Asset Pricing Pre- and Post-Crisis: A 60-minute Tour through 60 Years of Finance
Abstract
A snappy, and highly subjective, historical survey of the most important developments in the field of asset pricing, with a focus on how the Financial Crisis of 2007-2008 upended a long list of assumptions and conventions, and paved the way for much more nuanced valuation methodologies even for (apparently) simple instruments.
Bio
Leif B. G. Andersen is the Global Head of The Quantitative Strategies Group at Bank of America Merrill Lynch, and is an adjunct professor at NYU’s Courant Institute of Mathematical Sciences and CMU’s Tepper School of Business. He holds MSc's in Electrical and Mechanical Engineering from the Technical University of Denmark, an MBA from University of California at Berkeley, and a PhD in Finance from Aarhus Business School. He was the co-recipient of Risk Magazine’s 2001 and 2018 Quant of the Year Awards, and has worked for more than 25 years as a quantitative researcher in the global markets area. He has authored influential research papers and books in all areas of quantitative finance, and is an Associate Editor of Mathematical Finance and the Journal of Computational Finance.
