Iafe due to name Ingersoll as its financial engineer of the year

Jon Ingersoll is due to be named this year’s financial engineer of the year by the International Association of Financial Engineers (Iafe) within the next few days, according to a number of industry sources. Ingersoll is the Adrian C Israel professor of international trade and finance at Yale University.

Ingersoll specialises in multi-period models of asset valuation research, including the pricing of options and futures, and the term structure of interest rates. His work has been published in a series of academic journals, including The Journal of Computational Finance, a Risk Waters publication. Ingersoll also wrote 'A Theory of the Term Structure of Interest Rates', which appeared in Vasicek and Beyond, published by Risk Books in 1996. He is currently working on a paper titled 'The Subjective and Objective Evaluation of Incentive Stock Options'.

SunGard will make a $10,000 donation in Ingersoll’s honour to the Iafe and the Fischer Black Memorial Foundation. SunGard, the Pennsylvania-based risk management technology company, is the sponsor of the Iafe award. The Foundation is named in honour of the late Fischer Black, one of the fathers of financial engineering, who was a founding member of Iafe and a senior fellow of the association until his death in 1995. The Foundation was created to fund and publish research, and host forums for reporting research findings.

Last year, Andrew Lo, Harris & Harris group professor at the MIT Sloan School of Management and the director of MIT's Laboratory for Financial Engineering, won the Iafe award as financial engineer of the year.

Iafe is expected to publicly disclose that Ingersoll has won its award during the next week.