STONY BROOK, NY, May 12, 2008 – Robert J. and Kathryn B. Frey, on behalf of the Frey Family Foundation, announced today a gift of $1.5 million for establishment of the “Frey Family Endowed Chair in Quantitative Finance” in the Department of Applied Mathematics and Statistics in the College of Engineering and Applied Sciences (CEAS) at Stony Brook University. The gift, along with $500,000 in matching funds from the Stony Brook Foundation, will create a $2 million endowed chair that will be used to recruit a preeminent scholar in quantitative finance.
A rapidly growing field of study, quantitative finance is a cross-disciplinary applied science, an engineering discipline, dealing with the application of mathematics and computer science to develop or exploit financial opportunities for return enhancement and risk control. The field is also known as financial mathematics, financial engineering and computational finance, depending upon the problems or techniques emphasized.
Income generated from the endowed chair will provide funding to support the scholar’s research, teaching and service, as well as graduate students, and other purposes that advance the field of study. An endowed chair augments a state-funded faculty line.
Dr. Frey is a research professor, director and developer of the Program in Quantitative Finance in the Department of Applied Mathematics and Statistics at Stony Brook. He spent 25 years as an applied mathematician in industry, the last 15 of which were spent as a managing director with a well-known hedge fund.
“Our objective in creating the Program in Quantitative Finance was to produce individuals who would achieve the highest levels in the field. We wanted our graduates to be applied mathematicians whose area of practice was finance, rather than finance professionals with ancillary training in mathematics. Applied Mathematics and Statistics, with its commitment to academic excellence and a focus on problem-oriented research, was the natural home to this program,” says Dr. Frey. ”An endowed chair will enable us to hire a prominent scholar in the field whose contributions will be critical to the program’s continued development. We also anticipate that this individual will work as part of the Center of Excellence in Wireless and Information Technologies (CEWIT) in exploration of the important role such technology plays in the development and application of advanced techniques in quantitative finance.”
“Robert is a true visionary and brings great knowledge and valuable experience to students at Stony Brook,” said President Shirley Strum Kenny. “He established the Program in Quantitative Finance and under his leadership and through his and Kathryn’s wonderful generosity, it will be a true powerhouse.”
“We are delighted that Robert and Kathryn Frey have seen fit to honor Stony Brook in this way. This gift will serve as a catalyst to greatly enhance the role of the University in assisting the financial and IT communities on Long Island and New York City,” said Dr. Yacov Shamash, Dean of the College of Engineering and Applied Sciences and Vice President of Economic Development at Stony Brook University.
Dr. and Mrs. Frey live in Port Jefferson. Robert Frey holds both Stony Brook B.S. and Ph.D. degrees in Applied Mathematics and Statistics. “My whole education took place part-time. It took me 12 years. I was a nontraditional student in every way, from a family in which no one in the previous generation had gone to college.”
During his 12 years of part-time study, Robert was simultaneously moving ahead in the business world. He was initially a management analyst for the IRS, then an operations researcher for Doubleday Book Co. and later for European-American Bank; on the side, he started his own consulting firm.
At the time he wrote his dissertation, Frey was head of the 25-person operations research/artificial intelligence group at the Harris Corporation. Among other projects at Harris, Frey led an analysis of how to design a military airplane so that automated testing equipment could diagnose faults in complex electronic systems. A new generation of Navy fighter planes was developed under the guidelines Frey proposed. After his Ph.D., he moved to Morgan Stanley’s trading operation where he helped build a mathematically based trading system. He then became a founding partner of Kepler Financial Management, Ltd., which ran a computerized equities fund. Kepler was purchased by Renaissance Technologies Corp., one of the country’s most successful hedge fund managers. At Renaissance, he worked on broadening products into more traditional areas of investment management.
“After 25 years as an applied mathematician in industry, the last 15 years spent in quantitative finance as a managing director with a well known hedge fund, I retired and then embarked, with some trepidation, on an academic career. My focus is on risk management, modeling the process of managing complex and dynamic portfolios, particularly those that naturally arise in so-called alternative investment strategies. This interest has found its expression in two areas of research: characterizing those interactions via regime-switching models and developing policies for risk control and capital structure management through micro-simulations.”
Part of the State University of New York system, Stony Brook now encompasses 123 buildings on 1,100 acres. In the nearly fifty years since its founding, the University has grown tremendously, now with more than 22,000 students and 1,900 faculty, and is recognized as one of the nation’s important centers of learning and scholarship. It is a member of the prestigious Association of American Universities, the invitation-only organization of the best research universities in the country, and has been listed as one of the best universities in the world by the London Times.