Stephen Blyth

Stephen Blyth

Professor of the Practice in Statistics
Stephen Blyth

Professor Blyth’s book, An Introduction to Quantitative Finance, was published by Oxford University Press on 7 November 2013.

Research Interests

  • Quantitative finance
  • Derivative markets
  • Use of judgment in applied statistical reasoning

Education

  • PhD in Statistics, Harvard University, 1992.
  • AM in Statistics, Harvard University, 1989.
  • BA in Mathematics with first class honours, Cambridge University, 1988; MA in Mathematics 1991.

Experience

  • 2015 - present President and CEO, Harvard Management Company.
  • 2011 - present Professor of the Practice in Statistics (Part-Time), Department of Statistics, Harvard University.
  • 2006 - 2015 Managing Director and Head of Internal Portfolio Management, Harvard Management Company.
  • 2006 - 2011 Lecturer, Department of Statistics, Harvard University.
  • 2003 - 2006 Managing Director, Head of Global Rates Proprietary Trading Group, Deutsche Bank London.
  • 1997 - 2003 Morgan Stanley New York. Managing Director, Interest Rate Group, 2002; Principal 1999; Vice President 1997.
  • 1994 - 1997 HSBC London and New York. Vice President, Specialised Derivatives Group.
  • 1993 - 1994 Lecturer in Statistics, Department of Mathematics, Imperial College London.
  • 1992 - 1993 SERC Postdoctoral Research Fellow, Department of Mathematics, Imperial College London.

Sample Publications

  • Blyth S (2013). Of Wranglers and Bankers: Reflections on Applied Statistics from a Career in Finance. CHANCE, 26, No.2, 4-7.
  • Blyth S (2011). The Quant Delusion. RISK, 24, No.1, 121-123.
  • Blyth S (2004). Practical Relative-Value Volatility Trading. RISK, 17, No.5, 91-96.
  • Blyth S (1995). The Dead of the Gulag: An Experiment in Statistical Investigation. Applied Statistics, 44, 307-321.
  • Blyth S (1994). Karl Pearson and the Correlation Curve. International Statistical Review, 62, 393-403.

The Quant Delusion: The Rise and Fall of Financial Engineering - presentation at "Big Ideas for Busy People 2013"

Curriculum Vitae

Contact Information

SC 708
p: 617-495-5617