Lecturer
Finance
Expertise and Research Interests
- Derivative Securities and Structured Products
- Risk Measurement, Aggregation, and Management
- Applied Mathematics and Numerical Methods
- Algorithmic Design and Optimization
- Applications of High-Performance Computing
- Quanto Mechanics RISK, 1992 [5(3): 59-63]
- Breaking Down the Barriers (with M. Rubinstein) RISK, 1991 [4(8): 28-35]
- Currency-translated foreign equity options: The American case (with K. Toft) Advances in Futures and Options Research, 1997 [9: 233-264]
- Exotic Options (with M. Rubinstein) UC Berkeley Research Program in Finance Working Paper #220, 1992
- Fast transformations lead to global view (profile, with V. Spedding) Quantitative Finance, 2002 [2(4): 232-233]
At Haas since 2009
2009 – present, Lecturer, Haas School of Business
1998 – 2013, Managing Director (various senior roles in firm-wide risk management and equities trading), UBS AG
1993 – 1998, Vice President to Managing Director, Union Bank of Switzerland
1990 – 1993, Senior Associate to Senior Vice President, Leland O’Brien Rubinstein Associates
1993 – present, Associate Editor, Journal of Derivatives
1999 – present, Editorial Board, Quantitative Finance
2010 – 2011, Institute of International Finance, Risk Appetite Working Group
1997 – 2011, Associate Editor, International Journal of Theoretical and Applied Finance
2003 – 2004, FASB Option Valuation Group (FAS 123R advisory body)
Club 6 (MFE 230D), Summers 2016, 2017, and (pending) 2018
- MFE 230D: Derivatives ‑ Quantitative Methods
- MFE 230N/O: Applied Finance Project