PCC Speaker Series: Piotr Karasinski

9 November 2016

On Wednesday 9th November we hosted Piotr Karasinski. The topic of discussion was „Random Walk from Physics to Finance: to Yale and Wall Street from Behind the Iron Curtain”. Piotr is a world-reknown quantitative analyst, known for the Black-Karasinski model.

A bit of background about Piotr:
Piotr grew up in Warsaw, Poland. After graduating from Liceum Sw Augustyna he went to study physics at Warsaw University. After obtaining MS in physics from Warsaw University in 1978 he worked at the Copernicus Astronomy Center in Warsaw as a research fellow for one year. In 1979 he went to the US to do PhD studies in physics at Yale. His PhD thesis research was in Quantum Chromo Dynamics, QCD, the theory of the force that binds quarks into protons, neutrons and other particles called hadrons.

When his PhD thesis was near completion, during May graduation day 1984, he was passing by the Yale Cross-Campus and accidently ran into Thomas Cardello, his Yale physics friend, wearing graduation toga and surrounded by his family, who for his PhD did particle physics experiments at Fermilab. Tom worked in New York doing something other than physics.

“Tom, I hear that you work somewhere in New York. Could you help me find a job in New York?” Piotr asked. “Would you like to trade gold options?” Tom replied. “I would love to!” Piotr exclaimed desperate to get a job, any job, and having no idea what the word “option” meant. In September 1984, as a result of this accidental encounter, Piotr started working as a research analyst for Mocatta Metals, commodity trading firm owned by former Yale psychiatry professor Henry Jarecki, where his friend Tom worked. The trading was headed by Mel Mullen with a PhD in applied math from NYU Courant Institute.

Piotr’s career accelerated when Fischer Black, of Black-Sholes fame, hired him into Quantitative Strategies Group at Goldman Sachs in early 1987. Together with Fischer, they developed Black-Karasinski interest rates model. After seven years at Goldman Sachs he continued his career running quantitative finance research groups in New York and London, for Deutsche Bank, Chemical Bank, Citigroup, and HSBC. Currently, he works in European Bank for Reconstruction and Development in London.



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