MFE Faculty
Mukesh
Bajaj, Managing Director of Finance and Damages Practice
and Board of Directors, LECG, LLC. Ph.D. (finance), University
of California, Berkeley. Corporate Finance and Financial
Strategy, Dividend Policy, Capital and Ownership Structure,
Determinants of Stock Returns, Design and Pricing of Securities.
Jonathan
Berk, Associate Professor.
Ph.D. (finance), Yale University. Asset pricing, firm
valuation, the size effect, real investment, and valuing
startups. Associate at Goldman Sachs from 1985 to 1987.
Jeffrey
Bohn, Managing Director, Group Head of Research and
Analytics, Moody's KMV. Ph.D (Finance) University of California,
Berkeley. Risky debt valuation, credit derivatives, banking,
risk management, and global portfolio management.
Pierre Collin-Dufresne, Associate Professor of Finance,
Ph.D. (finance), HEC School of Management. Continuous
Time Finance, Advanced Debt Markets, Term Structure Theory
and Credit Derivatives.
Gregory
Duffee, Assistant Professor.
Ph.D. (economics), Harvard University. pricing and trading
credit risk (theoretical and empirical), term-structure
modeling, risk management of financial institutions. Formerly
a member of the Trading Risk Analysis group at the Federal
Reserve Board.
Mark
Garman, Professor Emeritus.
Ph.D. Carnegie Mellon University. Arbitrage, options,
volatility measures, duration-related risk measures. President
and Chief Scientist of Financial Engineering Associates,
Inc., a provider of software for derivatives and value-at-risk
analysis.
Christopher A. Hennessy, Assistant
Professor, Ph.D. (economics), Princeton University. Agency
Costs of Debt Finance, Taxes and Corporate Risk Management,
Contract Theory, and Investment Distortions.
Dwight
M. Jaffee, Willis H. Booth
Professor of Banking & Finance. Ph.D. (economics),
Massachusetts Institute of Technology. Loan activities
of financial institutions, commercial loan and mortgage
markets, credit rationing, asset-backed security markets,
catastrophe insurance financing. Board of Directors Barr
Rosenberg Mutual Funds, Visiting Scholar Federal Reserve
Bank of San Francisco.
Philippe
Jorion, Professor of Finance
and Vice Dean, University of California, Irvine. Ph.D.
(finance), University of Chicago. Risk management, international
finance, global asset allocation. Author, "Value
at Risk: The New Benchmark for Managing Financial Risk."
Editor, Journal of Risk.
Ronald N. Kahn, Managing Director
and Global Head of Equity Research,
Barclays Global Investors. Ph.D
(physics), Harvard University. Portfolio
management, risk modeling, and quantitative
analysis. Author (with Richard Grinold),
Active Portfolio Management:
Quantitative Theory and Applications.
Hayne
Leland, Arno A. Rayner Professor
of Finance and Management and Director of the Berkeley
Program in Finance. Ph.D. (mathematical economics), Harvard
University. Dynamic investment strategies and portfolio
insurance, informational asymmetries, structure, and inter-mediation
in financial markets, regulation of insider trading, risky
debt valuation. Director and founding principal of the
investment firm Leland O'Brien Rubinstein Associates Inc.
Past President of the American Finance Association.
Francis
Longstaff, Professor. Ph.D.
(finance), University of Chicago. Term structure theory,
fixed income derivative valuation and risk management,
the impact of liquidity on the valuation of securities.
Head of Fixed Income Derivative Research, Salomon Brothers
Inc. from 1995 to 1998. Board of Directors, Simplex Risk
Management.
Richard
K. Lyons, Professor. Ph.D.
(economics), Massachusetts Institute of Technology. Foreign
exchange markets: volatility, volume, high frequency dynamics,
and dealer behavior; micro-institutional approach to foreign
exchange; transparency in dealership markets. Trustee
for Matthews International Funds.
John
O'Brien, M.S. (operations research)
University of California, Los Angeles. Executive Director,
Master's in Financial Engineering Program. Managing Director
at Credit Suisse Asset Management (CSAM). Cofounder, Chairman,
and CEO of the investment firm Leland O'Brien Rubinstein
("LOR"). Cofounder and original Chairman & CEO Wilshire Associates (originally named O'Brien Associates).
Recipient of the 2004 Matthew R. McArthur Award, Investment
Management Consultants Association
Terrance
Odean, Assistant Professor.
Ph.D. (finance), University of California, Berkeley. Behavioral
finance, Co-chair, Berkeley Program in Finance, Fall 1999.
Mark Rubinstein, Paul Stephens
Professor of Applied Investment Analysis. Ph.D. (finance)
University of California, Los Angeles. Options markets,
dynamic investment strategies, option pricing theory,
exotic options, implied binomial trees, portfolio management
software. Winner of nine prizes for papers in financial
economics; 1995 Financial Engineer of the Year. Co-author
of Options Markets and author of the innovative and comprehensive
text, Derivatives: A PowerPlus Picture Book. Founding
principal of the investment management firm Leland O'Brien
Rubinstein Associates. Past president of the American
Finance Association. Advisor on derivatives to the SEC,
the CBOE and other exchanges, and numerous financial firms.
Richard
Stanton, Associate Professor.
Ph.D. (finance) Stanford University. Mortgage markets-prepayment
modeling, valuation and hedging, term structure modeling
and valuation of derivative securities, application of
nonparametric estimation techniques to the hedging and
pricing of derivatives.
Domingo
Tavella, Principal of Octanti
Associates, Inc., Ph.D. (engineering), Stanford University.
Computational methods in financial pricing, stochastic
simulation in finance and insurance, financial software
development strategies and methods, risk management strategies
in finance and insurance, hybrid insurance structures.
Suneel Udpa, Lecturer. Ph.D. (accounting), Washington
University, St. Louis. Evaluating ASPs and reducing costs
through outsourcing.
Rossen
Valkanov, Assistant Professor.
Ph.D. (economics), Princeton University. Empirical asset
pricing, econometrics, macroeconomics, term structure
modeling, properties of long-horizon returns.
Nancy
E. Wallace, Professor. Ph.D.
(urban and regional planning) University of Michigan.
Mortgage contract design, mortgage prepayment and valuation
models, asset-backed securitization and pricing, real
estate price
dynamics, real options in real estate.
