Faculty and Lecturers
Roger Lee is an Associate Professor of Mathematics at the University of Chicago. He serves on the editorial boards of leading journals in financial mathematics, and is a frequent speaker at academic and practitioner conferences. His research interests include the pricing and hedging of financial derivatives. He has a Ph.D. from Stanford and a B.A. from Harvard.
Roger has taught in the MSFM Program since 2004. He currently teaches FINM 32000 and FINM 33000, and is co-organizer of the Project Lab.
Kevin Corlette joined the Department of Mathematics at the University of Chicago in 1987. His research specialty is algebraic and differential geometry. He served as Mathematics Department chairman from 2001-07, and as interim chair in fall 2011. Professor Corlette has held visiting positions at various institutions around the world, including the Institute for Advanced Study in Princeton, N.J., the Mathematical Sciences Research Institute in Berkeley, CA, the Institut des Hautes Études Scientifiques near Paris, and the Tata Institute for Fundamental Research in Mumbai. Professor Corlette was the Director of the Financial Mathematics Program from July 2012 to June 2015.
Professor in the Department of Mathematics at the University of Chicago since 1982. Prior to joining the University of Chicago, Niels taught at Princeton University. He holds a Ph.D. in Mathematics from MIT. Professor Nygaard was the Director of the Financial Mathematics Program since its inception in 1996 until April 2010. Besides his interest in Financial Mathematics he has done research in Arithmetic, Algebraic Geometry and Number Theory.
Yuri Balasanov is the Head of Trading Research at Toji Trading Group, as well as the President and founder of Research Software International. Toji Trading Group specializes in proprietary trading in futures, options on futures and forward contracts on major exchanges around the world. Research Software International has provided consulting services for the financial industry for more than 20 years.
Yuri has worked in financial industry since 1991. He has been teaching Financial Mathematics at the University of Chicago since 1997. Yuri has served as a leading quantitative researcher at Chicago Research and Trading, Bank of America, and Ritchie Capital Management. He has more than 10 years of experience as a quantitative trader and risk manager. He has held the positions of chief investment officer at Lotsoff Capital Management and AQ Strategies.
Prior to becoming an industry practitioner, Yuri taught at the Moscow State University, Russia, where he also received his Master's degree in Applied Mathematics and Ph. D. in Probability and Statistics.
Brian Boonstra is a manager at Cognitive Capital, a proprietary algorithmic trading firm based in Chicago. He has served as senior or chief quant at UBS O'Connor, Delaware Street Capital, JPMorgan and Helios, and has been teaching at the graduate level since 1996. He managed Thureos Capital, a hedge fund dedicated to equity/credit arbitrage using contingent claims models, and has worked in most areas of contingent claims modeling and trading. His interests include numerical analysis, contingent claims pricing models, and statistical learning. Brian holds an S.B. in Mathematics from the University of Chicago and a Ph.D. in Complex Analysis from the University of Michigan.
Anthony Capozzoli is a Director in the Corporate & Investment Banking Division of Deutsche Bank where he focuses on quantitative methods to analyze and manage foreign exchange, interest rate and commodity risk for corporate clients. His career includes positions in quantitative financial modeling, derivatives trading, foreign exchange sales, structured product distribution and corporate risk management advisory. He holds a Ph.D. in Mathematics from the University of Chicago.
Hongsong Chou is a Managing Director at Citic Securities and has been working in the finance industry since early 2000, holding positions in Lehman Brothers and Nomura at various locations including New York, Tokyo, and Hong Kong. He conducts research in price formation processes at microstructure level and trading behavior analysis with high-frequency data. Hongsong's practice spans low-latency trading system design and algorithmic trading strategy development for global liquid products. Hongsong holds a Ph.D. in Astrophysics from Harvard University and a Bachelor of Science degree from the University of Science and Technology of China.
Alex Dill has worked in the finance industry since 1986. Currently he is Senior Research Fellow and Clearing Corporation Charitable Foundation Practitioner in Residence at the Institute for Compliance at the Chicago-Kent College of Law. He also directs the Institute’s online certificate program in financial markets compliance. Alex spent most of his career in finance at Moody’s Investors Service. Most recently he was Head of Global Covenant Research, which publishes reports on legal protections in leveraged finance transactions. He was Senior Credit Officer in Moody’s Structured Finance Group, where he rated a wide variety of traditional and esoteric asset classes and bank-supported liquidity structures, and Global Ratings Compliance Officer for Structured Finance. Prior to Moody’s, he was a Branch Chief in Trading Practices at the U.S. Securities and Exchange Commission in Washington, D.C. He began his law career in New York, specializing in secured lending, bankruptcy issues, and bank regulatory matters. Alex holds an AB from Harvard University, an MA from Columbia University, and a JD from Emory University School of Law, where he was Executive Articles Editor of the Emory Law Journal.
Lida Doloc is a quantitative research analyst in the financial industry and has taught in the Financial Mathematics program since 2004. Lida studied at the Université Paris Sud (Paris XI) and the Universitatea din Bucuresti.
Jon Frye is senior economist in global supervision at the Federal Reserve Bank of Chicago, where he researches portfolio credit risk models and their application at banks. Prior to working at the Fed, Jon devised market risk and counterparty exposure models at large U.S. banks. He holds a Ph.D. in Economics from Northwestern University.
Christopher Gersch, is the Director of Strategy at Bell Curve Capital. Gersch joined Bell Curve Capital after a deal with his firm Altimus Capital in early 2015. Gersch previously was the Founder and Director of Portfolio Management at Altimus Capital, a Chicago based derivative hedge fund, since 2010. Gersch can often be seen as an expert guest speaker on currency and commodities products for CNBC, Bloomberg, BNN, CNN and Fox Business News.
Gersch has 12 years of trading experience that began with the Hanley Group in the Soy Bean Options pit at the Chicago Board of Trade in 2003, which led him to become Head Trader of Spike Trading’s equity trading division in 2004. Gersch brought Spike’s machine learning tools and filters to Merrill Lynch’s CBOE trading floor operations in 2006. He then went on to found Chicago Global Capital, LLC, a Commodity Trading Advisor Firm specializing in managed currency products. Complementing this range of business development experiences, Gersch has developed algorithmic trading systems utilizing European & US Treasury Bond Markets, Equity, Equity Option, Commodity Option, Currency Future and Spot Currency markets. He has passed the FINRA Series 3, 7, 24, 55, 63 and 65 exams. Gersch graduated Magna Cum Laude with a BS in Aerospace from the University of Illinois Champaign-Urbana, and is a licensed multi-engine commercial pilot.
Jeff Greco has worked in the financial industry since 1995. His career has focused on quantitative research and analysis, risk management, and trading strategy development. Currently, Jeff is a Portfolio Manager with Milliman Financial Risk Management LLC, the leading provider of risk management services to the retirement investment industry. He researches hedging methodologies, volatility and return distributions, and implements managed risk strategies on market portfolios. Prior to Milliman, he worked at Citadel as a Risk Management Professional, at Deutsche Bank as Senior Quantitative Strategist, at Bluehaven Management Group as Principal, at Bank of America as Senior Research Analyst, at Deerfield Capital Management as Senior Research Associate, and at Morgan Stanley Dean Witter as Assistant Vice President. He holds an MS in Applied Mathematics from the University of Chicago and an MS & BS in Mathematics from Carnegie Mellon University. Jeff has taught Fixed Income Derivatives with the Financial Mathematics program since 2002.
Mark Hendricks was a Stevanovich Fellow for 2011-2012. His research explores links between asset pricing and the real economy. He has published "Risk Price Dynamics" with co-authors Jaroslav Borovicka, Lars Hansen, and Jose Scheinkman in the Journal of Financial Econometrics, 2011.
Peter Hirschboeck has worked as a trader and consultant since 2006, covering energy, industrials, and a number of other industries. Currently, he works for Houlihan Lokey in the Strategic Consulting business group. Peter holds an MS in Financial Mathematics from the University of Chicago and a BS in Electrical Engineering from the University of Illinois at Urbana-Champaign.
Bernardo “Bernie” Jorge is Director of Corporate Relations for the Financial Mathematics program at the University of Chicago. He joined the University in June 2014 and brings over 20 years of experience in the financial services industry. From 2000 to 2006, he was employed by Fisher Investments, a multi-billion dollar asset management firm. During his tenure at Fisher, he served in several senior management roles including Director of Capital Markets Research, Fixed Income Portfolio Manager and as a member of the firm’s Investment Policy Committee. Since 2007, he has been successfully designing and trading algorithmic models as a self-directed trader. Bernie began his career on the financial floor of the Chicago Board of Trade trading US Treasury futures. Bernie holds a BA in Philosophy from the University of Miami, an MBA from Florida State University, an MS in Applied Mathematics from DePaul University, as well as an MS in Financial Mathematics from the University of Chicago.
Greg Lawler is the George Wells Beadle Distinguished Service Professor in Mathematics and Statistics. He joined the faculty at the University of Chicago in 2006 after previously holding positions at Duke and Cornell Universities. He received his Ph.D. in mathematics from Princeton University. His research is in fine properties of random walk and Brownian motion with an emphasis on problems arising in statistical physics. His books include “Intersections of Random Walks,” “Introduction to Stochastic Processes,” “Conformally Invariant Processes in the Plane,” and (with V. Limic) “Random Walk: A Modern Introduction.” He was a co-founder of the Electronic Journal of Probability and has served as editor-in-chief of Annals of Probability. He is a member of the National Academy of Science and is a Fellow of the American Academy of Arts and Sciences.
Chanaka Liyanaarachchi has worked as a software engineer since 2000, mostly in the financial industry. Currently he works for a Chicago based proprietary trading firm as a financial engineer.
Chanaka holds an MS in Financial Mathematics from the University of Chicago, an MBA from DePaul University, and an MS in Computer Engineering from the University of Kansas.
Chanaka’s research interests include high performance computing and functional programming. He conducts joint research with the Research Center for Functional High Performance Computing for Financial Information Technology at the University of Copenhagen.
Jack Mosevich has held senior management positions in risk management and quantitative research at various major institutions. These include: UBS Global Asset Management, Harris Investment Management and Burns Fry. He has also held positions in risk management at several hedge funds and a fund of hedge funds. He currently teaches finance at DePaul University. Jack possesses a PhD in Mathematics from the University of British Columbia.
Jostein Paulsen earned a Ph.D. in statistics from the University of Bergen, Norway, in 1983. The topic of his thesis was multivariate time series analysis. He worked in a non-life insurance company for three years before returning to the University of Bergen to teach. Currently, he is a professor in actuarial finance at the University of Copenhagen. He also has part-time employment at a marine insurance company.
John Zerolis is the founder of Angle Vista LLC, which provides quantitative market and credit risk modeling and training to clients. In the course of his career, John has developed leading edge visualization, simulation, and factor modeling techniques for valuing and hedging equity, index and FX options. Previous roles include Head of Risk Analysis at Brinson Partners, Global Head of Risk Analytics at Swiss Bank Corporation, and Vice President of Quantitative Research at O’Connor and Associates, where he was responsible for designing real-time equity option trading and risk control systems.
John previously served as an Associate Director of the Financial Mathematics program. He is currently one of the moderators of the Project Lab.
Sebastien Donadio is currently head of software engineering at HC Technologies. There, he is responsible for managing software development. He has a wide variety of professional experience, including being a quantitative trading strategy software developer at Sun Trading, working as project lead for the Department of Defense. He also has research experience with Bull SAS, and an IT Credit Risk Manager with Société Générale while in France.
Sebastien has taught various computer science courses for the past ten years. This time was spent between the University of Versailles and the University of Delaware. Courses included: Computer Architecture, Parallel Architecture, Operating System, and Advanced Programming. Sebastien is also an instructor in the Master Program in Computer Science and Science Analytics program of the university where he teaches advanced programming.
Cris Doloc is a Computational Scientist and an accomplished technology leader with more than 25 years of experience in Enterprise Software Architecture, Machine Learning & High Performance Computing. Cris holds a PhD in Computational Physics and he brings a wealth of scientific and technology expertise by working in both academia and the industry.
He has spent the last 17 years in the field of computational finance where he has architected enterprise systems and developed pattern detection machine learning algorithms for several top-tier financial firms. Cris has been the Chief Technology Officer of Terra-Nova Financial, a self-clearing Broker dealer in US Equity and Options, and the Founder and Principal of Quantras Research Ltd., a boutique Research & Development firm specialized in providing expertise in the area of Computational Finance, Financial Engineering, and Quantitative Trading.
Cris is also the founder of 3 tech startups - currently he is developing a new startup called ALGOMEX, a seed-stage tech venture that will bring "disruptive" technologies from Artificial Intelligence and Cognitive Computing into the field of Precision Medicine.