Robert M. Anderson Director
Robert M. Anderson is Professor of Economics and Mathematics, Coleman Fung Professor of Risk Management, and Director of the Coleman Fung Risk Management Research Center at UC Berkeley. He received his B.Sc. in Mathematics from the University of Toronto in 1973 and his Ph.D. from Yale University in Mathematics in 1977, under the supervision of Shizuo Kakutani. He spent a year as McMaster Fellow at McMaster University in 1977-78, and then went to Princeton as Assistant Professor of Economics of Mathematics from 1978 to 1982 and Associate Professor of Economics in 1982-83. He has been at Berkeley since 1983. He was named an Alfred P. Sloan Research Fellow in 1982 and a Fellow of the Econometric Society in 1988. His research has ranged from the intersection between probability theory and logic, to general equilibrium theory, to mathematical finance. His current research focuses on the determination of portfolio returns. He has been active in University governance, having served as President of the Student’s Administrative Council at the University of Toronto in 1973-74, as Chair of the Economics Department at Berkeley, and as Parliamentarian of the Berkeley Division of the Academic Senate. He has taken on numerous assignments for the University of California system Academic Senate, including Vice Chair and Chair of the UC Academic Senate and Faculty Representative to the Board of Regents in 2010-12. He received the Berkeley Faculty Service Award in 2009.
Lisa R. Goldberg Director of Research
Lisa R. Goldberg is Director of Research at the Coleman Fung Risk Management Research Center and Adjunct Professor of Statistics at University of California, Berkeley. She received a B.A. in Mathematics from University of Rochester in 1978 and a Ph.D. in Mathematics from Brandeis University in 1984, under the supervision of Edgar Brown, Jr. Lisa was Einstein Assistant Professor, Associate Professor and Professor of Mathematics at City University of New York between 1982 and 1993. She was a Post-Doctoral Fellow at the Mathematical Sciences Research Institute in Berkeley in 1986 and a Member of the Institute for Advanced Study in Princeton from 1986 to 1987. In 1991-1992, Lisa was a Visiting Professor of Mathematics at University of California, Berkeley, and in 1992-1993, she returned to the Mathematical Sciences Research Institute as a Research Professor.
In 1993, Lisa left academia to join Barra, the leading provider of quantitative risk management tools to the financial services industry. At Barra, Lisa was principal scientist for commercially successful fixed income and multi-asset class risk models, mentor to junior researchers, and corporate spokesperson to clients, to the media and to the research community. In 2004, Barra merged with MSCI and Lisa became Executive Director of Research. After the merger, Lisa’s research focused on credit, risk due to extreme events and asset allocation.
Lisa has been awarded numerous research grants including an Alfred P. Sloan Fellowship and an NSF Visiting Professorship for Women. Lisa is an inventor on four patents; she is the author of more than forty articles in peer-reviewed journals and a book, Portfolio Risk Analysis, which was published by Princeton University Press in 2010. Lisa is Book Review Editor for Quantitative Finance, she serves on the Editorial Board of Financial Analysts Journal and as Associate Editor for Journal of Investment Strategies. She is on the Board of the Journal of Investment Management conference series, on the Editorial Board of two Springer Book Series and on the Advisory Council of the Museum of Mathematics.
Samim Ghamami Affiliated Researcher
Samim Ghamami obtained his Ph.D. in Operations Research from the University of Southern California in 2009, where his principal advisor was Professor Sheldon Ross. His research broadly focuses on stochastic modeling and applied probability, Monte Carlo simulation, and asset pricing and financial risk management. He has been a post-doctoral researcher with CREATE Homeland Security Center, a quantitative analyst with Barclays Capital, an adjunct faculty member of USC, a senior quantitative researcher with MSCI, and a visiting scholar at the Department of Economics at UC Berkeley. Samim is currently an Economist with the Board of Governors of the Federal Reserve System. His publications have appeared in various journals including the Journal of Applied Probability, Journal of Derivatives, Mathematics of Operations Research, and Probability in the Engineering and Informational Sciences.
Nicholas L. Gunther Affiliated Researcher
Nicholas L. Gunther received his Ph.D. in Mathematics from Harvard in 1982 and his J.D. from Harvard Law School in 1986. Nick worked as an associate specializing in tax matters at Cleary, Gottlieb, Steen & Hamilton until 1992. From 1992 until the present, Nick has worked on the development, structuring and execution of financial products with a tax, accounting or regulatory emphasis, at AIG Financial Products, Goldman, Sachs & Co., Sosin & Co. LLC and other prominent investment banking firms. In 2005, with one of his colleagues, Nick founded GH Group LLC, a registered broker-dealer that conducts an investment banking business. In 2009, Nick sold the firm to another investment bank. Since then, Nick has pursued both investment banking transactions, including student-loan securitizations, and computer and internet-based business, including automatic grading and financial data and analytics distribution. He is the founder of the startup OpenAnalytics, and one of the founding partners of Visible Market, a company dedicated to providing new visual approaches to understanding financial markets. Visible Market is the developer of StockTouch, one of the most popular financial apps in the Apple App Store in 2012.
Konstantin Magin Affiliated Researcher
Konstantin Magin obtained his B.A. in Economics from the Leningrad Institute of Economics and Finance and his Ph.D. in Economics from the University of California, Berkeley. He is a researcher at the Coleman Fung Risk Management Research Center. His research focuses on modeling the relationship between political risks, insecure property rights (stochastic taxes) and asset prices and also includes financial derivatives, financial engineering, real estate finance and Social Security privatization. He is also a lecturer at the Haas School of Business, where he teaches financial derivatives courses. He has been a Post-Doctoral Fellow at the University of California, Berkeley. His publications have appeared in the Journal of Economic Perspectives and The Economists' Voice.
Ola Mahmoud Affiliated Researcher
Ola Mahmoud obtained her Ph.D. in Mathematics from the University of Cambridge in 2011, a Master of Advanced Study in Mathematics (also known as Part III of the Mathematical Tripos) from the Department of Pure Mathematics at the University of Cambridge in 2005, and a B.Sc. in Mathematics from the American University in Cairo in 2004. The broad subjects of her postgraduate studies are category theory, algebra, and logic, and her Ph.D. dissertation develops categorical models for second-order algebraic theories. Ola currently lives in Geneva (Switzerland) and works as a Quantitative Strategist in the Investment Division of the Swiss private bank Pictet & Cie, where she develops systematic trading strategies. Prior to that, she was a researcher at MSCI under a fellowship sponsored by the Marie Curie Initial Training Network on Risk Management and Risk Reporting and supervised by Lisa Goldberg. Her research interests include modeling the dynamics of volatility and its risk, extreme risk modeling, and the applications of quantitative risk models in systematic portfolio construction.
Stephen Bianchi Affiliated Graduate Student
Stephen is a fourth year Ph.D. student in the Economics department at UC Berkeley, specializing in financial economics and econometrics. He holds an M.S. in Management Science & Engineering from Stanford University. Prior to entering the Ph.D. program, Stephen worked in the fixed income research group at MSCI Barra, where his responsibilities included term structure and credit spread curve estimation and the development of fixed income risk models for the United States and Japan. His current interests include the use of generalized deviation measures in the context of the Capital Asset Pricing Model, in factor analysis, and in portfolio construction. Stephen taught Economics 136 (Financial Economics) over the 2012 Berkeley summer session.
Tessa Childers-Day Affiliated Graduate Student
Tessa Childers-Day graduated with highest honors from UC Davis in June of 2008, earning her B.S. in Statistics with a minor in Political Science. She is a 5th year Ph.D.student in the Department of Statistics at UC Berkeley, and her main research interest is the application of Hidden Markov Models to Finance. Tessa enjoys helping undergraduates understand and appreciate the beauty of statistics and is an advocate for science education, through her involvement with the Department of Energy's National Science Bowl.
Raymond C. W. Leung Affiliated Graduate Student
Raymond C. W. Leung is currently a third year Ph.D. Finance student in the Haas School of Business and an M.A. Statistics student in the Department of Statistics at UC Berkeley. His research interests are in asset pricing and financial econometric theory. In asset pricing, he is studying how principal-agent models can be incorporated into financial security design problems. In financial econometrics, he is studying how to extend current univariate continuous-time stochastic volatility estimation techniques to the multivariate case.
Raymond holds a BCom in Finance and Accounting from the University of British Columbia, and a Graduate Diploma and a MSc in Econometrics and Mathematical Economics from the London School of Economics and Political Science. In his free time, he enjoys travelling, photography and watching movies.
Markus Pelger Affiliated Graduate Student
Markus Pelger is a Ph.D. candidate in Economics at UC Berkeley. His research interests span several topics, including credit risk modeling, executive compensation, network economics and financial econometrics. His most recent paper explores the use of credit default swaps as a conversion trigger for contingent convertible bonds in a model with jumps.
For his work at Berkeley, he has received the Eliot J. Swan Prize, the INET Economic History Price and the Outstanding GSI Teaching Award. He has been Teaching Assistant for graduate and undergraduate courses in Econometrics and Finance. Among his fellowships are the German National Merit Foundation Scholarship, the Fulbright Scholarship, the German Academic Exchange Service Scholarship and the Konrad Adenauer Foundation Fellowship.
He holds a Diplom in Mathematics (with distinction) and a Diplom in Economics (with distinction) from the University of Bonn.
Peter Vinella Affiliated Graduate Student
Peter is a Ph.D. candidate in Mathematics at UC Berkeley; he recently returned to the program after a 30-year break and he is working under the supervision of Professor Craig Evans. His current research focuses on nonlinear analysis, stochastic optimal control theory, and differential games with applications to finance. He received an A.B. in Applied Mathematics from UC Berkeley and was in the Ph.D. program studying computational fluid mechanics under Alexandre Chorin in the late 1970's. Peter was a Lecturer and Assistant Professor of Mathematics and Computer Science at Cal State Hayward (Cal State East Bay) in the early 1980's.
Peter spent more than 25 years on Wall Street during his hiatus from academia, and he has held positions in senior management, trading and research at major financial institutions. He has provided testimony to the US House of Representatives and worked with US government agencies, including the GAO, the SEC, and the Federal Reserve, regarding the health of the US financial system. Peter is the coauthor of two books on operational risk management as well as dozens of articles on a wide variety of topics for major industry journals and the lay press. Peter is frequently quoted in the press and has appeared on ABC Nightly News, the BBC, BBC Radio, and Bloomberg Radio in addition to penning op-ed pieces for The New York Times and The Wall Street Journal.
Peter is currently a Director with the Berkeley Research Group where he provides litigation-related consulting and expert testimony. To date, he has been a testifying expert on more than two dozen lawsuits, eight of which had more than $1B at issue.
Yang Xu Affiliated Graduate Student
Yang Xu is a Ph.D. student in the Department of Industrial Engineering and Operations Research at UC Berkeley, and received his M.A. in Statistics in 2012. His research interests include stochastic processes in financial risk management and asset pricing, and he has recently become involved in a project concerning the analysis of counterparty risk. His research advisors are Professor Lisa R. Goldberg and Professor Ilan Adler.