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U.S. Patents

System for pricing financial instruments

CJ Weber, C Alexander, CA Baker, J MacQueen

US Patent 7,305,362, 2007

System for pricing financial instruments

CJ Weber, C Alexander, CA Baker, J Macqueen

US Patent 7,979,336, 2011

Systems and methods for trading actively managed funds

CJ Weber, C Alexander, J Macqueen, CA Baker

US Patent 7,822,678, 2010

Systems and methods for trading actively managed funds

CJ Weber, C Alexander, J Macqueen, CA Baker

US Patent 8,170,934, 2012

Industry CV          Academic CV


Professional Development:

I'm Professor of Finance at Sussex, a visiting Professor at Peking University HSBC Business School, and Co-Editor of the Journal of Banking and Finance.  I have a BSc Maths with Experimental Psychology and a PhD in Algebraic Number Theory. I took a post-doc in Amsterdam, worked as a bond analyst for Phillips and Drew, and attended the London School of Economics as a Research Assistant in game theory/labour economics also taking their MSc in Mathematical Economics and Econometrics. In 1985 I took a lectureship in Mathematics and Economics at the University of Sussex, while also designing risk, pricing, hedging and trading models for investment banks, fund managers and exchanges. Then I dropped the Economics side at Sussex to work half-time as Academic Director for Algorithmics Inc.


My PhD thesis, entitled Integral Bases of Dihedral Number Fields was supervised by Walter Ledermann at the Universty of Sussex. After a post-doc at the Universty of Amsterdam, a rather tortuous year as a bond analyst for Phillips and Drew and a delightful Masters in Mathematical Economics and Econometrics at the London School of Economics, I returned to Sussex as a lecturer in Mathematics and Economics. That was in 1985, by which time my research interests had turned to game theory.


However, after the 1987 Black Monday crash in global financial markets my econometric skills were in greater demand, and my social conscience drew me away from game theoretic research into something more practical. I undertook various consultancy roles for investment banks and other financial institutions, where I worked with computer programmers to implement models for risk analysis and portfolio management. This way, I became drawn to research in financial risk management, investigating the properties of various new econometric models for market risk including different types of generalised autoregressive conditional heterscedasticity (GARCH) models , as well as applied research on active and passive fund management. From that time on, almost all my research has been with the wonderful PhD students that I have had the privilege to supervise.

In 1997 I left academia entirely to be a director of Nikko Global Holdings and Head of Market Risk Modeling (UK). I briefly led a team of about a dozen PhDs, designing and building new indexing products, but the London office was closed shortly after I started. I took the opportunity to write my first book (Market Models, Wileys 2001). Then, in 1999, I became a professor of finance at the ICMA Centre at Reading University. I was also Risk Research Advisor, SAS (USA) and Chair of the Board of PRMIA (Professional Risk Manager's International Association).  In 2013 I returned to Sussex, heading the development of the Department of Business and Management before it split into three to become the new Business School.


Further econometric research on estimation of general discrete-time stochastic processes for financial asset returns naturally shifted my attention towards the implied measure, at which point I necessarily became a rather inefficient autodidact in various elements of mathematical finance. In this sphere I developed pricing and hedging models for various types of options, exotic and otherwise, and with two very talented PhDs we proved some classic theoretical results on scale invariance and generalised aggregation properties. Likewise, more applied mathematical finance research converged on volatility indices and higher moment risk premia, and on trading these premia through futures and exchange traded products.


While writing my 4-volume textbook Market Risk Analysis (Wileys, 2008) Walter Ledermann was interested to read parts of the first volume Quantitative Methods in Finance. In his early career as a young mathematician in Edinburgh Walter had done some interesting research on correlation matrices, and after reading my textbook he proved the last theorem of his life at the age of 97. By coincidence, I was supervising the PhD of his grandson at the time. Together Dan, Walter and I wrote the first paper on random orthogonal matrix (ROM) simulation, timing the publication for the centenary of Walter's birth. In his honour, we named the Ledermann matrix that Walter discovered as the first in a whole class of L-matrices that Dan and I developed. I continue to work on ROM simulation and have also developed another new type of simulation model based on factor quantiles.

Currently, the main focus of my research is on the exciting new universe of crypto assets and their derivatives. 

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