xii List of Contributors
Hal Forsey earned a PhD in mathematics at the University of Southern
California and a masters in operations research from U.C. Berkeley. He is
Professor of Mathematics Emeritus at San Francisco State University and has
worked closely with Dr. Frank Sortino for over 25 years. Dr. Forsey wrote the
source code for all of the models developed at the Pension Research Institute,
including the software on the CD in the book Managing Downside Risk. Hal
co-authored many articles with Dr. Sortino and his wide consulting experience
in applied mathematics has been invaluable to the SIA executive team.
Manfred Gilli is Professor emeritus at the Department of Econometrics at the
University of Geneva, Switzerland, where he taught numerical methods in eco-
nomics and finance. His main research interests include the numerical solution
of large and sparse systems of equations, parallel computing, heuristic optimi-
zation techniques, and numerical methods for pricing financial instruments.
He is a member of the advisory board of Computational Statistic s and Data
Analysi s and member of the editorial boards of Computational Economic s
and the Springer book series on Advance s in Computational Economic s and
Advance s in Computational Management Science.
A. D. Hall holds a PhD in econometrics (London School of Economics, 1976).
He has taught econometrics at the Australian National University and the
University of California, San Diego (both recognized internationally as lead-
ing institutions for this discipline) and finance at the School of Business, Bond
University and the University of Technology, Sydney. He has publications in a
number of the leading international journals in economics and econometrics,
including The Review of Economics and Statistics , The Review of Economic
Studies , The International Economic Review , The Journal of Econometrics ,
Econometric Theory , Econometric Reviews , The Journal of Business and
Economic Statistics , Biometrika , and The Journal of Time Series Analysis. His
research interests cover all aspects of financial econometrics, with a special
interest in modeling the term structure of interest rates. Dr. Hall is currently
the Head of the School of Finance and Economics.
John Knight is Professor of Economics at the University of Western Ontario.
His research interests are in theoretical and financial econometrics, areas in
which he has published extensively as well as supervised numerous doctoral
dissertations.
Fiona Kolbert is a member of the Research Group at SunGard APT where she
has worked since 1998. She is the lead researcher and developer of their opti-
mizer product.
Mark Kritzman is President and CEO of Windham Capital Management, LLC,
and a Senior Partner of State Street Associates. He teaches financial engineering
at MIT’s Sloan School and serves on the boards of the Institute for Quantitative