), Canadian-American economist, introduced the concept of Bond duration.
- Harry Markowitz, (born August 24, 1927), American economist, Nobel Memorial Prize in Economic Sciences. Pioneering work in Modern Portfolio Theory.
- Benoît Mandelbrot, (November 20, 1924 – October 14, 2010) was a French American mathematician, the father of fractal geometry.
- Robert C. Merton, (born July 31, 1944), American economist, and laureate Nobel Memorial Prize in Economic Sciences.
- John von Neumann, (December 28, 1903 – February 8, 1957), Hungarian American mathematician made major contributions to a vast range of fields
- Victor Niederhoffer, (born December 10, 1943), American, the father of Statistical arbitrage and of Market microstructure studies.
- Stephen Ross, (February 3, 1944 – March 3, 2017), American, known for initiating several important theories and models in financial economics.
- Mark Rubinstein, (June 8, 1944 – May 9, 2019), American, a senior academic in the field of finance, focusing on derivatives, particularly options.
- Myron Scholes, (born July 1, 1941), Canadian-American, financial economist who is best known as one of the authors of the Black–Scholes equation.
- Eduardo Schwartz, (born 1940), American, pioneering research in the real options method of pricing investments under uncertainty.
- Claude Shannon, (April 30, 1916 – February 24, 2001), American, mathematician, electronic engineer, and cryptographer known as "the father of Information Theory".
- William F. Sharpe, American, (born June 16, 1934), Nobel Memorial Prize in Economic Sciences, one of the originators of the Capital Asset Pricing Model.
- George Soros, Hungarian-American (born August 12, 1930), pioneered the concept of reflexivity.
- Nassim Taleb, Lebanese, (born 1960), considers himself less a businessman than an epistemologist of randomness.
- Thales, Greek, (c. 624 BC – c. 546 BC), one of the Seven Sages of Greece, made the first recorded option trade.
- Ed Thorp, American, (born August 14, 1932, Chicago), 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.
- Alan White, noted for the Hull-White model.
- Oldrich Vasicek, (born 1942), Czech, breakthrough paper, describing the dynamics of the yield curve.
Other well-known figures
- Cliff Asness, (born 1966), co-founder of AQR Capital Management, credited with popularizing value and momentum strategies.
- Jamil Baz
- Jean-Philippe Bouchaud, (born 1962), French physicist and econophysicist, former editor of Quantitative Finance.
- Damiano Brigo, (born 1966), Italian, known for results in systems theory, probability and mathematical finance.
- Aaron Brown, (born 1956), American risk expert, known for the idea that the economics of modern global derivatives evolved from gambling.
- Gunduz Caginalp, (Turkish), known for work in quantitative behavioral finance.
- Bill Chen, (born 1970), (American), known for work in Statistical Arbitrage.
- Neil Chriss, American, mathematician, academic, hedge fund manager, first director of the Courant Institute Mathematical Finance Program.
- Jakša Cvitanić, Croatian, (born February 26, 1962), Professor of Mathematical Finance at the California Institute of Technology.
- Raphael Douady, (born November 15, 1959) French mathematician, Head of Laboratory of Excellence on Financial Regulation at the Sorbonne.
- Darrell Duffie, (born 1954) Canadian, Dean Witter Distinguished Professor of Finance at Stanford Graduate School of Business.
- Bruno Dupire, known for showing how to derive a local volatility model.
- Frank J. Fabozzi, American, prolific author, co-developer of the Kalotay–Williams–Fabozzi model.
- J. Doyne Farmer, (born 1952 in Houston, Texas), American, one of the founders of the Prediction Company.
- Jim Gatheral, Scottish, known for work on the volatility smile and the volatility surface.
- Hélyette Geman French mathematician known for change of numeraire methods in mathematical finance.
- Kenneth C. Griffin, (born October 15, 1968 in Daytona Beach, Florida), is an American hedge fund manager.
- Patrick Hagan, (October 1879 – 14 July 1916) known for SABR Volatility Model
- Albert Hibbs, (October 19, 1924 Akron, Ohio–February 24, 2003) noted mathematician and the "voice" of JPL.
- Farshid Jamshidian, contributions to interest rate modelling, including the use of the forward measure and "Jamshidian's trick" amongst others.
- Peter Jaeckel, German mathematician who has influenced the development of the use of Monte Carlo methods in Mathematical Finance.
- Mark S. Joshi, (1969 – 2017) author, researcher and consultant in mathematical finance.
- Andrew Kalotay, (born Hungary 1941), Hungarian-American, Wall Street quant and chess master, statistician and mathematician.
- Nicole El Karoui, (born 1944), mathematician, and pioneer in the development of Mathematical Finance.
- Piotr Karasinski, quantitative finance pioneer; best known for the Black–Karasinski model.
- Sheen T. Kassouf, (1929–2006) economist known for research in financial mathematics.
- David X. Li, (born 1960), Chinese, pioneered the use of Gaussian copula models for the pricing of collateralized debt obligations (CDOs).
- Andrew Lo, (born 1960), leading authority on hedge funds and financial engineering; he proposed the Adaptive market hypothesis.
- David Luenberger, (born 1937) mathematical scientist known for his research and his textbooks.
- William Margrabe author of Margrabe's formula.
- Fabio Mercurio, (born September 26, 1966), Italian, mathematician, internationally known for incomplete markets theory.
- Attilio Meucci, Italian, applied mathematician, known for refining the Black-Litterman model and other portfolio and risk management methodologies.
- Salih Neftçi, (July 14, 1947 – April 15, 2009) leading expert in the fields of stochastic processes and financial engineering.
- Norman Packard, (born 1954), American, is a chaos theory physicist and one of the founders of the Prediction Company and ProtoLife.
- William Perraudin, British, economist, specialising in the fields of risk and pricing of debt instruments.
- Riccardo Rebonato, former physicist specializing in yield curve modeling and risk management.
- Isaak Russman, Russian, (March 7, 1938 – July 11, 2005) was a mathematician and economist.
- David E. Shaw, (born 1951) computer scientist and computational biochemist who founded D. E. Shaw & Co.
- Peng Shige, (born December 1947), Chinese, mathematician noted for his contributions in stochastic analysis and mathematical finance.
- Steven E. Shreve, academic and widely read author in mathematical finance.
- James Harris Simons, (born 1938), American, hedge fund manager, mathematician, and philanthropist.
- William Toy, pioneering modeller in the area of interest rate derivatives.
- Stuart Turnbull, Jarrow–Turnbull model
- Paul Wilmott, (born 1959) researcher, consultant and lecturer in quantitative finance.
- Marc Yor, (1949–2014), French mathematician, known for work on stochastic processes, especially properties of semimartingales, Brownian motion and other Lévy processes.
This article is issued from Wikipedia. The text is licensed under Creative Commons - Attribution - Sharealike. Additional terms may apply for the media files.