Rupak Chatterjee, Ph.D., has over fifteen years’ experience as a quantitative analyst working for various top-tier Wall Street firms. His last role before returning to academia was as Director of the Multi-Asset Hybrid Derivatives Quantitative Research group at Citigroup in New York. He was also the Global Basel III coordinator for all modeling efforts needed to satisfy the new regulatory risk requirements imposed on banks. Previously, he was a quantitative analyst at Barclays Capital, a vice president at Credit Suisse, and a senior vice president at HSBC. His educational background is in theoretical physics where he studied at Stony Brook University and the University of Chicago. His recent book, Practical Methods of Financial Engineering and Risk Management, Stevens Series on Quantitative Finance, Apress-Springer, was published in August 2014.
Research Fellow, University of Chicago.
Ph.D., Theoretical Physics, Stony Brook University.
M. Math, University of Waterloo.
Stevens Institute of Technology, New Jersey (2012-Present)
Deputy Director of the Financial Engineering Division; Founding Member of the Center for Distributed Quantum Computing
Citigroup, New York (2005-2012)
Global Head of Basel III Modelling; Director of Multi-Asset Quantitative Research
HSBC, New York (2001-2005)
Senior Vice President, Quantitative Analyst
Credit Suisse First Boston, New York (1999-2001)
Vice President, Quantitative Analyst
Barclays Capital, New York (1997-1999)
Derivatives Structurer/Quantitative Analyst
Professor Chatterjee grew up in Calgary, the largest city in the province of Alberta, Canada. As a seventh grader, he learned to play the tenor saxophone and was determined to forge a career in jazz. Yet, like his physicist father, he decided to pursue the study of physics. He went on to earn a Ph.D. in theoretical physics at Stony Brook University. Though he veered away from a career in music, he continues to play the tenor sax as a semi-pro. Every summer, he performs a few concerts with a small band at Woodbury Commons in Central Valley, NY. Professor Chatterjee’s career in banking happened serendipitously. At the time of his graduation from the University of Chicago, the Cold War had ending and opportunities for newly minted physicists shrunk drastically. Wall Street firms were recruiting and Professor Chatterjee was offered a position at Barclays Capital as a derivatives structurer/quantitative analyst in New York City. Thus began his career trajectory, as he later became a vice president at Credit Suisse and a senior vice president at HSBC. Prior to returning to academia, he was Director of the Multi-Asset Hybrid Derivatives Quantitative Research group at Citigroup in New York. He was also the Global Basel III coordinator for all modeling efforts needed to satisfy the new regulatory risk requirements imposed on banks.
- Aspects of Classical and Quantum Nambu Mechanics
- Coin Tossing as a Billiard Problem,
- General Auto-Regressive Asset Model
- Optimal Dynamic Hedging of Cliquets
- Optimal Dynamic Hedging of Equity Options: Residual-Risks, Transaction-Costs, & Conditioning
- Optimal Dynamic Hedging of Multi-Asset Options
- Practical Methods of Financial Engineering and Risk Management
- Rigid Body Motion, Interacting Billiards, and Billiards on Curved Manifolds
- Dynamical Symmetries and Nambu Mechanics
- Surfing Arnold's Web