Francis A. Longstaff (born August 3, 1956) is an

American American(s) may refer to: * American, something of, from, or related to the United States of America, commonly known as the "United States" or "America" ** Americans, citizens and nationals of the United States of America ** American ancestry, pe ...

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 of financial markets. In general, there exist two separate branches of finance that require ...

. He serves as the

Allstate The Allstate Corporation is an American insurance company, headquartered in Northfield Township, Illinois, near Northbrook since 1967. Founded in 1931 as part of Sears, Roebuck and Co., it was spun off in 1993 but still partially owned by S ...

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 land-grant research university in Los Angeles, California. UCLA's academic roots were established in 1881 as a teachers college then known as the southern branch of the California St ...

, 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 prin ...

markets, term structure,

derivatives The derivative of a function is the rate of change of the function's output relative to its input value. Derivative may also refer to: In mathematics and economics * Brzozowski derivative in the theory of formal languages * Formal derivative, an ...

credit risk A credit risk is risk of default on a debt that may arise from a borrower failing to make required payments. In the first resort, the risk is that of the lender and includes lost principal and interest, disruption to cash flows, and increased ...

computational finance Computational finance is a branch of applied computer science that deals with problems of practical interest in finance.Rüdiger U. Seydel, '' tp://nozdr.ru/biblio/kolxo3/F/FN/Seydel%20R.U.%20Tools%20for%20Computational%20Finance%20(4ed.,%20Springe ...

and the role of

arbitrage In economics and finance, arbitrage (, ) is the practice of taking advantage of a difference in prices in two or more markets; striking a combination of matching deals to capitalise on the difference, the profit being the difference between the ...

in financial markets. He is known for the

Longstaff–Schwartz 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 ...

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 determini ...

. He has published over 50 research and practitioner articles, and is a recipient of the

Michael Brennan Award ''The Review of Financial Studies'' is a peer-reviewed academic journal covering the field of finance. It is published by Oxford University Press on behalf of the Society for Financial Studies. It was established following discussions at the 19 ...

. 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. It was one of the five largest investment banking enterprises in the United States and the most profitable firm on Wall Street duri ...

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

Chicago Board of Trade The Chicago Board of Trade (CBOT), established on April 3, 1848, is one of the world's oldest futures and options exchanges. 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 Deloitte Touche Tohmatsu Limited (), commonly referred to as Deloitte, is an international professional services network headquartered in London, England. Deloitte is the largest professional services network by revenue and number of profession ...

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 consultants ...

. 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 c ...

Asset Pricing Program. Longstaff earned his

Ph.D. A Doctor of Philosophy (PhD, Ph.D., or DPhil; Latin: or ') is the most common degree at the highest academic level awarded following a course of study. PhDs are awarded for programs across the whole breadth of academic fields. Because it is a ...

in finance from the Graduate School of Business at the

University of Chicago The University of Chicago (UChicago, Chicago, U of C, or UChi) is a private research university in Chicago, Illinois. Its main campus is located in Chicago's Hyde Park neighborhood. The University of Chicago is consistently ranked among the b ...

, 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 So ...

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

MBA A Master of Business Administration (MBA; also Master's in Business Administration) is a postgraduate degree focused on business administration. The core courses in an MBA program cover various areas of business administration such as accounti ...

(1980, first in class), all from the

University of Utah The University of Utah (U of U, UofU, or simply The U) is a public research university in Salt Lake City, Utah. It is the flagship institution of the Utah System of Higher Education. The university was established in 1850 as the University of De ...

. 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 Sta ...

(CPA) and holds the

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

(CFA) designation.

Footnotes

External links

Home page at UCLA

Personal home page

SSRN Author Page
* 1956 births Living people 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