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List Of Quantitative Analysts
This is a list of ''notable'' quantitative analysts (by ''surname''); see also § Seminal publications there, and List of financial economists. Pioneers * Kenneth Arrow, (1921 – 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 while studying Compound interest. * Fischer Black, (1938 – 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. *Vinzenz Bronzin (1872 – 1970), Italian mathematics professor; published option pricing formulae in 1908, as well as a formulation of put–call parity. * 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 in ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Quantitative Analyst
Quantitative may refer to: * Quantitative research, scientific investigation of quantitative properties * Quantitative analysis (other) * Quantitative verse, a metrical system in poetry * Statistics, also known as quantitative analysis * Numerical data, also known as quantitative data * Quantification (science) In mathematics and empirical science, quantification (or quantitation) is the act of counting and measuring that maps human sense observations and experiences into quantity, quantities. Quantification in this sense is fundamental to the scientific ... See also * Qualitative {{disambig ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Trinomial Tree
The trinomial tree is a lattice-based computational model used in financial mathematics to price options. It was developed by Phelim Boyle in 1986. It is an extension of the binomial options pricing model, and is conceptually similar. It can also be shown that the approach is equivalent to the explicit finite difference method for option pricing. For fixed income and interest rate derivatives see Lattice model (finance)#Interest rate derivatives. Formula Under the trinomial method, the underlying stock price is modeled as a recombining tree, where, at each node the price has three possible paths: an up, down and stable or middle path. These values are found by multiplying the value at the current node by the appropriate factor u\,, d\, or m\, where : u = e^ : d = e^ = \frac \, (the structure is recombining) : m = 1 \, and the corresponding probabilities are: : p_u = \left(\frac\right)^2 \, : p_d = \left(\frac\right)^2 \, : p_m = 1 - (p_u + p_d) \,. In the above formulae ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Myron J
Myron of Eleutherae ( grc, Μύρων, ''Myrōn'' ), working c. 480–440 BC, was an Athenian sculptor from the mid-5th century BC. He was born in Eleutherae on the borders of Boeotia and Attica. According to Pliny's '' Natural History'', Ageladas of Argos was his teacher. None of his original sculptures are known to survive, but there are many of what are believed to be later copies in marble, mostly Roman. Reputation Myron worked almost exclusively in bronze and his fame rested principally upon his representations of athletes (including his iconic ''Diskobolos''), in which he made a revolution, according to commentators in Antiquity, by introducing greater boldness of pose and a more perfect rhythm, subordinating the parts to the whole. Pliny's remark that Myron's works were ''numerosior'' than those of Polycleitus and "more diligent" seem to suggest that they were considered more harmonious in proportions (''numeri'') and at the same time more convincing in realism: ''dili ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Value Investing
Value investing is an investment paradigm that involves buying securities that appear underpriced by some form of fundamental analysis. The various forms of value investing derive from the investment philosophy first taught by Benjamin Graham and David Dodd at Columbia Business School in 1928, and subsequently developed in their 1934 text ''Security Analysis''. The early value opportunities identified by Graham and Dodd included stock in public companies trading at discounts to book value or tangible book value, those with high dividend yields, and those having low price-to-earning multiples, or low price-to-book ratios. High-profile proponents of value investing, including Berkshire Hathaway chairman Warren Buffett, have argued that the essence of value investing is buying stocks at less than their intrinsic value. The discount of the market price to the intrinsic value is what Benjamin Graham called the " margin of safety". For the last 25 years, under the influence of ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Benjamin Graham
Benjamin Graham (; né Grossbaum; May 9, 1894 – September 21, 1976) was a British-born American economist, professor and investor. He is widely known as the "father of value investing", and wrote two of the founding texts in neoclassical investing: ''Security Analysis'' (1934) with David Dodd, and ''The Intelligent Investor'' (1949). His investment philosophy stressed investor psychology, minimal debt, buy-and-hold investing, fundamental analysis, concentrated diversification, buying within the margin of safety, activist investing, and contrarian mindsets. After graduating from Columbia University at age 20, he started his career on Wall Street, eventually founding the Graham–Newman Partnership. After employing his former student Warren Buffett, he took up teaching positions at his '' alma mater,'' and later at UCLA Anderson School of Management at the University of California, Los Angeles. His work in managerial economics and investing has led to a modern wave of value ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Victor Glushkov
Victor Mikhailovich Glushkov ( rus, Виктор Миха́йлович Глушко́в; August 24, 1923 – January 30, 1982) was a Soviet mathematician, the founding father of information technology in the Soviet Union and one of the founding fathers of Soviet cybernetics. He was born in Rostov-on-Don, Russian SFSR, in the family of a mining engineer. Glushkov graduated from Rostov State University in 1948, and in 1952 proposed solutions to Hilbert's fifth problem and defended his thesis in Moscow State University. In 1956 he began working with computers and worked in Kyiv as a Director of the Computational Center of the Academy of Science of Ukraine. In 1958 he became a member of the Communist Party. In 1962 Glushkov established the famous Institute of Cybernetics of the National Academy of Science of Ukraine and became its first Director. He made contributions to the theory of automata. He and his followers (Kapitonova, Letichevskiy and other) successfully applied th ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
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 ( sv, Sveriges riksbanks pris i ekonomisk vetenskap till Alfred Nobels minne), is an economics award administered by the Nobel Foundation. Although not one of the five Nobel Prizes which were established by Alfred Nobel's will in 1895, it is commonly referred to as the Nobel Prize in Economics. The winners of the Nobel Memorial Prize in Economic Sciences are chosen in a similar way, are announced along with the Nobel Prize recipients, and the prize is presented at the Nobel Prize Award Ceremony. The award was established in 1968 by an endowment "in perpetuity" from Sweden's central bank, Sveriges Riksbank, to commemorate the bank's 300th anniversary. It is administered and referred to along with the Nobel Prizes by the Nobel Foundation. Laureates in the Memorial Prize in Economics are selected by the Royal Swedish Academy of Sciences. [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
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 diversification in investing, the idea that owning different kinds of financial assets is less risky than owning only one type. Its key insight is that an asset's risk and return should not be assessed by itself, but by how it contributes to a portfolio's overall risk and return. It uses the variance of asset prices as a proxy for risk. Economist Harry Markowitz introduced MPT in a 1952 essay, for which he was later awarded a Nobel Memorial Prize in Economic Sciences; see Markowitz model. Mathematical model Risk and expected return MPT assumes that investors are risk averse, meaning that given two portfolios that offer the same expected return, investors will prefer the less risky one. Thus, an investor will take on increased risk only if compensat ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
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 Service Professor of Finance at the University of Chicago Booth School of Business. In 2013, he shared the Nobel Memorial Prize in Economic Sciences jointly with Robert J. Shiller and Lars Peter Hansen. The Research Papers in Economics project ranked him as the 9th-most influential economist of all time based on his academic contributions, . He is regarded as "the father of modern finance", as his works built the foundation of financial economics and have been cited widely. Early life Fama was born in Boston, Massachusetts, the son of Angelina (née Sarraceno) and Francis Fama. All of his grandparents were immigrants from Italy. Fama is a Malden Catholic High School Athletic Hall of Fame honoree. He earned his undergraduate degree in Romance ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Richard Arnold Epstein
Richard Arnold Epstein (born March 5, 1927 in Los Angeles, California), also known under the pseudonym E. P. Stein, is an American game theorist. Education He obtained his A.B. degree from UCLA in 1948. He then studied at the University of California Berkeley. He received his doctorate in physics, on the Born formalization of isochromatic lines, in 1961, from the University of Barcelona. Career He then shifted from spectroscopy to space communications, and worked for eighteen years as an electronics and communications engineer for various U.S. space and missile programs. He was variously employed by Parsons-Aerojet Company at Cape Canaveral, Glenn L. Martin Company, TRW Space Technology Laboratories, the Jet Propulsion Laboratory, and Hughes Aircraft Space Systems Division. Epstein has numerous technical publications in the areas of probability theory, statistics, game theory, and space communications. In 1956, he was made a member of the IEEE. Achievements ''The Theory of ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Black–Derman–Toy Model
In mathematical finance, the Black–Derman–Toy model (BDT) is a popular short-rate model used in the pricing of bond options, swaptions and other interest rate derivatives; see . It is a one-factor model; that is, a single stochastic factor—the short rate—determines the future evolution of all interest rates. It was the first model to combine the mean-reverting behaviour of the short rate with the log-normal distribution, and is still widely used. History The model was introduced by Fischer Black, Emanuel Derman, and Bill Toy. It was first developed for in-house use by Goldman Sachs in the 1980s and was published in the ''Financial Analysts Journal'' in 1990. A personal account of the development of the model is provided in Emanuel Derman's memoir '' My Life as a Quant''. Formulae Under BDT, using a binomial lattice, one calibrates the model parameters to fit both the current term structure of interest rates (yield curve), and the volatility structure for interest rate ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
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–Derman–Toy model, one of the first interest-rate models, and the Derman–Kani local volatility or implied tree model, a model consistent with the volatility smile. Derman, who first came to the U.S. at age 21, in 1966, is currently a professor at Columbia University and Director of its program in financial engineering. Until recently he was also the Head of Risk and a partner at KKR Prisma Capital Partners, a fund of funds. His book ''My Life as a Quant: Reflections on Physics and Finance'', published by Wiley in September 2004, was one of Business Week's top ten books of the year for 2004. In 2011, he published ''Models.Behaving.Badly'', a book contrasting financial models with the theories of hard science, and also containing some autobio ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
