Director of Research
deane@kalotay.com

Dr. Deane Yang is the Head of Research at Andrew Kalotay Associates. In this capacity, he is responsible for the research and development of interest rate models and valuation models for fixed income securities and interest rate derivatives. In addition, he oversees the valuation and analysis for AKA's advisory clients.

Deane led the development of the valuation libraries TIPSVal™ for inflation-indexed bonds, FloatVal™ for floating rate and structured notes, and CurvePlus™ for yield curve analytics. In the past Deane has developed the SwapSpread™ asset swaps calculator, SwapVal™ interest rate derivatives valuation library, and AgencyBondPricer™, a desktop application for pricing agency debentures. He is also the co-inventor, in collaboration with Andy Kalotay, the CLEAN™ mortgage-backed security valuation library, and Volatility Reduction Measure for FAS 133 hedge effectiveness testing.

Along with Andy, he was an advisor to the Bond Market Association (BMA, now SIFMA) task force on the new quotation formula for large agency European-type callable securities (ECS). Deane authored the BMA guidelines for implementation of the new convention and provided a spreadsheet-based BMA ECS calculator for practitioners.

Deane has previously worked at Sumitomo Bank Capital Markets, where he worked on credit risk, VaR, and interest rate derivative pricing models.

A Professor of Mathematics at Polytechnic Institute of New York University, he has held faculty positions at the Courant Institute of Mathematical Sciences at New York University, Columbia University, and Rice University. His academic research areas include convex geometry, geometric and analytic inequalities, and Riemannian geometry. Deane received a BA in Mathematics and Physics from the University of Pennsylvania and a PhD in Mathematics from Harvard University.