dr alan brace

Dr. Alan Brace

Numerix Quantitative Advisory Board

Dr. Alan Brace is currently a Senior Quantitative Analyst in Market Risk for National Australia Bank and an honorary Adjunct Professor in the School of Finance and Economics at the University of Technology Sydney. Previously, he served similar roles at BNP Paribas and Citibank, and has also provided consultation services through his private company, FMMA.

Dr. Brace is a co-author of the paper, “The Market Model of Interest Rate Dynamics” (A. Brace, D. Gatarek, M. Musiela, Mathematical Finance, 1997, Vol. 7, No. 2, pp. 127-155), which introduced an interest rate model generally known as the “BGM Model” that is now widely used in the derivatives market.