SB AdvisoryApril 2, 2020 update: Keep up with the latest from Stony Brook about the coronavirus situation.  More information
Skip Navigation
Search

Faculty

 


photo not avail 2







 

Robert J. Frey

Research Professor, Director for Quantitative Finance
Ph.D., 1986
Stony Brook University: Quantitative Finance 

Robert Frey had worked in an array of operations research related managerial positions before earning his Applied Math PhD in 1986.  Then he became involved in designing mathematically based financial trading systems, first at Morgan Stanley, then at Kepler Associates, and finally at Renaissance Technologies, from which he retired at the rank of Managing Director in 2004.  Among his many current activities, he chairs the advisory committee of the U. of Chicago Financial Mathematics program (the country’s top ranked quantitative finance program), is co-owner of a small investment bank in London, and heads a construction company. Frey just launched his own hedge fund, Frey Quantitative Strategies, with initial capital of $365 million.

Office: Math Tower 1-103
Phone: 631-473-6314

 

Stan Uryasev    

Professor and   Frey  Family Endowed Chair,  Co Director for Quantitative Finance 
Ph.D., 1983,  Glushkov Institute of Cybernetics: Applied Mathematics 

His research and teaching interests include quantitative finance, risk management, stochastic optimization, machine learning, and military operations research. His joint paper with Prof. Rockafellar on Optimization of   Conditional Value-At-Risk in The Journal of Risk, Vol. 2, No. 3, 2000      is among the 100 most cited papers in Finance. Many risk management/optimization packages implemented the approach suggested in this paper (MATLAB implemented a toolbox).


Office: Math Tower, Room B-148
Phone: 631-632-5470
http://uryasev.ams.stonybrook.edu/     

 


Xiaolin Li

 

 

 

 

 

 

 

Xiaolin Li

Professor, Ph.D., 1987
Columbia University: Computational Applied Mathematics

Xiaolin Li's research involves the design and development of a high resolution numerical method, the front tracking method, for the study of complex partial differential equations arising in a variety of settings, ranging from financial option prices to fluid interface instabilities. His research has involved collaborations with scientists at Los Alamos National Laboratory, Argonne National Laboratory and Brookhaven National Laboratory. 

Office: Math Tower P-137
Phone: 631-632-8354 

  

img

 

 

 

 

 

 

 

Andrew Mullhaupt

Research Professor, Ph.D., 1984
New York University: Quantitative Finance

Andrew Mullhaupt's original research interests involved partial differential equations and linear algebra. He has worked on Wall Street for over 20 years designing mathematically based trading systems, first at Morgan Stanley, then at Renaissance Technologies, and most recently at S A C Capital where he was Director of Research for the SAC's Meridian Fund.

Office: Mathematics Tower B-148
Phone: 631-632-5479

 

photo not avail 2

 

 

 

 

 

 
Haipeng Xing

Associate Professor, Ph.D., 2005
Stanford University:Financial Statistics, Change Point  Methods

Haipeng Xing is a statistician whose research is focused on: (i)  change-points detection, parameter estimation and adaptive control  problems and their applications in engineering, economics and  genetics; (ii) statistical models and methods in financial econometrics  and engineering; and (iii) time series modeling.  He is co-author, with T.L. Lai of Stanford, of a widely used graduate textbook on financial statistics. 

Office: Math Tower 1-102
Phone: 631-632-1892