The Department of Mathematics
Phone: (646) 312-4007
Prior to joining the faculty of Baruch College, I was a Managing Director at Bank of America Merrill Lynch, and also an adjunct professor at the Courant Institute of the Mathematical Sciences, New York, where for many years I co-taught popular classes in the Masters Program of Mathematics in Finance.
Prior to 2005, I headed the Equity Quantitative Analytics groups at Merrill Lynch. Over my long career in the financial markets, I have been involved in all of the major derivative product areas as bookrunner, risk manager, and quantitative analyst. I have a BSc in mathematics and natural philosophy from Glasgow University and a PhD in theoretical physics from Cambridge University.
My current research focus is on volatility modeling and modeling equity market microstructure for algorithmic trading. My best-selling book, The Volatility Surface: A Practitioner's Guide (Wiley 2006), is now one of the standard references on the subject of volatility modeling.