Skip to content

Categories:

About

Sigma Rising

This blog ruminates on topics related to financial markets with a particular focus on quantitative portfolio management. 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 twelve years in a variety of roles relating to quantitative finance and software development. This includes stints as a Research Director at a hedge fund, a VP at Morgan Stanley, a product manager at MSCI Barra, and head of product management at Financial Engineering Associates. My experience spans the gamut of asset classes including fixed income, fx, equities and commodities. I’ve lived and worked in Vancouver, New York, Portland (Oregon) and currently live in San Francisco, California.

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



SEO Powered by Platinum SEO from Techblissonline