Caspian Capital, a New York-based hedge fund specialising in fixed-income strategies, has hired Ali Hirsa from Morgan Stanley as head of analytical trading strategies.Hirsa spent four years as vice-president of quantitative analysis at Morgan Stanley. He said his move was motivated by the desire to have a more direct involvement in trading and the design of trading strategies. At Caspian, his responsibilities will include the design and evaluation of new trading strategies. He reports to Massoud Heidari, Caspian's chief investment officer.
Hirsa has also published a number of papers and was co-author of ‘Why be Backward?’ – see Risk January 2003 – which dealt with pricing exotic American-style put options using the 'Dupire' equation, regarded by many as a key inspiration behind a new generation of pricing models.
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