Contributors

Mark Adelson

Principal, Adelson & Jacob Consulting, LLC

Carol Alexander, PhD

Chair of Risk Management and Director of Research, ICMA Centre, Business School, The University of Reading

Roever W. Alexander, CFA

Managing Director, U.S. Fixed Income Strategy, JPMorgan Securities, Inc.

Andrew Alford, PhD

Managing Director, Quantitative Investment Strategies, Goldman Sachs Asset Management

Michele Allman-Ward

Managing Partner, Allman-Ward Associates

Noël Amenc, PhD

Professor of Finance, Edhec Graduate School of Business, Director, Edhec Risk and Asset Management Research Centre

Mark J. P. Anson, PhD, JD, CPA, CFA, CAIA

President and Executive Director of Nuveen Investment Services

Kodjo Apedjinou

Vice President, Lehman Brothers Inc.

Bala Arshanapalli, PhD

Professor of Finance, Indiana University Northwest

Enrique R. Arzac, PhD

Professor of Finance and Economics, Graduate School of Business, Columbia University

Erik Banks

Managing Director, Risk Advisory, Unicredit Group Europe

Chris Barr, CFA

Principal, Barclays Global Investors

Bülent Baygün, PhD

Head of Global Quantitative Strategy, Barclays Capital

Diana Berezina

Associate Director, Fitch Ratings

William S. Berliner

Executive Vice President, Countrywide Securities Corporation

Dan Bernstein

Director, Research, Bridgewater Associates

Peter L. Bernstein

President, Peter L. Bernstein Inc.

Anand K. Bhattacharya, PhD

Managing Director, Countrywide Securities Corporation

Harold Bierman Jr., PhD

The Nicholas H. Noyes Professor of Business Administration, Johnson Graduate School of Management, Cornell University

Jeremy Blatt

Managing Director, Deal Structuring and Execution, Finacity Corporation

Len Blum

Managing Partner, Westwood Capital, LLC

Ludovic Breger, PhD

Principal, Barclays Global Investors

Vineet Budhraja

Senior Research Analyst, Citi Alternative Investments

Gerald W. Buetow, Jr., PhD, CFA

President and Founder, BFRC Services, LLC

Rachel A. J. Campbell, PhD

Assistant Professor of Finance, Rotterdam School of Management, Erasmus University & Maastricht University, The Netherlands

Findlay M. Chapman, III

Principal, Findlay, Phillips and Associates

Ren-Raw Chen, PhD

Associate Professor of Finance, Rutgers University

Daniel L. Chesler, CMT, CTA

President, Chesler Analytics

Oren Cheyette, PhD

Principal, Barclays Global Investors

Anne Ching

Senior Consultant, Andrew Davidson & Co., Inc.

Moorad Choudhry, PhD

Head of Treasury, KBC Financial Products, London

Roger G. Clarke, PhD

Chairman, Analytic Investors, Inc.

Jeff Cohen

Securities Lending Manager, Susquehanna Intl Group, LLLP

Bruce Collins, PhD

Professor of Finance, Western Connecticut State University

Graham "Harry" Cross

Financial Tutor, 7City Learning

Christopher L. Culp

Senior Advisor, Lexecon Senior Fellow in Financial Regulation, Competitive Enterprise Institute Adjunct Professor of Finance, Graduate School of Business, University of Chicago

Alexandre Schutel Da Silva

Vice President, Quantitative Investments Group, Lehman Brothers Asset Management

Ray Dalio

President and Chief Investment Officer, Bridgewater Associates

Maurizio Dallocchio

Lehman Brothers Professor of Corporate Finance, Bocconi University

Aswath Damodaran, PhD

Professor of Finance and David Margolis Teaching Fellow, Stern School of Business, New York University

Andrew Davidson

President and Founder, Andrew Davidson & Co., Inc.

Henry A. Davis

Editor, Journal of Structured Finance

Rui J. P. de Figueiredo, Jr., PhD

Associate Professor, Haas School of Business, University of California at Berkeley

Harindra De Silva, PhD, CFA

Managing Director, Analytic Investors, Inc.

Chris P. Dialynas

Managing Director–Portfolio Management, Pacific Investment Management Company

Chris DiAngelo

Partner, Dewey Ballantine

Michael Dorigan, PhD

Senior Quantitative Analyst, PNC Capital Advisors

Kevin Dowd, PhD

Professor of Financial Risk Management, Centre for Risk and Insurance Studies, Nottingham University Business School

Pamela P. Drake, PhD, CFA

J. Gray Ferguson Professor of Finance and Department Head of Finance and Business Law, James Madison University

Robert Dubil, PhD

Associate Professor, Lecturer of Finance, David Eccles School of Business, University of Utah

Steven I. Dym, PhD

President, Mariner Capital Partners

Brian Eales, BA, MSc (Econ)

Academic Leader, London Metropolitan University

Mark Edwards

Vice President, ITG Solutions Network, Inc.

Mahmoud A. El-Gamal, PhD

Professor of Economics and Statistics, and Chair of Islamic Economics, Finance, and Management at Rice University

Robert F. Engle, PhD

Michael Armellino Professorship in the Management of Financial Services, Leonard N. Stern School of Business, New York University

Frank J. Fabozzi, PhD, CFA, CPA

Professor in the Practice of Finance, Yale School of Management

Dorsey D. Farr, PhD, CFA

Principal, French Wolf & Farr

Mark C. Faulkner

Managing Director, Spitalfields Advisors

Bruce J. Feibel, CFA

Global Director of Products, Eagle Investment Systems

Stanley Jay Feldman, PhD

Chairman, Axiom Valuation Solutions and Associate Professor of Finance, Bentley University

Sylvan G. Feldstein, PhD

Director, Investment Department, Guardian Life Insurance Company of America

Niall Ferguson

Manager of Client Service Analytics, Bridgewater Associates

John D. Finnerty, PhD

Professor of Finance and Director of the MS in Quantitative Finance Program, Fordham University Graduate School of Business Managing Principal, Finnerty Economic Consulting, LLC

Jeffrey D. Fisher, PhD

Dunn Professor of Real Estate, Indiana University

Sergio M. Focardi

Partner, Intertek Group

Reto Francioni, PhD

Chief Executive Officer, Deutsche Börse

Roland Füss, PhD

Professor of Finance, Union Investment Endowed Chair of Asset Management, European Business School (EBS), International University-Schloss Reichartshausen

Daniel E. Gallegos

Principal, Barclays Global Investors

Sunita Ganapati

James P. Garland, CFA

President, The Jeffrey Company

Gary L. Gastineau

Managing Director, ETF Consultants, LLC

David Geltner, PhD

George Macomber Professor of Real Estate Finance, MIT

Juby George

Valuation Risk Group, Credit Suisse, London

R. Philip Giles, PhD

Adjunct Professor of Finance and Economics, Columbia University Graduate School of Business and President, CBT Worldwide, Inc.

Jean-René Giraud

Director of Business Development, Edhec Risk and Asset Management Research Centre

Felix Goltz

Senior Research Engineer, Edhec Risk and Asset Management Research Centre

Laurie S. Goodman, PhD

Co-head of Global Fixed Income Research Manager of U.S. Securitized Products Research, UBS

James L. Grant, PhD

JLG Research and Professor of Finance, University of Massachusetts (Boston)

Les Gulko, PhD

Principal, Cove Island Ventures

Francis Gupta, PhD

Director, Research, Dow Jones Indexes

Brian K. Haendiges, FSA, CRC, CRA

Head, Institutional Defined Contribution Plans, ING Retirement Services

G. Timothy Haight, DBA

President, Menlo College and Chair of the Board, Board of Commonwealth Business Bank (Los Angeles)

Brett P. Hammond, PhD

Managing Director and Chief Investment Strategist, TIAA-CREF Asset Management

David Haushalter, PhD

Corporate Research and Educational Associate, Susquehanna Intl Group, LLLP

Markus Hoechstoetter, Dr. rer. pol.

Lecturer, School of Economics and Business Engineering, University of Karlsruhe

Susan Hudson-Wilson, CFA

Member, Boards of Hawkeye Partners, LLC, Property & Portfolio Research, Inc. and University of Vermont Endowment

Claus Huber, CFA, FRM, PhD

Chief Risk Officer, Credaris Portolio Management

Bruce I. Jacobs, PhD

Principal, Jacobs Levy Equity Management

Brian J. Jacobsen, PhD, CFA, CFP

Associate Professor of Business Administration, Wisconsin Lutheran College Chief Economist Partner, Capital Market Consultants, LLC

Henry G. Jarecki, MD

Chairman, The Falconwood Corporation

Teo Jasic, Dr. rer. pol.

Postdoctoral Research Fellow at the Chair of Statistics, Econometrics and Mathematical Finance at the University of Karlsruhe in the School of Economics and Business Engineering and a Partner of an International Management Consultancy Firm in Frankfurt, Germany

Robert Johnson, PhD, CFA

Deputy Chief Executive Officer, CFA Institute

David M. Jones, PhD

President, DMJ Advisors, LLC

Frank J. Jones, PhD

Professor, Accounting and Finance Department, San Jose State University

Robert Jones, CFA

Managing Director, and Chief Investment Officer for Quantitative Equity, Quantitative Investment Strategies, Goldman Sachs Asset Management

Steven L. Jones, PhD

Associate Professor of Finance, Indiana University, Kelley School of Business–Indianapolis

Dieter G. Kaiser, PhD

Director Alternative Investments, Institutional Advisors GmbH Research Fellow, Centre for Practical Quantitative Finance, Frankfurt School of Finance Management

Andrew Kalotay, PhD

President, Andrew Kalotay Associates

Ozgur Kan, PhD, CFA, FRM

Product Specialist, Moody's Investors Service

Adrian Katz

CEO, Finacity Corporation

George P. Kegler

President, Cassian Consultants

Jeroen Kerkhof, PhD

Vice President, Morgan Stanley

Janghoon Kim, CFA

Research Analyst, Citi Alternative Investments

Christoph Klein, CFA

Director, Portfolio Management, Deutsche Asset Management

Stanley Kogelman

Chief Investment Officer, Summer Hill Inc. & Partner, Advanced Portfolio Management

Petter N. Kolm, PhD

Clinical Associate Professor and Deputy Director of the Mathematics in Finance M.S. Program, Courant Institute, New York University

Vinod Kothari

Independent financial consultant and trainer on securitization, visiting Faculty, Indian Institute of Management, Kolkata, India

Steven K. Kreider, PhD

Managing Director, Morgan Stanley Investment Management

Mark P. Kritzman, CFA

President and CEO, Windham Capital Management, LLC

James Lam

President, James Lam & Associates Senior Research Fellow, Beijing University

Glen A. Larsen, Jr., PhD, CFA

Professor of Finance, Indiana University, Kelley School of Business–Indianapolis

Yann Le Fur

Professor of Corporate Finance, HEC Paris

Véronique Le Sourd

Senior Research Engineer, Edhec Risk and Asset Management Research Centre

Wai Lee, PhD

Managing Director, Head of Quantitative Investments Group, Lehman Brothers Asset Management

Yann LeFur

Professor of Corporate Finance, HEC, Paris

Martin L. Leibowitz, PhD

Managing Director, Morgan Stanley & Co. Inc.

Alexander Levin, PhD

Director of Valuation Modeling, Andrew Davidson and Co., Inc.

Kenneth N. Levy, CFA

Principal, Jacobs Levy Equity Management

Thomas K. Liaw, PhD

Professor of Finance and Chair, St. John's University

Terrence Lim, PhD, CFA

Managing Director, Quantitative Investment Strategies, Goldman Sachs Asset Management

Maria Mednikov Loucks, CFA

Senior Managing Director, Black River Asset Management

Douglas J. Lucas

Executive Director and Head of CDO Research, UBS

Steven V. Mann, PhD

Professor of Finance, Moore School of Business, University of South Carolina

Rebecca J. Manning

Vice President, Harbor Asset Management

James Manzi, CFA

Consultant

Harry M. Markowitz, PhD

Consultant

Terrence F. Martell, PhD

Saxe Distinguished Professor of Finance, Zicklin School of Business, Baruch College/CUNY

Lionel Martellini, PhD

Professor of Finance, Edhec Graduate School of Business, Scientific Director, Edhec Risk and Asset Management Research Centre

Greg M. McMurran

Chief Investment Officer, Analytic Investors, Inc.

Christian Menn, Dr. rer. pol.

Associate, Sal. Oppenheim Jr. & Cie, Frankfurt, Germany

Ryan Meredith, CFA, FFA

Senior Research Analyst, Citi Alternative Investments

William L. Messmore

Vice President, Lehman Brothers

Steven Miller

Managing Director, Standard & Poor's LCD

Banikanta Mishra, PhD

Visiting Professor of Finance, University of Michigan and Professor of Finance XIM-Bhubaneswar, India

Priya Misra

Senior Vice President, Lehman Brothers Inc.

Stefan Mittnik, PhD

Professor of Financial Econometrics at the University of Munich, Germany, and Research Director at the Ifo Institute for Economic Research in Munich

William T. Moore, PhD

David & Esther Berlinberg Professor, Vice Provost for Academic Affairs, University of South Carolina

William Nelson, PhD

Professor of Finance, Indiana University Northwest

Thomas J. O'Brien, PhD

Professor, University of Connecticut

Dominic O'Kane, PhD

Affiliated Professor of Finance, EDHEC Business School, Nice, France

Dessislava A. Pachamanova, PhD

Assistant Professor of Operations Research, Babson College

Anthony F. L. Pecore

Research Analyst, Franklin Templeton Investments

John A. Penicook, CFA

Managing Director, UBS Global Asset Management

Bobby Pornrojnangkool, PhD

Vice President, Quantitative Investments Group, Lehman Brothers Asset Management

Anshul Pradhan

Associate, Lehman Brothers Inc.

Kuntara Pukthuanthong-Le, PhD

Assistant Professor, San Diego State University

Paul Puleo

Pascal Quiry

Professor of Corporate Finance, HEC Paris

Svetlozar T. Rachev, PhD, DrSci

Chair-Professor, Chair of Econometrics, Statistics and Mathematical Finance, School of Economics and Business Engineering, University of Karlsruhe and Department of Statistics and Applied Probability, University of California, Santa Barbara

Ellen J. Rachlin

Managing Director–Portfolio & Risk Manager, Mariner Investment Group, Inc.

Mahmud Rahman, PhD

Professor of Finance, Eastern Michigan University

Shrikant Ramamurthy

Managing Director, RBS Greenwich Capital

Srichander Ramaswamy, PhD

Senior Economist, Bank for International Settlements, Basel, Switzerland

Donald M. Raymond, PhD, CFA

Senior Vice President, Public Market Investments, Canada Pension Plan Investment Board

Adam V. Reed, PhD

Assistant Professor of Finance, University of North Carolina at Chapel Hill

Robert R. Reitano, PhD, FSA

Professor of the Practice in Finance, Brandeis University, International Business School

Mark Retik

Victor Ricciardi

Assistant Professor of Finance, Kentucky State University, and Editor, Social Science Research Network Behavioral & Experimental Finance, eJournal

Scott F. Richard, PhD

Managing Director, Morgan Stanley Investment Management

W. Alexander Roever, CFA

Managing Director, U.S. Fixed Income Strategy, JPMorgan Securities, Inc.

Paul Ross

Investment Associate, Bridgewater Associates

James Sagner

Managing Principal, Sagner/Marks and Associate Professor in the School of Business of Metropolitan College of New York

Antonio Salvi, PhD

Professor of Corporate Finance, EM Lyon and Bocconi University

Paul A. Samuelson, PhD

Institute Professor Emeritus, Massachusetts Institute of Technology

Anthony Sanders, PhD

John W. Galbraith Chair and Professor of Finance, Ohio State University

Bernd Scherer, PhD

Managing Director and Global Head of Quantitative Structured Products, Morgan Stanley Investment Management

Uwe Schillhorn, CFA

Executive Director, UBS Global Asset Management

Robert A. Schwartz, PhD

Marvin M. Speiser Professor of Finance and University Distinguished Professor, Zicklin School of Business, Baruch College, CUNY

Shani Shamah

Consultant, E J Consultants

William F. Sharpe, PhD

STANCO 25 Professor of Finance, Emeritus at Stanford University's Graduate School of Business

Koray D. Simsek, PhD

Assistant Professor, Faculty of Management, Sabanci University

Daniel D. Singer, PhD

Professor of Finance, Towson University

Eric H. Sorensen, PhD

President and CEO, PanAgora Asset Management

Russell Sparkes

Chief Investment Officer, Central Finance Board of the Methodist Church (UK)

Larry Speidell, CFA

General Partner, Ondine Asset Management, LLC

Beth Starr

Managing Director, Lehman Brothers

State Street Corporation

Meir Statman, PhD

Glenn Klimek Professor of Finance, Santa Clara University

Filippo Stefanini

Deputy Chief Investment Officer, Aletti Gestielle Alternative SGR Professor of Risk Management, Faculty of Engineering at Bergamo University in Italy

David M. Stein, PhD

Managing Director, Parametric Portfolio Associates

Stoyan V. Stoyanov, PhD

Chief Financial Researcher, FinAnalytica Inc.

Lee R. Thomas III, PhD

Managing Partner and CEO, Flint Rock Capital Management

James R. Thompson, PhD

Noah Harding Professor of Statistics, Rice University

Radu Tunaru, PhD

Senior Lecturer in Financial Mathematics, City University, CASS Business School

Robert Tzucker

Inflation Trading, Barclays Capital

Raman Vardharaj, CFA

Senior Quantitative Analyst, RS Investments

Antonio Villarroya, MD

Global Head of Rates Derivatives Strategy, Merrill Lynch

Wayne H. Wagner

Senior Advisor, ITG Inc., Principal OM/NI, A Trading Consultancy

Karen Weaver, CFA

Managing Director, Global Head of Securitization Research and Regional Research Head—the Americas, Deutsche Bank Securities, Inc.

Bruce W. Weber, PhD

Professor of Information Management, London Business School

Robert Whaley, PhD

Valere Blair Potter Professor of Management, The Owen Graduate School of Management, Vanderbilt University

Shane Whelan, FSAI, FSA, FFA, PhD

Lecturer in Actuarial Science, School of Mathematical Sciences, University College Dublin, Ireland

Jarrod W. Wilcox, PhD, CFA

President, Wilcox Investment Inc.

Edward E. Williams, PhD

Henry Gardiner Symonds Professor of Management, Rice University

Lan-Ling Wolff

Fredell & Co. Structured Finance Ltd.

Eugene Xu, PhD

Director, Global Securitization Research, Deutsche Bank Securities, Inc.

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