List of quantitative analysts

This is a list of notable quantitative analysts (by surname); see also List of financial economists.

Pioneers

• Kenneth Arrow, (born August 23, 1921), American economist, Social choice theory
• Louis Bachelier, (1870–1946), French mathematician, Pioneer of financial mathematics
• Fischer Black, (January 11, 1938 – August 30, 1995), American economist, famous for Black–Scholes equation.
• Michael Brennan, co-designed the Brennan-Schwartz interest rate model, and pioneer of real options theory.
• Phelim Boyle, (born 1941), (Irish), initiated the use of Monte Carlo methods and Trinomial trees in option pricing.
• John Carrington Cox, one of the inventors of the Cox-Ross-Rubinstein model.
• Emanuel Derman, co-author of Black-Derman-Toy model.
• Richard A. Epstein, (born March 5, 1927), notable American game theorist.
• Eugene Fama, (born February 14, 1939) American economist, work on portfolio theory and asset pricing, laureate Nobel Memorial Prize in Economic Sciences.
• Victor Glushkov, (August 24, 1923 – January 30, 1982), founding father of information theory in the Soviet Union
• Benjamin Graham, (May 8, 1894 – September 21, 1976) American economist and professional investor and first proponent of value investing.
• Myron J. Gordon, (October 15, 1920 – July 5, 2010) American economist; noted for Gordon model.
• Robert Arthur Haugen, (born June 26, 1942, Chicago, Illinois),first academic article on the nature and power of the expected return factor model.
• Thomas Ho, author of the Ho–Lee model and key rate duration.
• John C. Hull, noted for the Hull-White model.
• Jonathan E. Ingersoll, one of the authors of the Cox–Ingersoll–Ross model of the yield curve.
• Kiyoshi Itō, (September 7, 1915 – November 10, 2008) was a Japanese mathematician whose work is now called Itō calculus.
• Robert A. Jarrow, a co-creator of the Heath–Jarrow–Morton framework for pricing interest rate derivatives.
• John Kelly, (1923–1965), American, Bell Labs scientist, best known for formulating the Kelly criterion.
• Sang Bin Lee, author of the Ho–Lee model.
• Martin L. Leibowitz, developed dedicated portfolio theory.
• Francis Longstaff, known for the Longstaff-Schwartz interest rate model.
• Harry Markowitz, (born August 24, 1927), American economist, Nobel Memorial Prize in Economic Sciences. Pioneering work in Modern Portfolio Theory.
• Benoît Mandelbrot, (November 20, 1924 – October 14, 2010) was a French American mathematician, the father of fractal geometry.
• Robert C. Merton, (born July 31, 1944), American economist, and laureate Nobel Memorial Prize in Economic Sciences.
• John von Neumann, (December 28, 1903 – February 8, 1957), Hungarian American mathematician made major contributions to a vast range of fields
• Victor Niederhoffer, (born December 10, 1943), American, the father of Statistical arbitrage and of Market microstructure studies.
• Stephen Ross, American, known for initiating several important theories and models in financial economics.
• Mark Rubinstein, American, a senior academic in the field of finance, focusing on derivatives, particularly options.
• Myron Scholes, (born July 1, 1941), Canadian-American, financial economist who is best known as one of the authors of the Black–Scholes equation.
• Eduardo Schwartz, American, pioneering research in the real options method of pricing investments under uncertainty.
• Claude Shannon, (April 30, 1916 – February 24, 2001), American, mathematician, electronic engineer, and cryptographer known as "the father of Information Theory".
• William F. Sharpe, American, (born June 16, 1934), Nobel Memorial Prize in Economic Sciences, one of the originators of the Capital Asset Pricing Model.
• George Soros, Hungarian-American (born August 12, 1930), pioneered the concept of reflexivity.
• Nassim Taleb, Lebanese, (born 1960), considers himself less a businessman than an epistemologist of randomness.
• Thales, Greek, (c. 624 BC – c. 546 BC), one of the Seven Sages of Greece, made the first recorded option trade.
• Ed Thorp, American, (born August 14, 1932, Chicago), author of Beat the Dealer, the first book to mathematically prove, in 1962, that the house advantage in blackjack could be overcome by card counting.
• Alan White, noted for the Hull-White model.
• Oldrich Vasicek, (born 1942), Czech, breakthrough paper, describing the dynamics of the yield curve.

Others

• Jamil Baz
• Jean-Philippe Bouchaud, French physicist and econophysicist, former editor of Quantitative Finance.
• Damiano Brigo, (born 1966), Italian, known for results in systems theory, probability and mathematical finance.
• Aaron Brown, (born 1956), American risk expert, known for the idea that the economics of modern global derivatives evolved from gambling.
• Gunduz Caginalp, (Turkish), known for work in quantitative behavioral finance.
• Bill Chen, (born 1970), (American), known for work in Statistical Arbitrage.
• Neil Chriss, American, is a mathematician, academic, hedge fund manager, first director of the Courant Institute Mathematical Finance Program.
• Jakša Cvitanić, Croatian, (born February 26, 1962), Professor of Mathematical Finance at the California Institute of Technology.
• Ron Dembo, American, President of Algorithmics Incorporated.
• Raphael Douady, French mathematician, Head of Laboratory of Excellence on Financial Regulation at the Sorbonne.
• Darrell Duffie, Canadian, Dean Witter Distinguished Professor of Finance at Stanford Graduate School of Business.
• Bruno Dupire, known for showing how to derive a local volatility model.
• Frank J. Fabozzi, American, prolific author, co-developer of the Kalotay–Williams–Fabozzi model.
• J. Doyne Farmer, (1952 in Houston, Texas), American, one of the founders of the Prediction Company.
• Jim Gatheral, British, known for work on the volatility smile and the volatility surface.
• Hélyette Geman French mathematician known for change of numeraire methods in mathematical finance.
• Kenneth C. Griffin, (born October 15, 1968 in Daytona Beach, Florida), is an American hedge fund manager.
• Espen Gaarder Haug, is an author, quantitative trader and arbitrageur specializing in options and other derivatives.
• Albert Hibbs, (born October 19, 1924 Akron, Ohio died on February 24, 2003) noted mathematician and the "voice" of JPL.
• Farshid Jamshidian, contributions to interest rate modelling, including the use of the forward measure and "Jamshidian's trick" amongst others.
• Peter Jaeckel, British mathematician who has influenced the development of the use of Monte Carlo methods in Mathematical Finance.
• Mark S. Joshi, is a researcher and consultant in mathematical finance.
• Andrew Kalotay, (born Hungary 1941),Hungarian-American, Wall Street quant and chess master,statistician and mathematician.
• Nicole El Karoui, is a mathematician, and pioneer in the development of Mathematical Finance.
• Piotr Karasinski, quantitative finance pioneer; best known for the Black–Karasinski model.
• Sheen T. Kassouf, (1929–2006) was an economist known for research in financial mathematics.
• David X. Li, (born 1960), Chinese, pioneered the use of Gaussian copula models for the pricing of collateralized debt obligations (CDOs).
• Andrew Lo, leading authority on hedge funds and financial engineering; he proposed the Adaptive market hypothesis.
• David Luenberger, (born 1937) is a mathematical scientist known for his research and his textbooks.
• William Margrabe author of Margrabe's formula.
• Fabio Mercurio, (born September 26, 1966), Italian, mathematician, internationally known for incomplete markets theory.
• Attilio Meucci, Italian, applied mathematician, known for refining the Black-Litterman model and other portfolio and risk management methodologies.
• R. Scott Morris, American author, financial engineer and quantitative consultant.
• Salih Neftçi, (July 14, 1947 – April 15, 2009) was a leading expert in the fields of stochastic processes and financial engineering.
• Norman Packard, (born 1954), American, is a chaos theory physicist and one of the founders of the Prediction Company and ProtoLife.
• William Perraudin, British, economist, specialising in the fields of risk and pricing of debt instruments.
• Riccardo Rebonato, former physicist specializing in yield curve modeling and risk management.
• Isaak Russman, Russian, (March 7, 1938 – July 11, 2005) was a mathematician and economist.
• David E. Shaw, (born 1951) is a computer scientist and computational biochemist who founded D. E. Shaw & Co.
• Peng Shige, (born December 1947), Chinese, mathematician noted for his contributions in stochastic analysis and mathematical finance.
• Steven E. Shreve, academic and widely read author in mathematical finance.
• James Harris Simons, (born 1938), American, hedge fund manager, mathematician, and philanthropist.
• William Toy, pioneering modeller in the area of interest rate derivatives.
• Stuart Turnbull, Jarrow–Turnbull model
• David B. Weinberger, (born 1947), American, work included the implementation of early index arbitrage strategies.
• Paul Wilmott, (born 1959) researcher, consultant and lecturer in quantitative finance.
• Marc Yor, (1949-2014), French mathematician, known for work on stochastic processes, especially properties of semimartingales, Brownian motion and other Lévy processes.

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