Andrew Kalotay

Mathematician, Person

1941 –

61

Who is Andrew Kalotay?

Andrew Kalotay is a Hungarian-born finance professor, Wall Street quant and chess master. He is best known as an authority on fixed income valuation and institutional debt management. He is currently the President of Andrew Kalotay Associates, and an adjunct professor at Polytechnic Institute of New York University.

His innovations include the concept of refunding efficiency—a widely used tool for managing callable debt, the ratchet bond—a surrogate for conventional callable bonds, and volatility reduction measure—for testing hedge effectiveness. Kalotay has also made numerous contributions to the quantitative analysis of option-adjusted spread, interest rate derivatives, and mortgage-backed securities; he is an author of the Kalotay–Williams–Fabozzi model. In 1997 he was inducted into the Fixed Income Analysts Society’s Hall of Fame.

Kalotay emigrated to Canada following the 1956 Hungarian Revolution. He graduated from Queen's University in Kingston, Ontario, with two degrees in mathematics, earning his bachelor's degree in 1964 and his master's degree in 1966. He moved to the University of Toronto, and completed his doctorate in statistics there in 1968.

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Born
1941
Profession
Education
  • University of Toronto
  • Queen's University

Submitted
on July 23, 2013

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