Hugh Cohen, Ph.D.

Hugh Cohen, Ph.D.

Professor Hugh Cohen has been an Adjunct Professor at the Goizueta Business School at Emory University since 1994, when he moved from Georgia State University. He has taught MBA and/or undergraduate classes in: Capital Markets, Derivatives, Economics, Financial Markets, Fixed Income, and Investments. As Senior Financial Economist with the Federal Reserve Bank of Atlanta, Professor Cohen performed research into the fixed income financial markets and oversaw the bankís financial team. Professor Cohen has a Ph.D. in Operations Research from Cornell University where his dissertation was in fixed income derivative pricing models, has published articles in theoretical, practical, and regulatory journals, and has won multiple teaching awards.

As Managing Member of Applied Financial Research LLC, which he established in 1998, Professor Cohen has managed three hedge funds for which he has developed theoretical trading strategies, oversaw the historical testing of these strategies, and implemented these strategies in the financial markets. He also has served as an expert witness/consultant on numerous matters. Clients that have retained his services on multiple occasions include: the Federal Bureau of Investigation, the United States Attorneyís Office (both for and against), the United States Internal Revenue Service (both for and against), the United States Securities Exchange Commission (both for and against) and major Wall Street Firms (both for and against).


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Hugh Cohen, Ph.D.

A Consultant and subject matter expert in these services:

Credentials

EXPERIENCE

Applied Financial Research L.L.C., Managing Member, 1998 - Present

FinanceFX Inc.Director/Director of Research, 1996 - 1997

Cornerstone Capital Management L.P., Managing Director, 1994 - 1995

Federal Reserve Bank of AtlantaFinancial Team Leader, 1994 - 1994

Federal Reserve Bank of AtlantaSenior Financial Economist, 1991 - 1994

EDUCATION

Cornell University, Ph.D. Operations Research, 1991

Committee: David Heath, Robert Jarrow, & Joseph Mitchell

Cornell University, M.S. Operations Research, 1989

Rensselaer Polytechnic Institute, B.S., Mathematics 1987

TEACHING EXPERIENCE

Adjunct Professor (1994-Present), Emory University and Georgia State University. Graduate and undergraduate courses taught include:

  • Capital Markets
  • Derivative Securities
  • Economics
  • Fixed Income
  • Financial Markets
  • Investments.
CONSULTING

Securities Exchange Commission (2009-2011). Retained to assist in an investigation involving the CDO markets.

Gerson Lehrman Group (2007). Retained to participate in a panel discussion on quantitative hedge funds.

Securities Exchange Commission (2006-2011). Retained to assist in an investigation into the CMO markets.

Federal Bureau of Investigation (1999 & 2004). Retained to assist in criminal investigations concerning the trading of Treasury securities and market manipulation.

Standard & Poorís (1998). Retained to assist with product development.

New York Stock Exchange (1996). Retained by the Department of Enforcement to research price changing patterns of non-agency adjustable rate mortgages, and their derivative securities.

PUBLICATIONS

"Isolating the Wild Card Option", Mathematical Finance,Volume 5/2 April 1995.

"You Have Been Warned", Balance Sheet Magazine, Vol. 3, #1 Spring, 1994.

"Generalized Method of Moments Estimation of Heath-Jarrow-Morton Models of Interest Rate Contingent Claims Pricing", Working Paper, FRB of Atlanta,(with Peter Abken).

"Approximation Error: the Hidden Problem in Measuring Bank Interest Rate Exposure", FRB of Atlanta, Working Paper 1994.

"The Effect of Tick Size on Treasury Auctions", FRB of Atlanta, Working Paper 1994, (with Douglas McBeth).

"Towards the Systematic Measurement of Systemic Risk", FRB of Atlanta, Working Paper, October 1993,(with Will Roberds).

"Beyond Duration: Hedging Interest Rate Exposure", Economic Review, Federal Reserve Bank of Atlanta, (March/April 1993). Reprinted in Financial Management Collection, Fall 1993.

"A New Method of Testing Pricing Models as Applied to Forward Interest Rate Models", Working Paper 92-16, FRB of Atlanta, November 1992 (with David Heath). Abstract printed in Journal of Finance, Vol. 49/3.

"Testing Models for Valuation of Interest Rate Dependent Securities", Proceedings of the American Statistics Association, 1991 with David Heath).

"Valuing Embedded Options", Economic Review, Federal Reserve Bank of Atlanta, (November/December 1991). Reprinted in Financial Derivatives: New instruments and Their Uses, Federal Reserve Bank of Atlanta, 1993, pp. 187-194.

Automat:ee