List of Quantitative Analysts - Pioneers

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.
  • 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 Nobel laureate in economics.
  • 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 Forsyth 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.

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