Keith A. Lewis

My academic career began as a J. D. Tamarkin assistant professor of mathematics at Brown before moving on to 10 years as a quant and technologist at Bankers Trust, Morgan Stanley, and Banc of America Securities. My consulting firm KALX, LLC was founded in 2002 to provide quantitative and technical support to hedge funds. The primary focus was on tools to explore, test, and implement trading strategies. Unlike large investment banks using arbitrage-free models and the law of large numbers to manage risk, hedge funds actively look for arbitrage to exploit.

Peter Carr invited me back to the academic world in 2008. I have taught Derivative Securities courses as an adjunct at Columbia, Cornell, Rutgers, and NYU. I was surprised to find that there was no proof of The Fundamental Theorem of Asset Pricing accessible at the masters level so I came up with the the Unified Model. It can be used to value, hedge, and manage the risk of portfolios containing any collection of instruments.

Some KALX projects: implemented the initial variance swap pricer for Bloomberg, ran trade execution (3 years) for a client who figured out an arbitrage on the Tokyo Stock Exchange, assisted the union (1 year) representing United-Continental-Continental Micronesia Association of Flight Attendants, analytics for advising on option trades for Franklin-Templeton SMA’s. From 2015-2018 I was at Bloomberg again to help on a Management Committee mandated project to provide a data and compute backbone to be used by all business enterprise units.

My current work involves tax loss harvesting for municipal bonds at CrossX.