Francis A. Longstaff

Francis A. Longstaff is the Allstate Chair in Insurance and Finance at UCLA Anderson School of Management. He is also a certified public accountant (CPA) and a chartered financial analyst (CFA). From 1995 to 1998, Longstaff was head of fixed income derivative research at Salomon Brothers Inc. in New York. He has also worked in the research department of the Chicago Board of Trade and for Deloitte and Touche as a management consultant.

Dr. Longstaff’s current research interests include fixed income markets and term structure theory, derivative markets and valuation theory, credit risk, computational finance, liquidity and its effects on prices and markets, and the role of arbitrage in financial markets.

Several of his recent term structure papers have focused on the expectations hypothesis. Recent papers in the area of derivatives have focused on the valuation of American options by simulation and on the valuation of interest rate derivatives in string models of the term structure. Other recent papers provide upper bounds on the size of discounts for lack of liquidity that can be sustained in financial markets and also examine the risk/return relationship for hedge funds investing in pure arbitrage opportunities when there are margin constraints.

He has published nearly 70 articles in academic and practitioner journals, including Journal of Finance, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, American Economic Journal: Macroeconomics, and Review of Financial Studies, among others.

Many of his valuation models have been used widely on Wall Street and throughout the global financial markets. He has extensive experience as a consultant for many Wall Street firms, mutual funds, hedge funds, commercial banks and other financial institutions, software developers and risk management firms, as well as in litigation support. He is a frequent speaker at practitioner seminars and conferences.

He has received numerous awards for his research and teaching, including the JFQA William F. Sharpe Best Paper Award, First Prize in the FAMA/DFA Prize for Capital Markets and Asset Pricing, the Barclays Global Investors/Michael Brennan Award for the best paper in the Review of Financial Studies, and teaching awards from the UCLA Anderson MFE Program and the Walter A. Hass School at University of California at Berkeley.

He holds a Ph.D. in Finance from University of Chicago, and an MBA and dual bachelor’s degrees in Accounting and Finance from University of Utah.

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