Neil Chriss

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Neil A. Chriss is a mathematician, academic, hedge fund manager, philanthropist and a founding board member of the charity organization "Math for America" which seeks to improve math education in the United States.

Contents

[edit] Early Career

In the book “How I became a Quant” [1] Chriss mentions that he was involved with computer programming from an early age. He learned programming at the age of 11. He developed a videogame called D' Fuse and sold it to Tymac when he was a sophomore in high school. The game and the VIC-20 quickly faded, however, upon the arrival of Commodore 64 with 64K of memory and much better graphics.

Chriss went to the University of Chicago and majored in Mathematics. Following his junior year in college he worked at Fermilab with Myron Campbell and Bruce Denby and developed a neural network to find b-quark jets. He published this work under the title Neural Networks for Triggering [2].

Chriss chose to study Pure Mathematics at the University of Chicago after having completed a masters Degree in Applied Mathematics at Caltech. At the University of Chicago he worked in an area broadly known as the Langlands Program, after Robert Langlands, who is a professor at the Institute for Advanced Study and had made far-reaching conjectures about the connections between number theory and geometry and analysis. His Ph.D. thesis was a generalization of a breakthrough paper [3] by David Kazhdan and George Lusztig of Harvard and MIT. His Ph.D. advisor was Robert Kottwitz. While he was working on his Ph.D. thesis he also started working on a book with Victor Ginzburg on the relationship between algebraic geometry and representation theory which was published by Birkhouser in 1997 under the title “Representation Theory and Complex Geometry”. The Representation theory book was reviewed in a number of places, here is one from the AMS.

He received his Ph.D. degree in Mathematics from the University of Chicago in 1993, the thesis title was “A Geometric Construction of the Iwahori-Hecke Algebra”.

[edit] Academia

Chriss’ first academic job (1993-1994) was at the University of Toronto Mathematics department. At Toronto he was deeply involved with writing of his “Representation Theory and Complex Geometry” book with Ginzburg. The University of Toronto also signifies a transition in his career. Through his friend John Liew he was introduced to quant finance and started learning probability theory, stochastic calculus and Black-Scholes option pricing theory.

Chriss was at the Institute for Advanced Study during the 1994-1995 academic year where he started writing the book “Black-Scholes and Beyond: Option Pricing Models” which was published by Irwin (an imprint of McGraw-Hill) in 1996. He spent the summer of 1995 in the Quantitive Strategies group of Emanuel Derman at Goldman Sachs. ln 1994, Derman and Kani published a paper [4] that showed how to fit a binomial tree to price all options trading in the market at that time. Chriss extended their work from binomial trees to trinomial trees and implemented the trinomial tree model in their system and they published a paper on it [5].

Chriss received a grant from NSF and an offer to come to Harvard University Mathematics Department in the fall of 1996. He was offered the assistant professor position at Harvard in 1997. He turned this offer down and decided to move to Wall Street.

[edit] Wall Street

The Risk Magazine named Chriss one of the “Top Ten to Watch in the next Ten Years” in 1997. The same year, Chriss joined the quant research group in Morgan Stanley's Institutional Equities Division to work on models of portfolio trading for their cash equities program trading desk. He published his research results in a seminal paper “Optimal execution of portfolio transactions” with Robert Algren [6]. The Institutional Investor published an article about Algorithmic Trading in its November 2004 issue titled "The Orders Battle" that noted Chriss’ paper "helped lay the groundwork for arrival-price algorithms being developed on Wall Street." There are many citations to this work in the Algorithmic Trading industry [7] [8]. The other Algorithmic Trading articles Chriss wrote are: "Competitive bids for principal program trades" [9], "Value under liquidation" [10]. At Morgan Stanley he met a number of people who had big influence on his career. One person in particular was Peter Muller who inspired Chriss to pursue quantitative trading.

In 1998, Chriss decided to move into portfolio management and joined the Goldman Sachs Asset Management (GSAM) in its Quantitative Strategies group with the mandate to work on the overall portfolio management activities of the group and to develop a new trading strategy. He joined the group after Cliff Asness, John Liew and Bob Krail left to form AQR Capital Management. Ray Iwanowski and Mark Carhart became heads of the group and recruited Neil Chriss.

In 2000, Chriss became the founder and President of ICor Brokerage Inc., a derivatives trading firm that was sold to Reuters in 2004 and forms their global electronic trading system for interest rate and foreign exchange derivatives.

[edit] Mathematical Finance Education

When Chriss moved to New York on a permanent basis, he was asked by New York University Courant Institute of Mathematical Sciences to be the first director of the Program in Mathematics in Finance on a part-time basis while continuing his day job as a quant.

The Courant program grew out of two mathematical finance courses that were taught in the early 1990s by Marco Avelleneda at Courant. The push to do it came from Courant's then-director David Mcloughlin. Chriss formed the curriculum, administered the program and recruited adjunct faculty to teach practitioner courses. Courant’s Robert Kohn and Jonathan Goodman were also instrumental in getting the program off the ground. Chriss also worked closely with the program's chairman of the board, Jeff Rosenbluth.

During his tenure as the director at Courant Program in Mathematics in Finance Chriss recruited noted practitioners Jim Gatherall, Steve Allen, Peter Fraenkel and Nassim Taleb to teach. Chriss was the director of the program between 1997-2003. In 2003 Chriss agreed to work with the University of Chicago Financial Mathematics Program as its executive director.

[edit] Hedge Funds

In 2003, Chriss joined SAC Capital to build what would become a highly profitable quantitative trading business. He was a managing director and member of SAC’s operating committee.

Neil Chriss founded the hedge fund "Hutchin Hill Capital" in 2007. Hutchin Hill Capital runs both quantitative and fundamental strategies focused on systematic, process-driven strategies operating in a broad variety of highly liquid asset classes and markets. Renaissance Technologies’ Meritage Fund provided $300 million multi-year commitment of capital to Hutchin Hill. Nat Simons, a son of Jim Simons runs Meritage together with David Zierk and Alex Magaro. Meritage, a $3.5 billion multimanager vehicle that invests the assets of founder Jim Simons and other Renaissance principals and employees in outside funds and was once part of Renaissance’s flagship Medallion Fund, has backed startups in the past. But the size and scope of the commitment it is making to Hutchin Hill is uncommon.

[edit] Recent Research

More recent and significant research includes the paper Chriss wrote with R.Almgren that appeared in Journal of Risk under the title "Optimal portfolios from ordering information" [11]. They also submitted a patent application on it.

[edit] Books

  • Neil A. Chriss (1996). Black-Scholes and Beyond: Option Pricing Models. McGraw-Hill Professional. ISBN:0786310251. 
  • Neil A. Chriss (1997). Black-Scholes and Beyond Interactive Toolkit. McGraw-Hill Professional. 
  • Neil Chriss and Victor Ginzburg (1997). Representation Theory and Complex Geometry. Birkhauser Boston. 

[edit] References

  1. ^ R. Lindsay and Barry Schachter, “How I became a Quant”, Wiley (2007), ISBN 978-0-470-05062-0
  2. ^ Denby, Cambell, Bedeschi, Chriss, et al,, "Neural Networks for Triggering," IEEE Tians. Nucl. Sci, 37 (2) (1990),248-254
  3. ^ David Kazhdan and George Lusztig, "Proof of the Deligne-Langlands conjecture for Hecke algebras", Invent. Math, 87 ( 1987), 153-215
  4. ^ I.Kani and E.Derman, "Riding on a Smile", Risk 7(2) (1994), pp. 32-39
  5. ^ E. Derman, I. Kani, N. Chriss, “Implied trinomial trees of the volatility smile”, Journal of Derivatives (1996)
  6. ^ R.Almgren and N.Chriss, Optimal execution of portfolio transactions” J. Risk, 3 (Winter 2000/2001) pp.5-39
  7. ^ David Leinweber, ”Algo vs. Algo”, The Institutional Investor’s Alpha, February 2007
  8. ^ A TRADE Guide to Broker Algorithms, The TRADE, Issue 3, Jan-Mar 2005
  9. ^ Robert Almgren and Neil Chriss, "Bidding principles" in Risk, June 2003
  10. ^ Robert Almgren and Neil Chriss , "Value under liquidation", Risk, Dec. 1999
  11. ^ Robert Almgren and Neil Chriss , "Optimal portfolios from ordering information", Journal of Risk Fall 2006