Community

Master of Financial Engineering Program

Faculty

Berkeley MFE faculty members are renowned groundbreakers and thought leaders in the field of quantitative finance. In addition to undertaking preeminent research that feeds directly into the curriculum, many of these scholars also have practical experience in the creation of financial instruments and software, as well as the implementation of innovative financial strategies.

Pioneers of Financial Engineering

Many Haas School faculty members have long stood at the forefront of the quantitative finance industry. For example:

  • Professor Mark Rubinstein is renowned for his work on the binomial options pricing model (also known as the Cox-Ross-Rubinstein model), as well as his early work on asset pricing in the 1970s. He is currently an associate editor of eight journals in these areas. In 1993, he served as President of the American Finance Association. Many of Rubinstein's papers are frequently reprinted in survey publications, and he has won numerous prizes and awards for his research and writing on derivatives including International Financial Engineer of the Year for 1995.
  • Faculty John O'Brien was an early innovator in the investment consulting space. Before joining Haas, O'Brien served as Chairman of the Capital Market Fund, and the S&P 500 SuperTrust, the first exchange-traded fund. He later co-developed the O'Brien 5000 common stock index, later renamed the Wilshire 5000 index, currently the nation's broadest-based index, considered by many to be the most accurate reflection of the overall market. In 1987, O'Brien was named one of Fortune Magazine's Men of the Year.

Professional Faculty Drawn From Business

In addition to having early innovators and scholars, the Berkeley MFE faculty also draws from some of the most successful minds in today's business community. For example, the faculty includes:

  • Lecturer Eric Reiner, managing director of firm-wide risk control at UBS AG
  • BlackRock executives Ronald Kahn, managing director and global head of equity research; Michael Melvin, managing director and head of currency research; and Jeff Shen, managing director and head of Asia/EM equity

Berkeley MFE faculty have also played important roles in the national and international business communities, serving as consultants, board members, and speakers at major business conferences and seminars. Professor Dwight M. Jaffee has been an advisor to the World Bank, the Federal Reserve System, the Office of Federal Housing Enterprise Oversight, and the US Department of Housing and Urban Development.

MFE Steering Committee

In addition to its renowned faculty, the MFE Program consults regularly with an outside committee of industry professionals to assure that the program's curriculum remains cutting-edge and relevant to the constantly evolving finance industry. Specifically, the Steering Committee acts in a similar capacity as a Board of Trustees, focusing on the broad policy and strategic aspects of the MFE program to help define the overall goals of the program and the means by which we attempt to measure its success. The active participation of members from industry is essential to ensuring that the graduates of the MFE program have the requisite skills and knowledge to be productive and successful in their future careers in the field of financial engineering.

The Steering Committee members meet at least once a year in New York; they include the following:

    Armen Avanessians, Global Head of Quantitative, Rules-based, and Indexing Businesses, Goldman Sachs Asset Management

    Mr. Avanessians joined Goldman Sachs in 1985 as a foreign exchange strategist and became a partner in 1994. Before joining Goldman Sachs Asset Management in 2011, he was Head of Strats for twenty years, during which time he helped develop the teams, practices, and platform SecDb, which is crucial to the firm's current activities in commercial applications of analytics. Prior to joining the firm, Mr. Avanessians was a member of the technical staff at Bell Laboratories in Murray Hill. Mr. Avanessians graduated from Massachusetts Institute of Technology with a B.S.E.E. in 1982, and a received an M.S. from Columbia in 1983.

    Terry Benzschawel, Managing Director, Citi

    While Terry Benzschawel has held post-doctoral fellowships in optometry, ophthalmology, and engineering, his financial career began in 1992 at the fixed income arbitrage group at Salomon Brothers, where he focused on pricing models and risk management. Six years later in 1988, he switched to fixed income strategy at Chase Manhattan Bank where he modeled corporate bankruptcy. His work is now concentrated on the risky debt of consumers, sovereign nations, and corporations, with recent emphasis on credit models as applied to structured products, credit derivatives, and capital structure arbitrage. Mr. Benzschawel received a Ph.D. in experimental psychology.

    Janet Campagna, CEO, QS Investors Holdings

    Before her time at QS Investors, Janet Campagna was formerly the head of Deutsche Asset Management Quantitative Strategies group from 1999 through 2010, where she was responsible for investment and business strategy. Prior to that, she worked as an investment strategist and manager of Asset Allocation Strategies Group at Barclays Global Investors and as global asset allocation research director at First Quadrant. She received her BS from Northeastern University, MS from California Institute of Technology, and a PhD from University of California, Irvine.

    Maurizio Ferconi, Head of Risk & Quantitative Analysis for Beta Strategies, BlackRock

    Prior to his work at Blackrock, Maurizio Ferconi was the Managing Director and Global Head of Investment Risk Management at Barclays Global Investors. His focus was in quantitative research, risk managing, and financial modeling. Dr. Ferconi served as Managing Director and Head of Financial Engineering at Putnam Investments from 2002 to 2008, where he headed a group working in the areas of Fixed Income and Equity Quantitative and Fundamental Research, Risk Management, Performance Analysis. Before that, he also served as Head of Risk Analysis and Asset and Liability Management/Quantitative Research at Pioneer Investments from 2000 to 2002. Dr. Ferconi received his PhD in Theoretical and Computational Physics at the University of Missouri, Columbia, in 1995.

    Gifford Fong, President, Gifford Fong Associates

    H. Gifford Fong is President of Gifford Fong Associates, a firm that specializes in fixed income, derivative product, and analysis of asset allocation. He serves as the editor of Journal of Investment. He is a member of many committees and boards, including the Corporation Visiting Committee for the MIT Sloan School of Management and the Board of Advisory Trustees at UC Berkeley. Mr. Fong has been published in numerous journals and books, including the book "Fixed-Income Portfolio Management" through Dow Jones-Irwin. Honors for his works include the Institute for Quantitative Research in Finance Award and the Financial Analysts Journal Graham and Dodd Award of Excellence. Mr. Fong is a member of the Haas Hall of Fame in UC Berkeley's Haas School of Business. He received his BS, MBA, and JD from UC Berkeley.

    Jim Gilliland, President and CEO, Head of Fixed Income, Leith Wheeler

    Prior to working at Leith Wheeler, Mr. Gilliland has worked in Canadian and U.S. fixed income markets at HSBC Asset Management/M.K. Wong & Associates from 1993-2001and Barclays Global Investors from 2002 to 2009. Since 2009, he has worked at Leith Wheeler, where he leads the bond team and chairs Leith Wheeler's Portfolio Review Committee. Mr. Gilliland is a member of the Faculty Advisory Board for the Sauder School of Business at the University of British. He received Bachelors in Communication with honors from University of British Columbia and a Master's degree in Financial Engineering at UC Berkeley.

    Erol Hakanoglu

    Erol Hakanoglu served as a Managing Director and Global Head of Enterprise Risk Management at Barclays Capital. He has been published numerous times focusing in risk management. Dr. Hakanoglu received his PhD in Applied Mathematics from Harvard University.

    Margaret Holen

    Margaret Holen led analytics, risk and marketing teams as a partner in the firm's Securities Division at Goldman Sachs. She currently serves on numerous committees, including the Princeton University Operations Research & Financial Engineering Department Advisory Committee and the Goldman Sachs Foundation Investment Committee. Ms. Holden received a PhD in math from Princeton University, an MSc in math from Oxford University, and a BS in math from the University of Chicago.

    Johan Walden, Associate Professor of Finance, Haas School of Business

    Johan Walden has worked at Haas since 2005, where he has worked as an Associate Professor. Prior to that, he joined McKinsey and Company in Stockholm, Sweden, as a Management Consultant from 1999-2002. Courses taught by Dr. Walden include a Finance Workshop, Stochastic Calculus, and C++ for Finance Professionals. He has received the Schwabacher Fellowship from 2010-2011 and the Earl Cheit Outstanding Teacher Award in 2007, 2009, and 2011. Dr. Walden received his MA and PhD in Financial Economics from Yale University, as well as his BA in History, MS in Engineering Physics, MS in Business Studies and Economics, and PhD in Applied Mathematics from Uppsala University.

    Linda Kreitzman, Executive Director of MFE program, Haas School of Business

    Linda Kreitzman, Executive Director of The Berkeley MFE, helped design and launch the top tier Master of Financial Engineering Program at the University of California, Berkeley in 2000. Kreitzman has singlehandedly placed hundreds of students in investment banks and other financial institutions and is currently designing programs in data science for the Haas School of Business. Outside of her work at Berkeley, Kreitzman is Chief Strategist and Advisor to several startups in the Bay Area, New York, and France in the field of technology, education, and text analytics.

    Victor Masch, Senior Director, Numerix

    Victor Masch has worked at AIG since 1996, where he worked as director of Enterprise Risk Management. As Senior Director in Independent Valuation and Financial Analytics, Masch focuses on evaluating and verifying AIG's balance sheet. Prior to working at AIG, Masch served as First Vice President at the Republic New York Corporation and Senior Vice President at Greenwich Capital Markets. From 1985 to 1989, He was an Associate Director at Bear Stearns. Dr. Masch received his BA in Mathematics from Princeton University in 1978, MS in Operations Research from Stanford University in 1980, and PhD in Operations Research from Cornell University in 1985.

    David Modest, Founding Partner Blue Mesa Capital Management

    Victor Masch has worked at AIG since 1996, where he worked as director of Enterprise Risk Management. As Senior Director in Independent Valuation and Financial Analytics, Masch focuses on evaluating and verifying AIG's balance sheet. Prior to working at AIG, Masch served as First Vice President at the Republic New York Corporation and Senior Vice President at Greenwich Capital Markets. From 1985 to 1989, He was an Associate Director at Bear Stearns. Dr. Masch received his BA in Mathematics from Princeton University in 1978, MS in Operations Research from Stanford University in 1980, and PhD in Operations Research from Cornell University in 1985.

    Scott Pinkus

    Scott Pinkus retired from Goldman Sachs in 2000, after having joined in 1986 to build their Mortgage Securities business and having been a partner since 1990. While there, he established and served as head of their Credit Derivatives Group, which was involved with credit derivative contracts and security instruments. He also served as head of the Fixed Income Research Department, which was involved with developing computerized tools and models. Prior to his work at Goldman Sachs, Mr. Pinkus established and headed the Mortgage Securities Research Department at Morgan Stanley, a position which he also held at Merrill Lynch. Mr. Pinkus frequently gives lectures at UC Berkeley and Columbia University. Mr. Pinkus received his MBA and BS in Economics from the Wharton School at the University of Pennsylvania in 1981 and 1980, respectively.

    Krishan Rattan, Managing Partner, Voltaire Capital

    Prior to serving as Managing Partner at Voltaire, Mr. Rattan was Managing Director and Global Head of Alternative Capital Solutions, and Head of Emerging Markets Structuring for Societe Generale in London. He also has worked in Emerging Markets at Deutsche Bank in London and held structural and trading roles at Credit Suisse. Rattan received a Bachelor's degree in Electrical Engineering, a Masters in International Economics and a Masters in Financial Engineering from the UC Berkeley.

    Mike Rierson

    Mike Rierson serves as Managing Director and Head of Research in Model-Based Fixed Income at Blackrock. His work includes the development of alpha and alternative beta strategies for multi-strategy hedge funds. Prior to his time at Blackrock, Dr. Rierson was Co-Head of Global Rates at Barclays Global Investments from 2005 to 2009, Vice President in Statistical Arbitage at Citi from 2002 to 2005, and Senior Business Analyst and Capital Once from 1996 to 1999. Dr. Rierson received his BS in Math and Computer Science from Duke University in 1996 and a PhD in Finance from Stanford in 2003.

    Aamir Sheikh, Chief Investment Officer and Head of Research, Echelon Capital Strategies LLC

    Aamir Sheikh is Chief Investment Officer and Managing Member at Echelon Capital Strategies. Prior to that, he served as Managing Director at the Enterprise Portfolio Management Group at Bank of America, Managing Director of Portfolio Analytics in the Global Equities division of Merrill Lynch, and President of Barra Inc. Dr. Sheikh was also an Assistant Professor of Finance at Indiana University.

    Michael Sternberg

    Michael Sternberg is a Managing Director at Morgan Stanley and head of the Securitized Products Group (SPG) Structuring, Collateral Analysis, and Financial Engineering Groups. Prior to joining Morgan Stanley in 1995, Mr. Sternberg was Managing Director and head of Structuring and Analytics in the Financial Strategies Group at Prudential Securities. He was in the Mortgage Department at the First Boston Corporation in 1986. Mr. Sternberg received his BA in Economics from UC Berkeley in 1986.

    Lavanya Viswanathan, Managing Director, Goldman Sachs

    Michael Sternberg is a Managing Director at Morgan Stanley and head of the Securitized Products Group (SPG) Structuring, Collateral Analysis, and Financial Engineering Groups. Prior to joining Morgan Stanley in 1995, Mr. Sternberg was Managing Director and head of Structuring and Analytics in the Financial Strategies Group at Prudential Securities. He was in the Mortgage Department at the First Boston Corporation in 1986. Mr. Sternberg received his BA in Economics from UC Berkeley in 1986.

    Bob Litterman

    Bob Litterman recently retired Goldman and Sachs after 23 years focusing in research, risk management, investments and holding leadership positions. While there, he oversaw the Quantitative Investment Strategies Group and Global Investment Strategies. In 1994, he was named a partner of Goldman Sachs. Mr. Litterman co-developed the Black-Litterman Global Asset Allocation Model, which is now an imperative tool used in investment management. He has co-authored numerous books, and is currently the chairman of the advisory board at Kepos Capital. Mr. Litterman received a PhD in Economics from the University of Minnesota and a BS in Human Biology from Stanford University.

    Richard Bookstaber, CIO, University of California Regents

    Richard Bookstaber is an author and researcher in fields such as option pricing theory and risk management. He has published numerous articles and books including Option Pricing and Strategies in Investing and the renowned book A Demon of Our Own Design, published in 2007. Dr. Bookstaber ran the Quantitative Equity Fund at FrontPoint Partners, and prior to that was head of risk management at Moore Capital Management. He has served as managing director at Salomon Brothers, was the first market risk trader at Morgan Stanley, and then worked at Bridgewater Associates until 2008. Dr. Bookstaber has held academic positions at Brigham Young University and Boston University, and was a Fulbright Scholar at the Hebrew University of Jerusalem. Dr. Bookstaber received his BA in Economics from Brigham Young University and his PhD. from the Massachusetts Institute of Technology.

2015-16 MFE Program Committee

Johan Walden (Chair)
Nancy Wallace
Richard Stanton
Eric Reiner
Annette Vissing-Jorgensen (as FIN chair)
Jay Stowsky (ex officio)
Linda Kreitzman (ex officio)