Matthias Heymann

Former Market Data Scientist at Millennium

Speaker

Matthias Heymann has a PhD in mathematics from the Courant Institute at New York University and was an Assistant Research Professor at Duke University’s Mathematics Department. During his academic career, he specialized in probability theory and made contributions related to Wentzell–Freidlin theory, including his monograph “Minimum Action Curves in Degenerate Finsler Metrics – Existence and Properties” published in Springer’s “Lecture Notes in Mathematics” series. Since 2010, he has worked as a quantitative analyst in various risk-related roles in New York City’s finance industry, first at Goldman Sachs and later at Millennium Management.

In 2013, he was introduced to a powerful new interest rate model developed by Gregory Pelts, the Adaptive Curve Evolution (ACE) model, which relied on several groundbreaking mathematical techniques borrowed from theoretical physics. Recognizing the importance of making this model accessible to a broader audience, in 2014–2018 he developed a much simpler equivalent formulation of the model that requires only Master's-level mathematical skills to understand, and for those with PhD-level mathematical skills, he wrote a detailed model derivation based on Pelts’ original ideas that carefully introduces the reader to all the required advanced techniques. In 2020, he extended the model to cover the rates of multiple currencies and their exchange rates.

His book, “The Adaptive Curve Evolution Model for Interest & FX Rates,” is available on Amazon.