Economics Ph.D. thesis on stochastic volatility option pricing from the University of Pennsylvania. Desk quant in equities, FX, and fixed-income (head fixed-income desk quant at Sanwa) at investment banks including Salomon and Lehman (head FX desk quant) Brothers. Created an MS program in financial ...more

Economics Ph.D. thesis on stochastic volatility option pricing from the University of Pennsylvania. Desk quant in equities, FX, and fixed-income (head fixed-income desk quant at Sanwa) at investment banks including Salomon and Lehman (head FX desk quant) Brothers. Created an MS program in financial engineering at the New Jersey Institute of Technology. Former Fed economist. Published with authors such as Bob Jarrow of Cornell (recipient of the IAQF FInancial Engineer of the Year Award). Reviewed and advised Princeton U Press and Darrell Duffie of Stamford (also recipient of the FInancial Engineer of the Year Award) on his prepublication draft of Credit Risk with Singleton. Co-authored a paper on systemic risk with Tom Noe of Oxford which has been cited by economists at: the BIS, the Fed and other central banks and research universities.less