From Wikipedia, the free encyclopedia
This is a list of notable
quantitative analysts (by surname ); see also
§ Seminal publications there, and
List of financial economists .
Pioneers
Kenneth Arrow , (1921–2017), American economist,
Social choice theory .
Louis Bachelier , (1870–1946), French mathematician, Pioneer of
financial mathematics .
Jacob Bernoulli , (1654–1705), Swiss mathematician, discovered the mathematical constant
e while studying
Compound interest .
Fischer Black , (1938–1995), American economist, famous for
Black–Scholes equation .
Michael Brennan , (born 1942), co-designed the Brennan-Schwartz interest rate model, and pioneer of
real options theory.
Vinzenz Bronzin (1872–1970), Italian mathematics professor; published option pricing formulae in 1908, as well as a formulation of put–call parity.
Phelim Boyle , (born 1941), (Irish physicist), initiated the use of
Monte Carlo methods and
Trinomial trees in
option pricing .
John Carrington Cox , (born 1943), one of the inventors of the
Cox-Ross-Rubinstein model .
Emanuel Derman , (born 1945), particle physicist, co-author of
Black–Derman–Toy model .
Richard A. Epstein , (born 1927), notable American game theorist and physicist.
Eugene Fama , (born 1939) American economist, work on
portfolio theory and asset pricing, laureate
Nobel Memorial Prize in Economic Sciences .
Victor Glushkov , (1923–1982), founding father of information theory in the Soviet Union.
Benjamin Graham , (1894–1976) American economist and professional investor and first proponent of
value investing .
Myron J. Gordon , (1920–2010) American economist; noted for Gordon model.
Robert Haugen , (1942–2013) US
financial economist and a pioneer in the field of
quantitative investing and
low-volatility investing .
Thomas Ho , author of the
Ho–Lee model and
key rate duration .
John C. Hull , noted for the
Hull–White model .
Jonathan E. Ingersoll , (born 1949), one of the authors of the
Cox–Ingersoll–Ross model of the
yield curve .
Kiyoshi Itō , (1915–2008) was a Japanese mathematician whose work is now called
Itō calculus .
Robert A. Jarrow , a co-creator of the
Heath–Jarrow–Morton framework for pricing
interest rate derivatives .
John Kelly , (1923–1965), American physicist, Bell Labs scientist, best known for formulating the
Kelly criterion .
Sang Bin Lee , author of the
Ho–Lee model .
Martin L. Leibowitz , developed
dedicated portfolio theory .
Francis Longstaff , (born 1956), known for the
Longstaff-Schwartz interest rate model .
Frederick Macaulay , (1882–1970), Canadian-American economist, introduced the concept of
Bond duration .
Harry Markowitz , (born 1927), American economist,
Nobel Memorial Prize in Economic Sciences . Pioneering work in
Modern Portfolio Theory .
Benoît Mandelbrot , (1924–2010) was a French American mathematician, the father of
fractal geometry .
Robert C. Merton , (born 1944), American economist, and laureate
Nobel Memorial Prize in Economic Sciences .
John von Neumann , (1903–1957), Hungarian American mathematician made major contributions to a vast range of fields
Victor Niederhoffer , (born 1943), American, the father of
Statistical arbitrage and of
Market microstructure studies.
Stephen Ross , (1944–2017), American, known for initiating several important theories and models in
financial economics .
Mark Rubinstein , (1944–2019), American, a senior academic in the field of
finance , focusing on
derivatives , particularly
options .
Myron Scholes , (born 1941), Canadian-American, financial economist who is best known as one of the authors of the
Black–Scholes equation.
Eduardo Schwartz , (born 1940), American, pioneering research in the
real options method of pricing investments under
uncertainty .
Claude Shannon , (1916–2001), American, mathematician, electronic engineer, and cryptographer known as "the father of
Information Theory ".
William F. Sharpe , (born 1934), American
Nobel Memorial Prize in Economic Sciences , one of the originators of the
Capital Asset Pricing Model .
Nassim Taleb , (born 1960), Lebanon, considers himself less a businessman than an
epistemologist of
randomness .
Thales , (c. 624 BC – c. 546 BC), Greek, one of the
Seven Sages of Greece , made the first recorded option trade.
Ed Thorp , American, (born 1932), author of Beat the Dealer, the first book to mathematically prove, in 1962, that the house advantage in blackjack could be overcome by
card counting .
Alan White , noted for the
Hull-White model .
Oldrich Vasicek , (born 1942), Czech, breakthrough paper, describing the dynamics of the
yield curve ; see
Vasicek model .
Other well-known figures
Cliff Asness , (born 1966), American, co-founder of
AQR Capital Management , credited with popularizing value and momentum strategies.
David Blitz , (born 1973), Dutch, founding researcher of Robeco Quantitative Investments contributor to
factor investing literature.
Jean-Philippe Bouchaud , (born 1962), French physicist and econophysicist, former editor of Quantitative Finance .
Damiano Brigo , (born 1966), Italian, known for results in
systems theory ,
probability and
mathematical finance .
Aaron Brown , (born 1956), American risk expert, known for the idea that the economics of modern global derivatives evolved from gambling.
Gunduz Caginalp , (1952–2021), Turkish American, researcher known for work in
quantitative behavioral finance .
Neil Chriss , American,
mathematician ,
academic ,
hedge fund manager, first director of the Courant Institute Mathematical Finance Program.
Jakša Cvitanić , (born 1962), Croatian, Professor of Mathematical Finance at the
California Institute of Technology .
Raphael Douady , (born 1959) French mathematician, Head of
Laboratory of Excellence on Financial Regulation at the Sorbonne.
Darrell Duffie , (born 1954) Canadian, Dean Witter Distinguished Professor of Finance at
Stanford Graduate School of Business .
Bruno Dupire , (1958), French, known for showing how to derive a
local volatility model.
Frank J. Fabozzi , American, prolific author, co-developer of the
Kalotay–Williams–Fabozzi model .
J. Doyne Farmer , (born 1952), American, one of the founders of the
Prediction Company .
Jim Gatheral , Scottish, known for work on the
volatility smile and the volatility surface.
Hélyette Geman French mathematician known for change of numeraire methods in mathematical finance.
Kenneth C. Griffin , (born 1968), is an American
hedge fund manager.
Albert Hibbs , (1924–2003) noted American mathematician and the "voice" of
JPL .
Peter Jaeckel , German mathematician who has influenced the development of the use of Monte Carlo methods in Mathematical Finance.
Mark S. Joshi , (1969–2017) British Australian author, researcher and consultant in
mathematical finance .
Andrew Kalotay , (born 1941), Hungarian-American, Wall Street quant and chess master, statistician and mathematician.
Nicole El Karoui , (born 1944), mathematician, and pioneer in the development of Mathematical Finance.
Piotr Karasinski , quantitative finance pioneer; best known for the
Black–Karasinski model .
Sheen T. Kassouf , (1929–2006) economist known for research in financial mathematics.
David X. Li , (born 1960), Chinese, pioneered the use of
Gaussian copula models for the pricing of
collateralized debt obligations (CDOs).
Andrew Lo , (born 1960), leading authority on
hedge funds and
financial engineering ; he proposed the
Adaptive market hypothesis .
David Luenberger , (born 1937), mathematical scientist known for his research and his textbooks.
William Margrabe author of
Margrabe's formula .
Fabio Mercurio , (born 1966), Italian, mathematician, internationally known for
incomplete markets theory.
Attilio Meucci , Italian, applied mathematician, known for refining the Black–Litterman model and other portfolio and risk management methodologies.
Salih Neftçi , (1947- 2009) leading expert in the fields of stochastic processes and financial engineering.
Norman Packard , (born 1954), American, is a chaos theory physicist and one of the founders of the
Prediction Company and
ProtoLife .
William Perraudin , British, economist, specializing in the fields of
risk and pricing of
debt instruments .
Riccardo Rebonato , former physicist specializing in yield curve modeling and risk management.
Isaak Russman , (1938–2005) was a Russian mathematician and economist.
David E. Shaw , (born 1951) computer scientist and computational biochemist who founded
D. E. Shaw & Co .
Peng Shige , (born 1947), Chinese, mathematician noted for his contributions in
stochastic analysis and
mathematical finance .
Steven E. Shreve , academic and widely read author in mathematical finance.
James Harris Simons , (born 1938), American
hedge fund manager, mathematician, and philanthropist.
Stuart Turnbull ,
Jarrow–Turnbull model
Pim van Vliet , (born 1977), Dutch
quantitative fund manager, researcher with contributions to
low-volatility investing .
Paul Wilmott , (born 1959) UK researcher, consultant and lecturer in quantitative finance.
Marc Yor , (1949–2014), French mathematician, known for work on
stochastic processes , especially properties of
semimartingales ,
Brownian motion and other
Lévy processes .