Piotr Karasinski is a pioneering quantitative analyst, best known for the Black–Karasinski

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 ...

which he co-developed with the late Fischer Black. His contributions to

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 ...

include models for interest rates, equity and hybrid products and random volatility. He is currently Director of Client Solutions at AlgoDynamix (from 2020) and Managing Director at Karasinski Consulting (from 2021). He is on the editorial board of the journal, ''Quantitative Finance''

Previously, he has held a number of positions at leading firms in New York and London including: Managing Director at

HSBC HSBC Holdings plc is a British multinational universal bank and financial services holding company. It is the largest bank in Europe by total assets ahead of BNP Paribas, with US$2.953 trillion as of December 2021. In 2021, HSBC had $10.8 tri ...

, Director and Head Derivatives Research at

Citibank Citibank, N. A. (N. A. stands for " National Association") is the primary U.S. banking subsidiary of financial services multinational Citigroup. Citibank was founded in 1812 as the City Bank of New York, and later became First National City ...

, MD at

Chemical Bank Chemical Bank was a bank with headquarters in New York City from 1824 until 1996. At the end of 1995, Chemical was the third-largest bank in the U.S., with about $182.9 billion in assets and more than 39,000 employees around the world. Beginning ...

, Director at

Deutsche Bank Deutsche Bank AG (), sometimes referred to simply as Deutsche, is a German multinational investment bank and financial services company headquartered in Frankfurt, Germany, and dual-listed on the Frankfurt Stock Exchange and the New York Sto ...

and Vice President at

Goldman Sachs Goldman Sachs () is an American multinational investment bank and financial services company. Founded in 1869, Goldman Sachs is headquartered at 200 West Street in Lower Manhattan, with regional headquarters in London, Warsaw, Bangalore, H ...

. He has also served as Senior Advisor at the

European Bank for Reconstruction and Development The European Bank for Reconstruction and Development (EBRD) is an international financial institution founded in 1991. As a multilateral developmental investment bank, the EBRD uses investment as a tool to build market economies. Initially focus ...

. In a recent review The Black-Karasinski Model: Thirty Years On celebrating the thirty-year anniversary of publication of his seminal paper, he looks back at his early career. He studied

physics Physics is the natural science that studies matter, its fundamental constituents, its motion and behavior through space and time, and the related entities of energy and force. "Physical science is that department of knowledge which r ...

at Warsaw University (

MSc MSC may refer to: Computers * Message Sequence Chart * Microelectronics Support Centre of UK Rutherford Appleton Laboratory * MIDI Show Control * MSC Malaysia (formerly known as Multimedia Super Corridor) * USB mass storage device class (USB MSC ...

1978) and earned his

PhD PHD or PhD may refer to: * Doctor of Philosophy (PhD), an academic qualification Entertainment * '' PhD: Phantasy Degree'', a Korean comic series * ''Piled Higher and Deeper'', a web comic * Ph.D. (band), a 1980s British group ** Ph.D. (Ph.D. albu ...

Yale University Yale University is a private research university in New Haven, Connecticut. Established in 1701 as the Collegiate School, it is the third-oldest institution of higher education in the United States and among the most prestigious in the wo ...

(1984).

References

External links

Biography
Global Association of Risk Professionals
profile

Mathematical Institute, University of Oxford The Mathematical Institute is the mathematics department at the University of Oxford in England. It is one of the nine departments of the university's Mathematical, Physical and Life Sciences Division. The institute includes both pure and appli ...

* Colin Turfus and Piotr Karasinski (2021)
The Black-Karasinski Model: Thirty Years On
Polish economists Yale University alumni University of Warsaw alumni Financial economists Goldman Sachs people Living people Year of birth missing (living people) {{poland-economist-stub