The core financial math courses of our program are taught by the following faculty members:
||Dr. Hurd is Professor of Mathematics at McMaster, and
in 1999, the founder of Phimac. After a research career
in mathematical physics he turned to the mathematical study
of financial markets in the late 1990s. Since then he has built
an international research reputation, with many publications
in portfolio theory, interest rate modeling, and credit risk.
In 2010, Dr. Hurd was the chief organizer of the 6th World Congress
of the Bachelier Finance Society, attended by over 500 participants
from around the world. In addition to teaching in the M-Phimac
program, he has supervised numerous M.Sc. and Ph.D. research
students working in financial mathematics, many of whom have
moved on to careers in banking.
|Dr. Grasselli is the Sharcnet Chair in Financial
Mathematics. After obtaining a doctorate in mathematical physics
from Kings College London, he has been working in mathematical
finance and is an experienced instructor of undergraduate and graduate
mathematics, supervising numerous research projects in both theoretical
and practical aspects of finance, risk management, and investment
strategies. Dr. Grasselli was the lead organizer of the thematic program
Quantitative Finance: foundations and applications held in 2010 at the
Fields Institute in Toronto. He has published many research papers and
a textbook, maintains an active blog on quantitative finance, and is a
regular speaker in both academic and industrial conferences around the world.
||Dr. Lozinski is the director of the M-PhiMac
program, having returned to teach at McMaster University
after having worked over 10 years in the banking industry in a
variety of quantitative roles. In industry, he established a
team responsible for mathematical models for global credit
risk, and has worked with fellow banking leaders to produce
Canada’s responses to new model-based international
banking regulations. He has extensive experience in the
mathematical modeling and analysis of credit risk, including
work in economic capital, structured product analysis, and
the validation of pricing and hedging models for exotic
|Dr. Pirvu - our most recent faculty member - joined
the department after three years of teaching and research in
mathematical finance at The University of British Columbia.
Prior to that, Dr Pirvu obtained his doctorate in mathematical
finance from Carnegie Melon University under the supervision
of the well known author and researcher Steven Shreve.
Dr. Pirvu has done extensive research on the foundations
of mathematical finance, in areas such as the theory of risk
measures, optimal consumption and investment with risk
limits, time-consistency of decision makers and equilibrium
pricing in illiquid markets.