Francis Longstaff

Francis Longstaff is a Professor of Finance at the Anderson School of Management, University of California, Los Angeles (UCLA), holding the Allstate Chair in Insurance and Finance. He has published over 70 articles in academic and practitioner journals, focusing on fixed income markets, derivative valuation, and liquidity risk. His work has been widely adopted in global financial markets.

Education:

• Ph.D. in Finance (1987), University of Chicago
• B.A. in Accounting (1982), MBA (1980), B.A. in Finance (1979), University of Utah

Research Interests span term structure theory, credit risk modeling, and computational finance. Recent studies examine arbitrage constraints, interest rate derivatives, and liquidity discounts in financial markets. His empirical analyses cover topics like hedge fund risk-return dynamics and toxic asset valuation.

Recent Publications (2020-2023) emphasize treasury market anomalies, municipal bond tax premiums, and balance sheet rental costs in derivatives pricing. Trends include liquidity effects in fixed income, credit risk valuation, and computational methods for American options.

Professional Experience includes roles as Head of Fixed Income Derivative Research at Salomon Brothers (1995-1998), Chicago Board of Trade Research Department, and Deloitte & Touche management consulting. He has served as a consultant to Wall Street firms, hedge funds, and litigation cases, with models extensively applied in practice.