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

, and the former Finance Area Chair. His research focuses on fixed income markets, term structure, derivatives,

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 and the role of arbitrage in financial markets. He is known for the Longstaff–Schwartz model a multi-factor short-rate model, and the Longstaff-Schwartz method for valuing

American option In finance, the style or family of an option (finance), option is the class into which the option falls, usually defined by the dates on which the option may be Exercise (options), exercised. The vast majority of options are either European or Amer ...

s by Monte Carlo Simulation. He has published over 50 research and practitioner articles, and is a recipient of the Michael Brennan Award. 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 durin ...

from 1995 to 1998, and worked in the research department of the Chicago Board of Trade and for Deloitte and Touche 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 ...

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 university, private research university in Chicago, Illinois. Its main campus is located in Chicago's Hyde Park, Chicago, Hyde Park neighborhood. The University of Chic ...

, in 1987. He received a BA finance (1979, magna cum laude), 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 (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