Neil A. Chriss is a

mathematician A mathematician is someone who uses an extensive knowledge of mathematics in their work, typically to solve mathematical problems. Mathematicians are concerned with numbers, data, quantity, structure, space, models, and change. History On ...

academic An academy (Attic Greek: Ἀκαδήμεια; Koine Greek Ἀκαδημία) is an institution of secondary or tertiary higher learning (and generally also research or honorary membership). The name traces back to Plato's school of philosophy, ...

hedge fund A hedge fund is a pooled investment fund that trades in relatively liquid assets and is able to make extensive use of more complex trading, portfolio-construction, and risk management techniques in an attempt to improve performance, such as ...

manager,

philanthropist Philanthropy is a form of altruism that consists of "private initiatives, for the public good, focusing on quality of life". Philanthropy contrasts with business initiatives, which are private initiatives for private good, focusing on material ...

and a founding board member of the charity organization "

Math for America Math for America (MfA) is a nonprofit organization, founded in January 2004 by American billionaire mathematician, hedge fund manager, and philanthropist Jim Simons to promote recruitment and retention of mathematics teachers in New York City seco ...

" which seeks to improve math education in the

United States The United States of America (U.S.A. or USA), commonly known as the United States (U.S. or US) or America, is a country Continental United States, primarily located in North America. It consists of 50 U.S. state, states, a Washington, D.C., ...

. Chriss also serves on the board of trustees of the

Institute for Advanced Study The Institute for Advanced Study (IAS), located in Princeton, New Jersey, in the United States, is an independent center for theoretical research and intellectual inquiry. It has served as the academic home of internationally preeminent schola ...

Early career

Chriss learned programming at the age of 11. He developed a videogame called D' Fuse and sold it to Tymac when he was a sophomore in high school. The game quickly faded when the Commodore 64 with 64K of memory and much better graphics appeared. Chriss went to 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 ...

, where he majored in mathematics. Following his junior year in college, he worked at

Fermilab Fermi National Accelerator Laboratory (Fermilab), located just outside Batavia, Illinois, near Chicago, is a United States Department of Energy national laboratory specializing in high-energy particle physics. Since 2007, Fermilab has been oper ...

with Myron Campbell and Bruce Denby; he developed a neural network to find b-quark jets. He then earned his master's degree in

applied mathematics Applied mathematics is the application of mathematical methods by different fields such as physics, engineering, medicine, biology, finance, business, computer science, and industry. Thus, applied mathematics is a combination of mathemati ...

Caltech The California Institute of Technology (branded as Caltech or CIT)The university itself only spells its short form as "Caltech"; the institution considers other spellings such a"Cal Tech" and "CalTech" incorrect. The institute is also occasional ...

. Chriss studied

pure mathematics Pure mathematics is the study of mathematical concepts independently of any application outside mathematics. These concepts may originate in real-world concerns, and the results obtained may later turn out to be useful for practical applications, ...

at the

, working in the

Langlands Program In representation theory and algebraic number theory, the Langlands program is a web of far-reaching and influential conjectures about connections between number theory and geometry. Proposed by , it seeks to relate Galois groups in algebraic num ...

. He received a Ph.D. in 1993, with the thesis ''A Geometric Construction of the Iwahori-Hecke Algebra''. With

Victor Ginzburg Victor Ginzburg (born 1957) is a Russian American mathematician who works in representation theory and in noncommutative geometry. He is known for his contributions to geometric representation theory, especially, for his works on representations ...

, he wrote a book on

algebraic geometry Algebraic geometry is a branch of mathematics, classically studying zeros of multivariate polynomials. Modern algebraic geometry is based on the use of abstract algebraic techniques, mainly from commutative algebra, for solving geometrical ...

and

representation theory Representation theory is a branch of mathematics that studies abstract algebraic structures by ''representing'' their elements as linear transformations of vector spaces, and studies modules over these abstract algebraic structures. In essen ...

Academia

Chriss's first academic job (1993–1994) was at the

University of Toronto The University of Toronto (UToronto or U of T) is a public research university in Toronto, Ontario, Canada, located on the grounds that surround Queen's Park. It was founded by royal charter in 1827 as King's College, the first institution ...

, where he wrote "Representation Theory and Complex Geometry" with Ginzburg. At Toronto,

John M. Liew AQR Capital Management (Applied Quantitative Research) is a global investment management firm based in Greenwich, Connecticut, United States. The firm, which was founded in 1998 by Cliff Asness, David Kabiller, John Liew, and Robert Krail, offers ...

introduced Chriss to " quant" finance,

probability theory Probability theory is the branch of mathematics concerned with probability. Although there are several different probability interpretations, probability theory treats the concept in a rigorous mathematical manner by expressing it through a set ...

stochastic calculus Stochastic calculus is a branch of mathematics that operates on stochastic processes. It allows a consistent theory of integration to be defined for integrals of stochastic processes with respect to stochastic processes. This field was created an ...

and Black–Scholes option pricing theory. At the

in 1994–1995, Chriss began the book "Black–Scholes and Beyond: Option Pricing Models" (Irwin, 1996). In 1995, he was hired for the summer in the Quantitative Strategies group of

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–Derm ...

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, Ho ...

. In 1994, Derman and Kani published a paper that showed how to fit a

binomial tree In computer science, a binomial heap is a data structure that acts as a priority queue but also allows pairs of heaps to be merged. It is important as an implementation of the mergeable heap abstract data type (also called meldable heap), wh ...

to price all options trading in the market at that time. Chriss helped extend their work from binomial to

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 ...

s. Chriss received a grant from NSF and went to

Harvard University Harvard University is a private Ivy League research university in Cambridge, Massachusetts. Founded in 1636 as Harvard College and named for its first benefactor, the Puritan clergyman John Harvard, it is the oldest institution of highe ...

Mathematics Department in 1996. Despite the offer of an assistant professorship at Harvard in 1997, he moved to Wall Street.

Wall Street

Risk Magazine named Chriss one of the "Top Ten to Watch in the next Ten Years" in 1997. In 1997, Chriss joined the quant research group in

Morgan Stanley Morgan Stanley is an American multinational investment management and financial services company headquartered at 1585 Broadway in Midtown Manhattan, New York City. With offices in more than 41 countries and more than 75,000 employees, the fir ...

to work on portfolio trading for their cash equities

program trading Program trading is a type of trading in securities, usually consisting of baskets of fifteen stocks or more that are executed by a computer program simultaneously based on predetermined conditions. Program trading is often used by hedge funds an ...

desk. He wrote a paper "Optimal execution of portfolio transactions" with

Robert Almgren Robert F. Almgren is an applied mathematician, academic, and businessman focused on market microstructure and order execution. He is the son of Princeton mathematician Frederick J. Almgren, Jr. Frederick Justin Almgren Jr. (July 3, 1933 – Febru ...

. The Institutional Investor published an article about Algorithmic Trading in its November 2004 issue, titled "The Orders Battle", which noted that Chriss's paper "helped lay the groundwork for arrival-price algorithms being developed on Wall Street." The work has been widely cited since. Chriss also wrote

Algorithmic Trading Algorithmic trading is a method of executing orders using automated pre-programmed trading instructions accounting for variables such as time, price, and volume. This type of trading attempts to leverage the speed and computational resources of ...

articles: "Competitive bids for principal program trades", "Value under liquidation". At Morgan Stanley, Peter Muller inspired Chriss to pursue quantitative trading. In 1998, Chriss moved into portfolio management, joining the Goldman Sachs Asset Management (GSAM) Quantitative Strategies group to develop a new trading strategy, after Cliff Asness,

and Bob Krail left to form

AQR Capital Management AQR Capital Management (Applied Quantitative Research) is a global investment management firm based in Greenwich, Connecticut, United States. The firm, which was founded in 1998 by Cliff Asness, David Kabiller, John Liew, and Robert Krail, offers ...

. In 2000, Chriss left Goldman Sachs to found ICor Brokerage Inc., a derivatives trading firm. In 2001, ICor joined forces with

Reuters Reuters ( ) is a news agency owned by Thomson Reuters Corporation. It employs around 2,500 journalists and 600 photojournalists in about 200 locations worldwide. Reuters is one of the largest news agencies in the world. The agency was est ...

, forming a joint venture, ICor Brokerage Ltd. Reuters bought out ICor in 2004.

Mathematical finance education

Chriss was asked by

New York University New York University (NYU) is a private research university in New York City. Chartered in 1831 by the New York State Legislature, NYU was founded by a group of New Yorkers led by then- Secretary of the Treasury Albert Gallatin. In 1832, th ...

Courant Institute of Mathematical Sciences The Courant Institute of Mathematical Sciences (commonly known as Courant or CIMS) is the mathematics research school of New York University (NYU), and is among the most prestigious mathematics schools and mathematical sciences research cente ...

to be the first (part-time) director of the Program in Mathematics in Finance. At Courant from 1997 to 2003, Chriss recruited

Jim Gatheral Jim Gatheral is a researcher in the field of mathematical finance, who has contributed to the study of volatility as applied to the pricing and risk management of derivatives. A recurrent subject in his books and papers is the volatility smile, ...

, Steve Allen, Peter Fraenkel (now head of Quantitative IT at

UBS UBS Group AG is a multinational investment bank and financial services company founded and based in Switzerland. Co-headquartered in the cities of Zürich and Basel, it maintains a presence in all major financial centres as the largest Swi ...

) and

Nassim Taleb Nassim Nicholas Taleb (; alternatively ''Nessim ''or'' Nissim''; born 12 September 1960) is a Lebanese-American essayist, mathematical statistician, former option trader, risk analyst, and aphorist whose work concerns problems of randomness, ...

. In 2003 Chriss became executive director of the University of Chicago Financial Mathematics Program.

Hedge funds

In 2003, Chriss joined the Stamford, Connecticut hedge fund

SAC Capital SAC Capital Advisors was a group of hedge funds founded by Steven A. Cohen in 1992. The firm employed approximately 800 people

, working there until early 2007. Chriss then founded the hedge fund "Hutchin Hill Capital". Renaissance Technologies' Meritage Fund provided $300 million of capital to Hutchin Hill.

Recent research

With R. Almgren, Chriss wrote a paper on optimizing a portfolio.Robert Almgren and Neil Chriss, "Optimal portfolios from ordering information", ''Journal of Risk'', Fall 2006 They submitted
patent application
on the method.

Books

* * *

Nigel Goldenfeld Nigel David Goldenfeld (born May 1, 1957) is a Swanlund Chair, Professor of Physics Department in the University of Illinois at Urbana-Champaign (UIUC), the director of the NASA Astrobiology Institute for Universal Biology, and the leader of the ...

, a professor of physics at

University of Illinois The University of Illinois Urbana-Champaign (U of I, Illinois, University of Illinois, or UIUC) is a public land-grant research university in Illinois in the twin cities of Champaign and Urbana. It is the flagship institution of the Uni ...

, recommends Chriss's book ''Black–Scholes and Beyond'' to those of his students "contemplating a career in quantitative finance", as giving an "Excellent overview of modern day finance, financial models, and their shortcomings. A great blend of practical and theoretical knowledge, clearly presented".

External links

AMS review of ''Representation Theory and Complex Geometry''

References

{{DEFAULTSORT:Chriss, Neil American investors 20th-century American mathematicians 21st-century American mathematicians Trustees of the Institute for Advanced Study Living people Year of birth missing (living people) Financial economists Courant Institute of Mathematical Sciences faculty