Remind me
Speakers at Quant Congress Europe 2009
Keynote speakers:
Alexander Lipton, Managing Director, Head of the Global Quantitative Group, BANK OF AMERICA MERRILL LYNCH and Visiting Professor, Department of Mathematics, IMPERIAL COLLEGE
Alexander Lipton is a Managing Director and Co-Head of the Global
Quantitative Group at Bank of America Merrill Lynch, and a Visiting Professor of
Mathematics at Imperial College. Prior to his current role, he has worked at a
major hedge fund and several banks. Earlier, Alex was a Full Professor of
Mathematics at the University of Illinois and a Consultant at Los Alamos. In
2000 Alex became the first Quant of the Year. Alex is the author of two books
and the editor of three more. He has published numerous research papers and has
given dozens of invited lectures worldwide.
Damiano Brigo, Visiting Professor, IMPERIAL COLLEGE
Damiano will be assessing the impacts of volatilities and correlations on
bilateral counterparty risk valuation with hybrid models across different asset
classes.
Damiano Brigo is Managing Director in Fitch Solutions, and Visiting Professor at
the Dept. of Mathematics at Imperial College, London. Prior to this Damiano
worked as Head of Credit Models in Banca IMI and as Fixed Income Professor at
Bocconi University in Milan. He has published more than 40 works in Mathematical
Finance, Systems Theory, Probability and Statistics, and a book for Springer
Verlag that has become a field reference in stochastic interest rate modeling.
Bruno Dupire, Senior Researcher, BLOOMBERG
After having headed derivatives research teams at Société Générale, Paribas and Nikko FP where he was a Managing Director, Bruno joined Bloomberg L.P. in 2004. He is best known for his work on volatility modelling, including the Local Volatility Model (1993), simplest extension of the Black-Merton-Scholes model to fit all option prices, and subsequent results on stochastic volatility and volatility derivatives. His current interests include quantitative trading strategies and robust hedging.
Speaker panel:
Kanwardeep Ahluwahlia, Chief Risk Officer, SWISS RE
Bio to be provided
Carol Alexander, Professor of Financial Risk Management and Director of Research, ICMA CENTRE
Carol Alexander is Professor of Risk Management at the ICMA Centre. Prior to this post, she held positions in both academia and financial institutions at: Gemente Universiteit in Amsterdam; UBS Phillips and Drew; The University of Sussex; Algorithmics Inc. and Nikko Global Holdings. Carol was a lecturer in Mathematics and Economics for 13 years at Sussex University. From 1996 to 1998 she also worked part-time in the industry, as Academic Director of Algorithmics, a large international enterprise-wide risk management software company. Following this, she worked briefly as full-time Director of Nikko Global Holdings, before returning to Academia.
Arthur Berd, Head of OTC and Macro Vol Strategies, CAPITAL FUND MANAGEMENT SA
Bio to be provided
Marco Bianchetti, Senior Quant, Risk Management/ Market Risk, INTESA SAN PAOLO BANK
Marco Bianchetti is senior quant in the Market Risk Management, Pricing and
Financial Modelling area of Banca Intesa San Paolo, Italy. His recent work
focuses on model validation, model risk monitoring and on pricing and risk
analysis of interest rate and inflation
derivatives. Previously he worked for six years in the front-office financial
engineering area of Banca Caboto (now Banca IMI), developing pricing models and
applications for fixed income trading desks. He holds a M.Sc. and a Ph.D. in
theoretical physics from the University of Milan.
Dorje Brody, Reader in Mathematics, Department of Mathematics, IMPERIAL COLLEGE LONDON
Dorje Brody was born in Hong Kong, and later lived in Japan where he obtained his BSc in physics. He received his MSc and PhD degrees in theoretical physics from Imperial College London, and then held a research appointment in the Department of Applied Mathematics in Cambridge University, in conjunction with a Research Fellowship at Churchill College. He returned to Imperial as a Royal Society University Research Fellow, and subsequently obtained an RCUK Fellowship. He is now Reader in Mathematics, and he is a Lifetime Fellow of the Cambridge Philosophical Society. He is the author of "Modern Mathematical Theory of Finance", and has also co-authored some 80 papers.
Vladimir Chorniy, Head of Market and Counterparty Risk Analytics, Group Risk Management/ Risk Capital Markets, BNP PARIBAS
Bio to be provided
John Crosby, Visiting Professor of Quantitative Finance, GLASGOW UNIVERSITY
John will be addressing the rationale for approximating Levy processes by a
hyper-exponential jump-diffusion process.
John began his career by trading fx options. He then moved to Monis (formerly
London Business School Financial Software) where he researched and wrote their
pricing libraries for a very wide range of exotic options as well as co-writing
their three-factor Convertible bond model, which captured stochastic equity
prices, interest-rates and default risk. He has then worked at First Chicago,
Barclays Capital and Lloyds TSB Financial Markets where he has been responsible
for developing advanced models for pricing and risk-managing a wide-range of
complex derivatives. John is best known for publishing a number of papers on the
subject of pricing commodity derivatives using a multi-factor jump-diffusion
model. John is a visiting Professor of Quantitative Finance at Glasgow
University and an invited lecturer on the M.Sc. course in mathematical finance
at Oxford University
Patrick Hagan, Head, Quantitative Analytics, JPMORGAN
Bio to be provided
Tom Hyer, Head of Quantitative Analytics, UBS INVESTMENT BANK
Tom Hyer obtained a B.A. from Rice and a Ph.D. from Stanford before beginning his analytics career in fixed-income derivatives at Bankers Trust; he subsequently worked at First Union before joining UBS in 2001. He is perhaps best known as the author of “It’s About Forward Vol”, a seminal analysis of calibration techniques for interest rate models. At UBS, he is now responsible for modelling and desk quants across all asset classes.
Jessica James, Managing Director, Global Head of Quantitative Investor Solutions, FX, CITI
Dr. Jessica James is a Managing Director and Global Head of the Foreign
Exchange Quantitative Investor Solutions (QIS) team at Citi. The team develops
systematic FX alpha strategies for the global investor client base. Prior to her
role at Citi, Jessica headed the Currency Overlay business within Europe at Bank
One/
She began her career as a lecturer in Physics at Trinity, Oxford, and joined the
First National Bank of Chicago in 1994, initially as an interest rate
specialist. She published the book ‘Currency Management: Overlay and Alpha
trading’ in 2004, and the text book ‘Interest Rate Modelling’ in 2000.
David Jessop, Gloabl Head of Quant Research, UBS
David Jessop is the Global Head of Equities Quantitative Research at UBS. His areas of research include portfolio analysis and construction, style analysis and risk modelling. He also helps clients understand, use and implement the quantitative tools available from UBS. David joined UBS in 2002. Prior to this, he spent seven years at Citigroup as Head of Global Quantitative Marketing. Before moving to the sell side he spent six years at Morgan Grenfell Asset Management, where he managed index funds, asset allocation funds and also an option overwriting fund. David graduated from Trinity College, Cambridge with an MA in Mathematics.
Malcolm Kemp, Risk and Quantitative Finance Specialist, formerly THREADNEEDLE
Malcolm Kemp is a leading expert in risk and quantitative finance, with over 25 years experience in the financial services industry, and has recently written a book for Wileys on "Market Consistency" exploring how best to take account of "what the market has to say" in valuation, risk management and portfolio construction. He was until recently an Executive Director and Head of Quantitative Research at Threadneedle Asset Management. This role included responsibility for Threadneedle's derivatives, performance measurement, risk management, liability driven investment and other quantitative investment activities. Prior to working at Threadneedle, Malcolm was a partner at Bacon & Woodrow in their investment consultancy practice.
Valery A. Kholodnyi, Principal Qualitative Analyst, Risk Management, VERBUND AUSTRIAN POWER TRADING AG
Valery Kholodnyi is a Principal Quantitative Analyst with Verbund
Austrian Power Trading. Prior to this role he served as a Managing Director of
Quantitative Research and Risk Analytics at Platts, Director of Research at TXU
Energy Trading, and Director of Quantitative Analysis at Reliant Resources. He
authored four books and over a hundred research papers in finance, mathematics,
physics and engineering. He is a recipient of the 15th Anniversary Outstanding
Contribution to Energy Risk Award by the Energy Risk Magazine.
Dilip Madan, Professor of Mathematical Finance, Department of Finance, Robert H. Smith School of Business, UNIVERSITY OF MARYLAND
Bio to be provided
Richard Martin, Head of Quantitative Strategies, AHL/ Man Investments
Richard Martin is Head of Quantitative Credit Strategies at AHL, part of Man Investments Ltd, based in London. Previously to that he ran Quantitative Credit Strategy at Credit Suisse, and Fixed Income Capital Management at BNP Paribas. In the last few years his main interests have been the application of quantitative methods to trading vanilla credit and structured credit. He was awarded Quant of the Year by Risk Magazine in 2002.
Attilio Meucci, Head of Research, Bloomberg ALPHA, Portfolio Analytics and Risk
Attilio Meucci leads the research effort of ALPHA, the portfolio analytics
and risk platform at Bloomberg. Concurrently he is adjunct professor at the
graduate program in mathematical finance of the Courant Institute - NYU.
Previously, Attilio was a researcher at Lehman Brothers, a trader at the hedge
fund Relative Value
International, and a consultant at Bain & Co.
Attilio is the author of Risk and Asset Allocation - Springer and several other
publications in practitioners and academic journals. He teaches graduate courses
on quantitative risk- and portfolio-management worldwide and he is frequently
invited as a speaker to conferences, financial institutions and universities.
Attilio Meucci holds a BA summa cum laude in Physics from the University of
Milan, a MA in Economics from Bocconi University, a PhD in Mathematics from the
University of Milan and he is CFA chartholder.
Christian Meyer, Quantitative Analyst Portfolio Modelling, Controlling, DZ BANK AG
Dr. Christian Meyer is Quantitative Analyst in the Portfolio Modelling Team for Market and Credit Risk in the Risk Controlling Unit of DZ BANK AG in Frankfurt. Prior to joining DZ BANK AG he was working for KPMG where he dealt with various aspects of Risk Management Systems in the Banking Industry. He holds a diploma and PhD in Mathematics.
Dariush Mirfendereski, Managing Director, Head of Inflation-linked trading, UBS
Massimo Morini, Head of Credit Models and Coordinator of Financial Modelling Research, Financial Engineering, BANCA IMI
Massimo holds a PhD in Mathematics and a MSc in Economics. He is Head of Credit Models and coordinator of financial modelling research at IMI Bank of Intesa San Paolo. Massimo is Professor of Fixed Income at Bocconi University. He was Research Fellow at Cass Business School of London City University. He also teaches at Polytechnic of Milan and Bologna University. Massimo's papers appeared on journals including Risk Magazine, Applied Mathematical Finance, the Journal of Derivatives.
Andrea Pallavicini, Head of Financial Engineering, BANCA LEONARDO
Andrea Pallavicini is Head of Financial Engineering at Banca Leonardo in Milan. Previously, he worked as Head of Equity and Hybrid Models in Banca IMI, working also on dynamical loss models, interest-rate derivatives, smile modelling and counterparty risk.
He obtained a Degree in Astrophysics in 1995, and a Ph.D. in Theoretical and Mathematical Physics in 1999 from the University of Pavia.
Peter Quell, team head of Portfolio Modelling, Controlling, DZ BANK AG
Dr. Peter Quell is Head of the Portfolio Modelling Team for Market and Credit Risk in the Risk Controlling Unit of DZ BANK AG in Frankfurt. Prior to joining DZ BANK AG he was Manager at dfine GmbH where he dealt with various aspects of Risk Management Systems in the Banking Industry. He holds a MSc. in Mathematical Finance from Oxford University and a PhD in Mathematics.
Dr. Riccardo Rebonato Global Head of Market Risk, Global Banking and Markets, RBS
Dr. Riccardo Rebonato is Global Head of Market Risk and Head of Analytics at RBS, Visiting Lecturer at Oxford University (Mathematical Finance) and Adjunct Professor at Imperial College (Tanaka Business School). He is also the author of several books including The Plight of the Fortune Tellers (2007) and The Perfect Hedger and the Fox (2004).
Andrea Roncoroni, Professor of Finance, ESSEC BUSINESS SCHOOL Paris – Singapore
Andrea Roncoroni is associate professor of finance at ESSEC Business School (Paris-Singapore) and regular lecturer at Bocconi University (Milan). He holds PhD's in applied mathematics and in finance. His research interests cover energy and commodity finance, risk management, financial modeling, and derivative structuring. He consults for private companies and lectures for private and public institutions. He regularly publishes on academic journals and is author, with G.Fusai, of the book “Implementing Models in Quantitative Finance: Methods and Cases” (2008, Springer Finance) and the forthcoming monograph “Handbook of Multi-Commodity Markets and Products” (Wiley&Sons).
Vassilios Siokis, Chief Risk Officer, CHEYNE CAPITAL MANAGEMENT (UK)
Wim Schoutens, Research Professor, Catholic University of Leuven
Wim Schoutens has a degree in Computer Science and a PhD in Science,
Mathematics. He is a research professor in the Department of Mathematics at the
Catholic University of Leuven, Belgium.
He is a regular independent consultant and trainer to the banking industry on
equity modeling, structured products, credit derivatives, and other financial
engineering problems. He has been the in-house trainer for the Equity Exotics
and Structures Intensive Goldman Sachs course. His research interests cover all
areas of financial Mathematics, in particular Lévy jump models.
Franck Viollet, Director, Equity Derivatives Quantitative Analytics, BARCLAYS CAPITAL
Bio to be provided
Sascha Wilkens, Quantitative Analyst, Market and Counterparty Risk Analytics, BNP PARIBAS
Sascha Wilkens is responsible for the credit derivatives market and counterparty risk model development at BNP Paribas. Prior to his current position, he was heading the financial risk engineering for equity derivatives at a European commercial bank and worked as a model validation consultant for an inter¬national financial advisory firm. Sascha is a CFA charterholder and holds a PhD in Finance. He has pub¬lished a range of papers in inter¬national academic finance journals.
