The Berkeley MFE.pdf - Master of Financial Engineering Program

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THE HAAS MFE FACULTY Passionate Scholars and Teachers Philippe Jorion Professor Financial Risk Measurement and Management “It is a pleasure to teach in what has become the premier financial engineering program in the world. The quality of the student body is simply outstanding.” In addition to teaching in the MFE Program at UC Berkeley, Jorion is Chancellor’s Professor of Finance at the Paul Merage School of Business at the University of California at Irvine. He holds an MBA and a Ph.D. from the University of Chicago, and a degree in engineering from the Université Libre de Bruxelles. Jorion has done extensive work in the area of international finance and financial risk management, and has received numerous prizes and awards for his research. He has also written a number of books, including Value at Risk: The New Benchmark for Managing Financial Risk. He is a managing director at Pacific Alternative Asset Management Company (PAAMCO), a global fund of hedge funds. Mukesh Bajaj, Managing Director of Finance and Damages Practice and Board of Directors, LECG, LLC. Ph.D. (finance), University of California, Berkeley. Corporate finance and financial strategy, dividend policy, capital and ownership structure, determinants of stock returns, design and pricing of securities. Jonathan Berk, Harold Furst Associate Professor of Management Philosophy and Values and Finance Group Chair. Ph.D. (finance), Yale University. Asset pricing, firm valuation, the size effect, real investment, and valuing startups. Associate at Goldman Sachs from 1985 to 1987. Jeffrey Bohn, Managing Director, Financial Strategies Division, Shinsei Bank. Ph.D. (finance), University of California, Berkeley. Risky debt valuation, credit derivatives, banking, risk management, and global portfolio management. Gregory Duffee, Assistant Professor. Ph.D. (economics), Harvard University. pricing and trading credit risk (theoretical and empirical), term-structure modeling, risk management of financial institutions. Formerly a member of the Trading Risk Analysis group at the Federal Reserve Board. Mark Garman, Professor Emeritus. Ph.D. (systems and communications sciences), Carnegie Mellon University. Arbitrage, options, volatility measures, duration-related risk measures. President and Chief Scientist of Financial Engineering Associates, Inc., a provider of software for derivatives and value-atrisk analysis. Robert Goldstein, Visiting Assistant Professor. Ph.D. (finance), University of California, Berkeley. Term structure of interest rates, credit risk, capital structure theory. Christopher A. Hennessy, Assistant Professor. Ph.D. (economics), Princeton University. Agency costs of debt finance, taxes and corporate risk management, contract theory, and investment distortions. Dwight M. Jaffee, Willis H. Booth Professor of Banking & Finance. Ph.D. (economics), Massachusetts Institute of Technology. Loan activities of financial institutions, commercial loan and mortgage markets, credit rationing, assetbacked security markets, catastrophe insurance financing. Board of Directors Barr Rosenberg Mutual Funds; Visiting Scholar, Federal Reserve Bank of San Francisco. Philippe Jorion, Professor of Finance and Vice Dean, University of California, Irvine. Ph.D. (finance), University of Chicago. Risk management, international finance, global asset allocation. Author, Value at Risk: The New Benchmark for Managing Financial Risk. Editor, Journal of RISK. Ronald N. Kahn, Managing Director and Global Head of Equity Research, Barclays Global Investors. Ph.D. (physics), Harvard University. Portfolio management, risk modeling, and quantitative analysis. Author (with Richard Grinold), Active Portfolio Management: Quantitative Theory and Applications. Hayne Leland, Arno A. Rayner Professor of Finance and Management. Ph.D. (mathematical economics), Harvard University. Dynamic investment strategies and portfolio insurance, informational asymmetries, structure, and inter-mediation in financial markets, regulation of insider trading, risky debt valuation. Director and founding principal of the investment firm Leland O’Brien Rubinstein Associates Inc. Past president of the American Finance Association. Francis Longstaff, Professor, University of California, Los Angeles. Ph.D. (finance), University of Chicago. C.P.A., C.F.A. Term structure theory, fixed income derivative valuation and risk management, the impact of liquidity on the valuation of securities. Head of Fixed Income Derivative Research, Salomon Brothers Inc. from 1995 to 1998. Board of Directors, Simplex Risk Management. 10
Richard K. Lyons, Professor of Finance. Ph.D. (economics), Massachusetts Institute of Technology. Foreign exchange markets: volatility, volume, high frequency dynamics, and dealer behavior; micro-institutional approach to foreign exchange; transparency in dealership markets. Trustee for Matthews International Funds. Richard A. Meese, Managing Director, Global Market Strategies Group, Barclays Global Investors. Ph.D. (economics), University of Wisconsin, Madison. Economic analysis and policy, exchange rate economics, time series econometrics, and real estate finance. John O’Brien, Adjunct Professor. MS. (operations research), University of California, Los Angeles. Faculty Director, Master’s in Financial Engineering Program. Managing Director at Credit Suisse Asset Management (CSAM). Cofounder, chairman, and CEO of the investment firm Leland O’Brien Rubinstein. Cofounder and original chairman & CEO of Wilshire Associates (originally named O’Brien Associates). Terrance Odean, Associate Professor. Ph.D. (finance), University of California, Berkeley. Behavioral finance. Mark Rubinstein, Paul Stephens Professor of Applied Investment Analysis. Ph.D. (finance), University of California, Los Angeles. Options markets, dynamic investment strategies, option pricing theory, exotic options, implied binomial trees, portfolio management software. Winner of nine prizes for papers in financial economics; 1995 Financial Engineer of the Year. Co-author of Options Markets and author of the innovative and comprehensive text, Derivatives: A PowerPlus Picture Book. Founding principal of the investment management firm Leland O’Brien Rubinstein Associates. Past president of the American Finance Association. Advisor on derivatives to the SEC, the CBOE and other exchanges, and numerous financial firms. Richard Stanton, Associate Professor. Ph.D. (finance), Stanford University. Mortgage markets—prepayment modeling, valuation and hedging, term structure modeling and valuation of derivative securities, application of nonparametric estimation techniques to the hedging and pricing of derivatives. Domingo Tavella, Principal of Octanti Associates, Inc. Ph.D. (engineering), Stanford University. Computational methods in financial pricing, stochastic simulation in finance and insurance, financial software development strategies and methods, risk management strategies in finance and insurance, hybrid insurance structures. Suneel Udpa, Lecturer. Ph.D. (accounting), Washington University, St. Louis. Evaluating ASPs and reducing costs through outsourcing. Rossen Valkanov, Assistant Professor. Ph.D. UC San Diego’s Rady School of Management (economics), Princeton University. Empirical asset pricing, econometrics, macroeconomics, term structure modeling, properties of long-horizon returns. Nancy E. Wallace, Professor and Real Estate Group Chair. Ph.D. (urban and regional planning), University of Michigan. Mortgage contract design, mortgage prepayment and valuation models, asset-backed securitization and pricing, real estate price dynamics, real options in real estate. Ronald N. Kahn Adjunct Professor Managing Director Global Head of Advanced Equity Strategies Barclays Global Investors San Francisco, California “When I switched careers from physics to finance in the mid-1980s, there were no established paths,” says Kahn. “Success required a combination of hard work, connections, and luck. Now there is an established path: the MFE Program. I tell every physicist seeking career advice that an MFE program should be at least their Plan B. It requires an upfront cost in both time and money, but a program like the Berkeley MFE is highly likely to lead to a job in finance.” Kahn is a well-known expert on portfolio management, risk modeling, and quantitative analysis. He has published numerous articles on investment management, and has written (with Richard Grinold) the influential book Active Portfolio Management: Quantitative Theory and Applications. He is a 2007 winner of the Bernstein Fabozzi/Jacobs Levy award for best article in the Journal of Portfolio Management. The 2007 book How I Became a Quant, includes his essay describing his transition from physics to finance. At Haas, Kahn teaches the equities half of the MFE course, Equities and Currency Markets (MFE 230G). He has also developed and taught the course How to Research Active Strategies to hundreds of investment practitioners around the world. “In our (BGI’s) experience, the Berkeley MFE graduates have all the training necessary to contribute starting on Day 1,” says Kahn. “The students are remarkably well-qualified, motivated, and mature. They are also a pleasure to teach.” 11
Page 1 and 2: The Berkeley MFE Leading Through In
Page 3 and 4: M F E Financial engineers play an i
Page 5 and 6: Tailored Curriculum MFE courses are
Page 7 and 8: Career Planning and Pursuit From Ba
Page 9 and 10: Internships The Haas School’s MFE
Page 11: MFE 230Q - Introduction to Stochast
Page 15 and 16: Personal Interviews: Interviews are
Page 17 and 18: Private Scholarships Students may a
Page 19 and 20: Other Educational Programs at the H

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