Sigma Rising
This blog ruminates on topics related to financial markets with a particular focus on quantitative portfolio management. My writings are inspired by the day-to-day issues I encounter as a partner in a hedge fund where I spend the bulk of my time developing software and performing quantitative analysis of financial markets. I expect this blog to be primarily of interest to equity portfolio managers and other quantitative traders.
The Author
David Soronow, CFA
I have worked in the financial industry for over ten years in a variety of roles relating to quantitative finance and software development. This includes stints as a VP at Morgan Stanley, a product manager at MSCI Barra, and head of product management at Financial Engineering Associates. I am currently a partner in an equity long/short hedge fund. My experience spans the gamut of asset classes including fixed income, fx, equities and commodities. I’ve lived and worked in New York, San Francisco, Berkeley, Vancouver and Montreal.
Other Published Articles
Soronow, D. (2005, December). Capturing the Credit Alpha. Advanced Bond Portfolio Management : Best Practices in Modeling and Strategies, Chapter 17, John Wiley and Sons Frank J. Fabozzi, Lionel Martellini, Philippe Priaulet
Pierce, M., Soronow, D., & Wang, K. (2002, Dec). The Power Sector Model. Energy Power & Risk Management Magazine, New Frontiers
Blanco, C., Soronow, D., & Stefiszyn, P. (2002, Dec). One Step Forward. GARP Risk Review
Blanco, C., Soronow, D., & Stefiszyn, P. (2002, Sept). Multi-Factor Models of the Forward Price Curve (II). Commodities Now
Blanco, C., Soronow, D., & Stefiszyn, P. (2002, June). Multi-Factor Models for Forward Curve Analysis: An Introduction to Principal Component Analysis (I). Commodities Now
Soronow, D. & Morgan, C. (2002, July). Modeling Spreads in Natural Gas Markets (II). The Risk Desk, Vol. II, No. 7
Soronow, D. (2002, July). Modeling Spreads in Natural Gas Markets (I). The Risk Desk, Vol. II, No. 5
Blanco, C., & Soronow, D. (2001, Sept). Jump Diffusion Processes – Energy Price Processes Used for Derivatives Pricing & Risk Management (III). Commodities Now
Blanco, C., & Soronow, D. (2001, June). Mean Reverting Processes – Energy Price Processes Used For Derivatives Pricing & Risk Management (II). Commodities Now
Blanco, C., & Soronow, D. (2001, March). Energy Price Processes Used for Derivatives Pricing & Risk Management (I). Commodities Now
