Andrew Kalotay
From Wikipedia, the free encyclopedia
Andrew Kalotay is a Hungarian-born Wall Street quant and chess master. He is best known as an authority on fixed income valuation and institutional debt management. His inventions include the concept of refunding efficiency — a widely used tool for managing callable debt, the ratchet bond — a surrogate for conventional callable bonds, and volatility reduction measure — for testing hedge effectiveness. Kalotay has also made numerous contributions to the quantitative analysis of option adjusted spread (OAS), interest rate derivatives, and mortgage-backed securities (MBS).
He is currently the President of Andrew Kalotay Associates, and an adjunct professor at Polytechnic University.
