About Me
For many years now, I have straddled the empirical “quant” world and that of more traditional asset management. I developed a strong passion for asset management during my years at Capital Group where I was completely immersed in the investment decision making process spanning the entire traditional investment spectrum. It was a very unique experience being the only full-time “quant” in the investment group of such a large and well-respected traditional asset management firm.
For a time, I threw myself deeply into the world of quantitative asset management. I was the lead quantitative researcher of an investment team at The TCW Group managing an absolute return fund. While there, I developed a complete suite of sophisticated quantitative portfolio management tools including asset allocation, risk management, and performance measurement applications which have directly contributed to investment results being firmly in the top quartile.
I then moved to Hong Kong where I helped set up Harvest Global Investments Ltd (HGI), which is a new asset management firm owned by Harvest Fund Management in Beijing. While there, I established all market risk, credit/counterparty risk, and portfolio analytics policies including the development of proprietary risk and performance reporting applications.
Currently, I am Regional Manager of Market and Investment Risk at a large and rapidly growing insurance company in Asia overseeing eight business units across seven countries.
Prior to moving into finance, I was a professional scientist at MIT Lincoln Laboratory where I developed large-scale numerical models of complex radar systems. I completed my doctorate at the Center for Computational Electromagnetics at the University of Illinois at Urbana-Champaign.
Updated December 2010.
I saw on the phorum that you’re in L.A. and sometimes get together with other members for drinks. Let me know the next time you do so, I’d love to join.
chiquant
August 10, 2007 at 11:26 am
Hi Eric!
Let’s try to understand Kantization together. Send me an email please!
Daniel de França MTd2
June 17, 2009 at 5:35 am
Hello,
Since the Towards a Computer-aided system for real mathematics has become cumbersome, I decided to send you a link to un bueno paper. If you don’t like it I’ll buy coffee next time you are in Santa Cruz.
philosophy.ucdavis.edu/landry/2CategoryTheoryTheLanguage.pdf
CATEGORY THEORY: THE LANGUAGE OF MATHEMATICS by Elaine Landry
Stephen Harris
September 21, 2009 at 5:58 pm
Eric,
I don’t have a email address for you, unfortunately. If you drop me a note at topological.musings@gmail.com, I’ll respond with a brief remark on Kantization, which you brought up today at the Cafe.
Todd
Todd Trimble
October 23, 2009 at 2:08 pm
Hi Eric; I’m actually very interested in working out the details of the “Spring in Imaginary Time” analogy in detail. If you’ll send me an email, I’ll send you what I’ve got.
Mike Stay
August 8, 2010 at 10:40 am
Hi,
I am doing some research on leveraged ETFs for HKUST/NYU Stern and looking for people who did or are working on similar issues.
Comparing discrepancy in price between NAV and secondary market. Firms price the NAV value on a real time basis. They gather the proper values to calculate NAV and run it real-time( those values are located in an IOPV file). Then they design a program to arb the product. Program trading, high frequency trading are more or less the same thing when it comes to index arb trading.
Andreas Cseh
November 6, 2010 at 1:29 am