Jan Dash

Dr. Jan Dash is a Visiting Research Scholar at Fordham’s Graduate School of Business. His consulting firm, J. Dash Consultants LLC, specializes in advanced risk measures. Jan has done pioneering work in many areas of quantitative finance. He introduced Feynman path integrals as a general paradigm for options, innovated new improved risk management techniques including “Stressed VAR”, devised the theory of optimally-stressed correlation matrices, developed models for interest-rate and equity derivatives plus hybrids, started a firm-wide program for model quality assurance, invented contingent caps, and he co-invented the Macro-Micro yield-curve model that produces realistic time movements of yield curves and connects economics with finance. He has managed PhD quant groups in some leading Wall Street firms. His 800-page book “Quantitative Finance and Risk Management, A Physicist’s Approach”, published by World Scientific, is now in its third printing.

His scientific positions include Directeur de Recherche at the Centre de Physique Théorique CNRS Marseille France, Assistant Professor at the University of Oregon, and MTS at Bell Labs. He has published over 60 scientific papers. He holds a BS from Caltech and a PhD in physics from UC Berkeley.

Jan is also an involved participant in science issues in society, and he is a professional-level classical musician.

Teaching: Financial Econometrics for Risk Management

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