Keith Lewis

Background

About Keith Lewis

I am a mathematician by training but worked for 10 years as a quant and technologist on Wall Street before starting my consulting company, KALX, LLC. My company specializes in hard messy problems that require heavy doses of both technology and quantitative skills. The highest praise from a client is when they call me and say,"Nobody else could figure out how to do this, so we thought of you." I love to roll up my sleeves, get my hands dirty, and deliver results my clients are happy with. Lately I've been teaching Derivative Securities at Columbia, Cornell, Rutgers, and NYU. I was very surprised to find that there was no proof of The Fundamental Theorem of Asset Pricing accessible at the masters level. So I came up with one: https://kalx.net/um.pdf. It can be used as a basis for a unified approach to valuing, hedging, and managing the risk of portfolios containing *any* collection of instruments: https://keithalewis.github.io/math/uf.html I wrote https://github.com/xlladdins/xll to make it easy to create high-performance production quality add-ins for Excel. Giving a trader an add-in gets you a front row seat to their world. They will poke at it, tell you,"this is right, that is wrong, and, oh by the way, can you also make it do." During development the business logic gets pushed into platform independent C++ that can be linked into production systems written in any language. The numbers going into books and records are identical to what traders see in their spreadsheets.