Baruch College's Financial Engineering MS Program

The Baruch College Financial Engineering MS Program Faculty

The faculty of the Masters of Science program, listed below, are dedicated to the continual development of the program's curriculum and providing high quality teaching.

Turan G. Bali is on the faculty of the Department of Economics and Finance in Baruch's prestigious Zicklin School of Business. Professor Bali has published numerous articles in the Annals of Operations Research, Journal of Business, Journal of Finance, Journal of Financial and Quantitative Analysis, Journal of Empirical Finance, Journal of Banking and Finance, Journal of Futures Markets, Journal of Fixed Income, and Risk. Professor Bali’s fields of specialization are financial risk management, extreme value theory and its applications, pricing fixed income derivatives and interest rate options, term structure of interest rate volatility, value at risk, optimal portfolio selection, dynamic asset allocation, GARCH, diffusion and stochastic volatility models. He received his BA from Bogazic University (Turkey), his MPhil and PhD from the City University of New York.

Lev Borodovsky serves as a senior risk officer for a leading European investment bank, overseeing risk management for a multi billion-dollar trading and investment portfolio. Dr. Borodovsky is the co-founder of GARP (Global Association of Risk Professionals), the leading risk management institution providing information and services to a membership of over 30,000 risk professionals from over 100 countries. He also co-authored the FRM examination, the international financial risk manager certification program. Dr. Borodovsky co-authored The Professional Handbook of Financial Risk Management. Dr. Borodovsky holds a PhD in Physics from Columbia University.

Warren B. Gordon has been Chair of the Mathematics Department at Baruch since 1985. He has a special interest in mathematical physics, differential equations, mathematics education and the use of technology in the classroom. He holds a BE from CUNY's City College and earned his PhD in mathematics from NYU's Courant Institute of Mathematical Sciences.

C. Douglas Howard brings to Baruch eight years of Wall Street experience, where he developed an expertise in computational methods in finance. He continues to consult to Wall Street firms and writes about applications of probability in finance. His research on the properties of spatially disordered systems, a class of probabilistic models motivated by certain physical phenomena, is funded by a grant from the National Science Foundation (NSF). He holds a BS in mathematics from MIT, an MBA in finance from Columbia, and a PhD from the Courant Institute.

Elena Kosygina's main research interests are in the areas of stochastic processes, interacting particle systems, and partial differential equations. She is also interested in applications of probabilistic techniques to finance. A graduate of Moscow State University, she received her PhD form the Courant Institute.

Susan H. Ma is a Manager at Enterprise Risk Management at American International Group. Dr. Ma has ten years of risk management experience in banking, insurance, and consumer finance business. Her interests focus on market risk management, credit risk management, ALM, ERM and derivative pricing, and she co-authored The Risk Management for Life Insurance Companies. She holds a B.S. in Physics from Peking University, a M.S. in Mathematical Finance from New York University, a Ph.D. in Physics from York University. She did her postdoctoral research at Harvard University. Dr. Ma receives numerous awards, including the Canadian Governor-General's Gold Medal, Research Fellowship from Natural Sciencce and Engineering Research Council of Canada, and York Excellent Ph.D. Thesis Award.
Terrence F. Martell is on the faculty of the finance department in Baruch's prestigious Zicklin School of Business. He has written extensively on numerous aspects of commodity and financial markets. Before coming to Baruch, he was a senior vice president and the chief economist at COMEX in New York and Washington. He holds a BA in finance from Iona College and a PhD in finance from Penn State.

Anita Mayo received the Ph.D. degree in mathematics from the Courant Institute, then taught at the University of California, Berkeley, Stanford University and SUNY Stony Brook. Following that she joined the staff of the Watson Research Center at IBM. While there, she developed and implemented mathematical techniques for designing computer components and recording devices. She also developed computational techniques used to solve problems in computer graphics, fluid dynamics and computational biology. Her most recent area of work is in computational finance. She is a consultant to engineers at IBM on mathematical problems arising in the manufacture of computer chips, and doing research with financial analysts at Bloomberg on hedging strategies and the pricing of certain types of exotic options.

Carlos J. Moreno, who is also on the faculty of the CUNY Graduate Center, has over sixty publications, including two books, on topics related to algebra and number theory. His research, funded by several NSF grants, has earned him a reputation as a world-class mathematician. At the Graduate Center, he has had extensive experience serving as graduate thesis adviser. He earned his BA and his PhD in mathematics at NYU.

Salih Neftci is well known for his books Principles of Financial Engineering -
a unique book presenting a practioner's angle on the trading and valuation of financial instruments, and An Introduction to the Mathematics of Pricing Financial Derivatives - one of the standard texts in financial derivatives graduate courses. His current research and teaching is in the areas of financial engineering, risk management of extreme events, in emerging market asset trading strategies and in contingent capital and credit lines. Professor Neftci is the Head of the FAME Certificate program in Switzerland, teaches at the Graduate School of the City University of New York, at the New School University and has a visiting appointment at the ISMA Centre, Reading University, U.K. He holds a PhD from University of Minnesota.

Sylvain Raynes is one of the two principals of R&R Consulting, a New York based consulting firm specializing in structured financial analysis in all asset types. He is also the co-author of The Analysis of Structured Securities, a book published in 2003 by Oxford University Press. Dr. Raynes has been extensively involved in the credit analysis of structured securities for the past ten years, including his work at Goldman, Sachs & Co., Citigroup, Credit Suisse First Boston and Moody's Investors Service. He holds a Diploma from the von Karman Institute for Fluid Dynamics in Brussels, Belgium and a Masters and Ph.D. in Aerospace Engineering from Princeton University.

Dan Stefanica is an applied mathematician specializing in numerical methods for geophysical fluid dynamic problems. He also studied models of the term structure of interest rates and wrote about the fitting of smooth yield curves to market data. In other NSF-funded research with application in finance, he designs fast algorithms for solving Partial Differential Equations. He has a BA from the University of Bucharest and a PhD in mathematics from the Courant Institute.

Sherman Wong works in the field of ergodic theory and dynamical systems. He has written on topological properties of systems arising from zero-finding algorithms, such as the Newton-Raphson method, the Steffenson acceleration method, and the Bairstow method. His undergraduate and doctoral degrees were earned at UC Berkeley.

Mona Zamfirescu works in the fields of probability theory, stochastic analysis, control and optimization problems and their applications to finance. She has received her B.A. from the University of Bucharest and Ph.D. in statistics from Columbia University.