Francis Longstaff

Allstate Professor of Insurance and Finance

Phone: (310) 825-2218


Francis A. Longstaff is a Certified Public Accountant (CPA) and a Chartered Financial Analyst (CFA). From 1995 to 1998, Professor Longstaff was head of Fixed Income Derivative Research at Salomon Brothers Inc. in New York. Professor Longstaff has also worked in the research department of the Chicago Board of Trade and for Deloitte and Touche as a management consultant.

His current research interests include the following:

1. Fixed income markets and term structure theory.
2. Derivative markets and valuation theory.
3. Credit risk.
4. Computational Finance.
5. Liquidity and its effects on prices and markets.
6. The role of arbitrage in financial markets.

Several of his recent term structure papers have focused on the expectations hypothesis. Recent papers in the area of derivatives have focused on the valuation of American options by simulation and on the valuation of interest rate derivatives in string models of the term structure. Other recent papers provide upper bounds on the size of discounts for lack of liquidity that can be sustained in financial markets and also examine the risk/return relationship for hedge funds investing in pure arbitrage opportunities when there are margin constraints. He has published nearly 40 articles in academic and practitioner journals.

Many of his valuation models have been used widely on Wall Street and throughout the global financial markets. He has extensive experience as a consultant for many Wall Street firms, mutual funds, hedge funds, commercial banks and other financial institutions, software developers and risk management firms, as well as in litigation support. He is a frequent speaker at practitioner seminars and conferences.

  • Francis A. Longstaff, Matthias Fleckenstein, and Hanno Lustig. (2014). Deflation Risk. [ Download ]
  • Francis A. Longstaff. (2014). Valuing Thinly-Traded Assets. [ Download ]
  • Francis A. Longstaff and Ilya A. Strebulaev. (2014). Corporate Taxes and Capital Structure. [ Download ]