ICBI is part of the Knowledge & Networking Division of Informa PLC

This site is operated by a business or businesses owned by Informa PLC and all copyright resides with them. Informa PLC's registered office is 5 Howick Place, London SW1P 1WG. Registered in England and Wales. Number 3099067.


Global Derivatives Trading & Risk Management

The World's Largest Quant Finance Conference

9 - 13 May 2016

InterContinental Budapest

Saeed Amen is managing director and co-founder of the Thalesians. He has a decade of experience creating and successfully running systematic trading models at Lehman Brothers and Nomura. Independently, he runs a systematic trading model with proprietary capital. He is the author of Trading Thalesians – What the ancient world can teach us about trading today (Palgrave Macmillan). He graduated with a first class honours master’s degree from Imperial College in Mathematics & Computer Science.


Leif B. G. Andersen is the Global Co-Head of The Quantitative Strategies Group at Bank of America Merrill Lynch, and is an adjunct professor at NYU’s Courant Institute of Mathematical Sciences and CMU’s Tepper School of Business.  He holds MSc's in Electrical and Mechanical Engineering from the Technical University of Denmark, an MBA from University of California at Berkeley, and a PhD in Finance from Aarhus Business School.  He was the co-recipient of Risk Magazine’s 2001 Quant of the Year Award, and has worked for more than 20 years as a quantitative researcher in the derivatives pricing area.  He has authored influential research papers and books in all areas of quantitative finance, and is an Associate Editor of Journal of Computational Finance.


Jesper Andreasen heads the Quantitative Research Department at Danske Bank in Copenhagen. Prior to this, Jesper has held senior positions in the quantitative research departments of Bank of America, Nordea, and General Re Financial Products. Jesper’s research interests include term structure models, volatility smiles, and numerical methods, and he has published extensively within these areas. Jesper holds a PhD in mathematical finance from Aarhus University, Denmark. He received Risk Magazine’s Quant of the Year awards in 2001 and 2012, joint with Leif Andersen and Brian Huge respectively, and is an honorary professor of mathematical finance at Copenhagen University.

Fabrizio is heading the collateralised exposure modelling team in the Investment Banking Division of Credit Suisse.

His areas of expertise are counterparty credit risk, market and credit risk modelling, derivative pricing and regulatory capital. The main focus of his activity is the development of stochastic MC models for exposure calculation of cleared OTC and exchange traded derivatives, as well as other regulatory driven methodologies. Fabrizio is co-chairing the master’s courses on Counterparty Credit Risk of the quantitative finance programs of the ETH in Zurich and of the University L. Bocconi in Milan. Fabrizio holds a Ph.D. in Theoretical Physics and has authored numerous research articles in peer-reviewed journals in the fields of Quantitative Finance and Condensed Matter Physics.


Hamid is a Risk Manager at Royal Bank of Canada and a Finance Lecturer at Ryerson University. He has experience working across all asset classes and has done both theoretical and practical work in quantitative finance. Hamid teaches in modern portfolio theory and portfolio optimization as well as mathematical and numerical techniques for pricing and hedging derivatives. His main research interests are Risk Management and Modern Portfolio Management. Hamid holds a PhD in Financial Mathematics from University of Toronto, where he wrote a thesis on Stochastic Correlation and Credit Risk Models.


Laura's research interests are in the areas of Mathematical Finance, Risk Management, and Financial Engineering, with particular focus on problems of practical relevance in current financial markets conditions, such as Counterparty Credit Risk (CCR) valuation and collateral design, and development of realistic models for the dynamics of the relevant risk drivers which also recognize the interdependence in place between them.

Laura Ballotta obtained her PhD in Mathematical and Computational Methods for Economics and Finance from the Università degli Studi di Bergamo (Italy). She has previously held positions at Università Cattolica del Sacro Cuore, Piacenza (Italy), and Department of Actuarial Science and Statistics, City University London (UK). Laura graduated with a BSc in Economics from Università Cattolica del Sacro Cuore, Piacenza (Italy), and a MSc in Financial Mathematics from the University of Edinburgh - jointly awarded with Heriot-Watt University (UK).



Nick Baltas is an Executive Director within the Global Quantitative Research group at UBS. His research interests include systematic cross-asset strategies, portfolio construction, risk analysis and performance evaluation. Nick joined UBS in February 2013 and since then he additionally maintains visiting positions at Imperial College Business School and Queen Mary University of London. His research has been awarded with numerous grants and prizes and quoted by the financial press. Prior to his current role, Nick spent two years as Lecturer in Finance at Imperial College Business School, when he was awarded the Star Teacher of the Year award for two consecutive years (2010/11, 2011/12) in recognition of his teaching, and almost a year as risk manager in a London-based hedge fund. He holds a DEng in electrical and computer engineering from the National Technical University of Athens, an MSc in communications & signal processing from Imperial College London and a PhD in finance from Imperial College Business School.


Russell Barker is a director in Bank of America Merrill Lynch’s Quantitative Solutions Group. Russell worked as a Quantitative Analyst for fourteen years specialising in Interest Rate and FX Exotic Options before moving into his current role modelling enterprise level quantitative issues. His current interests include modelling the complex interactions between CCPs and their members; the trade off between default and liquidity risk; and the systemic risk inherent to the cleared universe.  Before moving into finance he gained his DPhil and spent several years lecturing in Pure Mathematics at Oxford University.


Martin Baxter is the Global Head of Quantitative Research at Nomura. He is also one of the leading authors of ISDA’s SIMM model for bilateral initial margin and is involved with ISDA’s regulatory engagement on SIMM. He has experience of complex derivative modelling across asset classes, as well as engineering implementations to achieve fast adjoint risks throughout Nomura’s analytics library. Prior to Nomura, he was an assistant lecturer in Pure Mathematics at Cambridge, where he was also awarded his PhD. He is co-author with Andrew Rennie of the best-selling derivatives textbook “Financial Calculus”.


Dr. Evren Baysal is a Director, Senior Quantitative Financial Analyst at Bank of America.  He received his PhD from Northwestern University in financial engineering and stochastic modeling & analysis. He started his professional career at Quantitative Risk Management in 2008. After joining CME Group in 2012, Evren lead risk modeling of cleared credit default swaps until he joined Bank of America in 2015. Evren is a co-inventor of various issued and pending patents in risk management of cleared over-the-counter derivatives.


Originally trained in electrical engineering and theoretical physics, Lorenzo Bergomi is well known for his contributions to smile modeling, for which he was awarded the Quant of the Year prize by Risk Magazine in 2009. A quant for over 15 years, he has spent most of his career in Société Générale’s equity derivatives division, then taking over all asset classes 6 years ago.

His book, Stochastic Volatility Modeling, recently published by CRC/ Chapman & Hall, provides a clear practitioner’s account of smile modeling and of modern techniques for addressing it. A wealth of modeling issues arising in the risk-management of exotics are covered in the author’s trademark style – a blend of out-of-the-box thinking  and constant focus on the practical consequences of modeling choices.


Marco Bianchetti joined the Market Risk Management area of Intesa Sanpaolo in 2008. His recent work covers derivatives’ pricing and risk management across all asset classes, with a focus on new products development, model validation, model risk management, interest rate modelling, funding and counterparty risk. Previously he worked for 8 years in the front office Financial Engineering area of Banca Caboto (now Banca IMI), developing pricing models and applications for interest rate and inflation trading desks. He is a speaker at international conferences and trainings in quantitative finance. He holds a M.Sc. in theoretical nuclear physics and a Ph.D. in theoretical condensed matter physics.


Dr. Paul Bilokon is CEO, Chairman, and Founder of Thalesians Ltd and a Director in Markets Electronic Trading at Deutsche Bank, leading the core and credit quant teams. Previously to this, he has worked in algorithmic trading and quantitative finance at Citigroup, Nomura, Lehman Brothers, and Morgan Stanley. Paul has been educated at Christ Church College, Oxford, and Imperial College.





Dr Svetlana Borovkova is currently an Associate Professor of Quantitative Finance at the Vrije Universiteit Amsterdam, where she is the program director of the Quantitative Risk Management honours program. Dr Borovkova’s research ranges from  commodity finance to exotic derivatives, news analytics and various aspects of financial risk. She is also a researcher at the Dutch Central Bank, where she is specializes in issues related to financial stability, systemic risk, financial networks and central clearing. Dr Borovkova is an expert in news analytics for finance and a preferred consultant of Thomson Reuters. She is a frequent invited speaker on international finance and energy conferences, such as Global Derivatives, Bachelier Congress for Mathematical Finance, Behavioral Finance and Sentiment Analysis. Previously she held positions in Delft University of Technology and in Shell Trading, London. She got her PhD in 1998 from the University of Groningen, The Netherlands, and Oregon State University, USA, for analysis of nonlinear and chaotic time series, and MSc degrees in computer science and in mathematics from Moscow and Utrecht. 


Sébastien Bossu is currently Principal at Ogee Group LLC in New York where he runs a startup hedge fund that delivered a 40% net return in 2012-2015; and Adjunct Professor of Finance at Pace University. Sébastien has ten years’ experience in banking and the financial industry at institutions such as J.P. Morgan, Dresdner Kleinwort and Goldman Sachs. An expert in derivative securities, he has published several papers and textbooks in the field and is a regular speaker at Global Derivatives. He is a graduate from The University of Chicago, HEC Paris, Columbia University and Université Pierre et Marie Curie

Hans Buehler has been working in Equity Quantitative Research since 2001, when he started as an intern in Deutsche Bank’s Equity Derivatives team.

He became global head of that team in 2006, and moved to JPMorgan in Hong Kong in 2008. Hans now runs globally Equities and Prime Quantitative Research in JPMorgan, covering electronic trading, cash, derivatives, financing, prime, and clearing.

He studied Mathematics at Humboldt University to Berlin, and holds a PhD in Financial Mathematics from Technical University in Berlin.

Hans is based in London.


Emanuel is Head of Quantitative Research and Development at ecamos since February 2014. After starting his career in Geneva at Banque Privée Edmond de Rothschild as a Financial Analyst, he joined SIGLO Capital Advisors in Zurich in 2009. In his role as Portfolio Advisor he was responsible for the implementation of convex investment strategies as well as cross-asset tail hedging. In 2012 he co-founded Linard Capital, a company focused on developing systematic trading strategies, where he served as Head of Quantitative Research and Development. Emanuel holds a M.Sc. in Mathematics from the University of Lausanne as well as a Diploma of Advanced Studies in Applied Statistics from the Swiss Federal Institute of Technology Zurich. Additionally he is a holder of the Chartered Alternative Investment Analyst designation.


Luca Capriotti is a Managing Director at Credit Suisse, based in London, where he works in Quantitative Strategies (QS) and he is responsible for Credit Products in Europe, and globally for Corporate Bank and Treasury. Previous to this role, he was US head of QS Global Credit Products, he has worked in Credit and Commodities Exotics in New York and London and in cross-asset modeling R&D in the London office. 

Luca is also visiting professor at the Department of Mathematics at University College London. His current research interests are in the field of Credit Models and Computational Finance, with a focus on efficient numerical techniques for Derivatives Pricing and Risk Management, and applications of Adjoint Algorithmic Differentiation (AAD) for which he holds a US Patent. 

Luca gives regularly gives seminars and courses worldwide. He has served as supervisor and external examiner for Master and PhD programs and as referee for several scientific publications.

Prior to working in Finance, Luca was a researcher at the Kavli Institute for Theoretical Physics, Santa Barbara, California, working in the field of High Temperature Superconductivity and Quantum Monte Carlo methods for Condensed Matter systems.

Luca has been awarded the Director's fellowship at Los Alamos National Laboratory, the Wigner Fellowship at Oak Ridge National Laboratory, and he has published over 60 scientific papers, with the top 2 papers collecting to date over 500 citations (h factor 21).

Luca holds a M.S. cum laude in General Physics from University of Florence (1996), and an M.Phil. and Ph.D. cum laude in Condensed Matter Theory, from the International School for Advanced Studies, Trieste (2000).





Marcos Costa Santos Carreira is co-author (with Richard John Brostowicz) of “Brazilian Derivatives and Securities - Pricing and Risk Management of FX and Interest-Rate Portfolios for Local and Global Markets” (Palgrave MacMillan, 2016). He currently lectures at the MECAI Professional Masters course in Mathematical Finance at ICMC-USP.

Marcos was formerly responsible for Market and Counterparty Risk at HSBC Brazil. Previously he was the Technical Modeling Officer at BM&FBovespa, responsible for developing models for monitoring and for defining the pricing policy of markets in general and High Frequency Trading in particular, and for contributing in the modeling of risk and pricing of both listed and OTC products. At Credit Suisse Brazil, he was a Managing Director in charge of the FX and IR Options desk, after being the Risk Manager responsible for Market, Counterparty and Liquidity Risks. He started his career in Finance/Product Control at Banco de Investimentos Garantia. Mr Carreira holds an engineering degree from Instituto Tecnológico de Aeronáutica (1993), is part of the 2016 class of the Professional Masters in Economics at Insper and has 22 years of experience in the Brazilian Financial Markets.


Andrey Chirikhin is currently Head of Modelling and Quantitative Analytics for L1 Treasury, part of a USD 25bn privately held investment vehicle LetterOne.  

Prior to LetterOne, Andrey was MD and Head of CVA and CCR quantitative Analytics at RBS.  There he has created and run the front office cross asset CVA quant team.  He also restructured and led the risk-side quant team charged with delivering a new Basel III compliant internal CCR methodology.  The system utilizing the newly delivered methodology has won the 2013 Internal System of the year Risk award.

In his 20 year career in investment banking, Andrey held several leadership and senior quant positions at Goldman Sachs, HSBC and Dresdner Kleinwort.  Andrey Chirikhin holds PhD in Theoretical Statistics from Warwick University (UK), MBA from INSDEAD and MSc in Applied Mathematics from  Moscow Institute for Physics and Technology (Phystech).


Vladimir Chorniy started his career in finance as a founding member and later led Credit Risk Analytics team in Barclays Capital. In 2006 he joined BNP Paribas, where he headed Risk Methodology and Analytics team responsible for methodologies covering counterparty risk (EE/PFE models), market risk (VAR, IRC, CRM), credit value adjustment, capital calculations and exotic derivative treatment. His next role was Head of Risk Modelling Strategy for Group Risk Management. In his current position as Senior Technical Lead he takes responsibility for strategic projects such as FRTB, IHC and margined trading. Vladimir holds a Ph.D. in Physics from Cambridge University.



John is best known for being an fx options trader, for developing derivatives pricing models across all asset classes for a number of leading investment banks including Barclays Capital, Lloyds and UBS and for publishing several papers in the areas of commodities and option pricing.

John is a Managing Director at Grizzly Bear Capital. He is also a visiting Professor of Finance at Glasgow University Adam Smith Business School and an invited lecturer on the M.Sc. course in Mathematical Finance at Oxford University

Dr. Aubrey de Grey is a biomedical gerontologist and Editor-in-Chief of Rejuvenation Research, the world’s highest-impact peer-reviewed journal focused on intervention in aging. His research interests encompass the characterisation of all the accumulating and eventually pathogenic molecular and cellular side-effects of metabolism (“damage”) that constitute mammalian aging and the design of interventions to repair and/or obviate that damage. He has developed a possibly comprehensive plan for such repair, termed Strategies for Engineered Negligible Senescence (SENS), which breaks aging down into seven major classes of damage and identifies detailed approaches to addressing each one. A key aspect of SENS is that it can potentially extend healthy lifespan without limit, even though these repair processes will probably never be perfect, as the repair only needs to approach perfection rapidly enough to keep the overall level of damage below pathogenic levels. Dr. de Grey has termed this required rate of improvement of repair therapies “longevity escape velocity”.


Michael A H Dempster, Professor Emeritus and Founder, Centre for Financial Research, Department of Pure Mathematics and Statistics, University of Cambridge.

Educated at Toronto, Carnegie Mellon and Oxford, Michael Dempster has taught and researched in leading universities on both sides of the Atlantic, including Oxford, Cambridge, Stanford, California-Berkeley, Princeton, Toronto, Melbourne and Rome. He was the first Professor of Finance at the Cambridge Judge Business School and is currently founding Editor-in-Chief of Quantitative Finance and an Associate Editor of Stochastics, Computational Finance and the Journal of Risk Management in Financial Institutions. Michael is founding Editor-in-Chief of the Oxford Handbooks in Finance and founding Co-Editor of the Chapman & Hall /CRC Mathematical Finance Series. He has been consultant to a number of global financial institutions and corporations and several governments and is regularly involved in research presentations and executive education in financial engineering and risk management around the world.  Author of over 110 published research articles in leading international journals; his books include Introduction to Optimization Methods (with P R Adby), Stochastic Programming, Large Scale Linear Programming (with G B Dantzig and M Kallio), Derivative Securities (with S R Pliska), Risk Management: Value at Risk and Beyond, Quantitative Fund Management (with G Mitra and G Pflug), Stochastic Optimization in Finance and Energy (with M Bertocchi and G Consigli), The Euro in Danger (with J S Chadha and D S Pickford) and Commodities (with Ke Tang). His work has won several awards and he is an Honorary Fellow of the UK Institute of Actuaries, a foreign member of the Academia Nationale dei Lincei (Italian Academy) and Managing Director of Cambridge Systems Associates Limited, a financial analytics consultancy and software company.



Dr. Vasil S. Denchev is a Software Engineer at Google's Quantum Artificial Intelligence Lab. He has a PhD in Computer Science from Purdue University. Vasil's PhD work gave impetus to the founding in 2013 of the Quantum Artificial Intelligence Lab by pioneering several important techniques allowing for the successful application of quantum annealing to statistical machine learning theory and computer vision. Currently Vasil is studying the computational effects of quantum tunneling via experimentation with the existing D-Wave quantum processors as well as large-scale numerical simulations of various quantum and classical computational models. Vasil is also working on designing next-generation quantum annealers whose goal is to be significantly outperforming classical computing machinery on generic optimization problems of widespread practical interest.


Alexander is the founder of Global Graph Analytics, a company aimed at promoting the use of graphical models in risk management and asset allocation. He has more than 12 years of experience in Finance and covered different specialist and managerial positions in risk management departments in large international groups such as Royal Bank of Scotland, European Investment Bank, National Bank of Greece and Societe Generale.

Alexander holds degrees in Mathematical Finance (University of Oxford) where, after graduating, he taught Bayesian risk management. He also holds

a BSc and MSc in Engineering Physics (University of Rome). He writes papers on topics ranging from stress testing to asset allocation. He co-authored the book “Portfolio Management under Stress” and authored the newly released “Probabilistic Graphical Models: A New Way of Thinking in Financial Modelling”.


Emanuel Derman is a professor at Columbia University, where he directs their program in financial engineering. He was born in South Africa but has lived most of his professional life in Manhattan. He started out as a theoretical physicist, doing research on unified theories of elementary particle interactions. At AT&T Bell Laboratories in the 1980s he developed programming languages for business modeling. From 1985 to 2002 he worked on Wall Street where he co-developed the Black-Derman-Toy interest rate model and the local volatility model. His latest book is Models.Behaving.Badly: Why Confusing Illusion with Reality Can Lead to Disasters, On Wall Street and in Life, one of Business Week’s top ten books of 2011. He is also the author of My Life As A Quant, also one of Business Week's top ten of 2004, in which he introduced the quant world to a wide audience. 


Bruno Dupire is head of Quantitative Research at Bloomberg L.P., which he joined in 2004. Prior to this assignment in New York, he has headed the Derivatives Research teams at Société Générale, Paribas Capital Markets and Nikko Financial Products where he was a Managing Director. He is best known for having pioneered the widely used Local Volatility model (simplest extension of the Black-Scholes-Merton model to fit all option prices) in 1993 and the Functional Itô Calculus (framework for path dependency) in 2009. He is a Fellow and Adjunct Professor at NYU and he is in the Risk magazine “Hall of Fame”. He is the recipient of the 2006 “Cutting edge research” award of Wilmott Magazine and of the Risk Magazine “Lifetime Achievement” award for 2008.


Zoltan Eisler is co-Head of Execution at Paris-based hedge fund Capital Fund Management, where he was formerly Portfolio Manager of Directional Strategies, and where he has worked since 2007. He is jointly responsible for the research and development of both automated and voice-based trading systems and execution algorithms. His applied research also includes short-term prediction of derivative prices, option portfolio management and high-frequency execution. His recent academic work focuses on short-term liquidity effects and price impact. He holds a PhD in Physics from the Budapest University of Technology and Economics and is the author of 20 academic publications

Youssef Elouerkhaoui is a Managing Director and the Global Head of Credit and Commodities Quantitative Analysis at Citi. His group supports all modelling and product development activities across businesses. He is also in charge of CVA, Funding and Regulatory Capital for his businesses. Prior to this, he was a Director in the Fixed Income Derivatives Quantitative Research Group at UBS, where he was in charge of model development for the Structured Credit Desk. Before joining UBS, Youssef was a Quantitative Research Analyst at Credit Lyonnais supporting Interest Rates Exotics. He is a graduate of Ecole Centrale Paris and he holds a PhD in Mathematics from Paris-Dauphine University.


Walter Farkas is a Professor of Quantitative Finance at the Department of Banking and Finance at the University of Zurich and an associate faculty member of the Department of Mathematics of ETH Zürich. Since 2013 he is also a faculty member of the Swiss Finance Institute (SFI) - a network of all Finance and Finance related professors from Universities from Switzerland, being member of their Knowlegde Catalyst Team, an industry placement program for Master’s students at SFI academic partner institutions. Prof. Farkas is also the program director of the Master of Science in Quantitative Finance, a degree jointly offered by ETH Zurich and the University of Zurich since 2003 and in this role he developed an extensive network with senior representatives from the Financial Services Industry in Zurich. In 2014 Prof Farkas launched AAAccell GmbH, www.aaaccell.ch a spin-off company of the University of Zurich, with the aim of identifying, converting and transfering top research results from ETH and University of Zurich into the Financial market.

David is head of EMEA Linear Quantitative Research group, which focuses on developing agency trading algorithms and supporting models for Futures and Equities.

He was formerly running the algorithmic trading group at Liquidnet, and prior to that at Miletus Trading.  He started in algorithmic trading at ITG in 1998, and has
been involved in the study of algo design ever since.  His team’s area of current research is on modelling high-frequency market impact, signals, order queue modelling,
and reinforcement learning to optimise limit order placement.  He holds a B.Sci in Chemistry from Manhattan college and has written on an application of particle filters
to the field.


Andy Flury is CEO and lead architect at AlgoTrader GmbH the producer of the algorithmic trading software AlgoTrader. AlgoTrader lets trading firms automate complex, quantitative trading strategies in forex, options, futures, stocks, ETFs and commodities markets.

Before starting AlgoTrader Andy Flury was partner and Head of Algorithmic Trading at Linard Capital AG, a small Swiss hedge fund, where he was responsible for the definition, implementation, operation and monitoring of quantitative trading strategies.

Andy Flury holds a Masters in Industrial Management and Manufacturing Engineering from ETH Zurich and an Executive MBA from the University of St. Gallen.


Matteo Formenti joined the Group Internal Validation in the Market Risk Unit of UniCredit in 2013. Previously he worked for 3 years in Deloitte Consulting developing the methodology and IT design of backtesting applied to the Internal Model for Counterparty Credit Risk of a major Italian bank.

He holds a M.Sc. in Economics and a Ph.D. in Finance.


Jim Gatheral is Presidential Professor of Mathematics at Baruch College, CUNY teaching mostly courses in the Masters of Financial Engineering (MFE) program. Prior to joining the faculty of Baruch College, Jim was a Managing Director at Bank of America Merrill Lynch, and also an adjunct professor at the Courant Institute, NYU. His current research focus is on volatility modeling and modeling equity market microstructure for algorithmic trading. His best-selling book, The Volatility Surface: A Practitioner's Guide (Wiley 2006) is one of the standard references on the subject of volatility modeling

Helyette Geman is the Director of the Commodity Finance Centre at the University of London and Research Professor at Johns Hopkins University. She is a Graduate of Ecole Normale Supérieure in Mathematics, holds a Masters degree in Theoretical Physics and a PhD in Probability and a PhD in Finance.

Professor Geman has been a scientific advisor to major financial institutions, energy and mining and commodity companies for the last 21 years, covering the spectrum of equities, interest rates, electricity, crude oil and natural gas, metals and agriculturals, including fertilizers and land. She was Head of Research at Caisse des Depôts in Paris and later, at EDF Trading in London, and has published more than 145 papers in top international finance Journals. She received in 1993 the first Prize of the Merrill Lynch Awards for her work on exotic derivatives pricing; in 1994 the first AFIR (Actuarial Approach for Insurance Risk) prize for her work on catastrophic risk.  She became in 1993 a Member of Honour of the French Society of Actuaries and was in 2000 the first President of the Bachelier Finance Society.

Prof Geman was named in 2004 in the Hall of Fame of Energy Risk. Her books include “Insurance and Weather Derivatives” published in 1999 by RISK books, Commodities and Commodity Derivatives: Energy, Metals and Agriculturals published by Wiley Finance in 2005, which has become the reference in the field and is used in all Commodities Master programmes worldwide; and Risk Management in Commodity Markets: from Shipping to Agriculturals and Energy, also published by Wiley Finance in 2009.

Prof Geman became in 2010 a Scientific Advisor to the European Union on the subject of Commodities. She has been since 2007 member of the Board of the UBS- Bloomberg Commodity Index. She published in January 2015 the book ‘Agricultural Finance: from Crops to Land, Wate rand Infrastructure’.


Alexander Giese is a Managing Director and the Head of Equity & Commodity Quants at UniCredit. Prior to joining UniCredit in 2002, Alexander worked as a repo trader at Deutsche Bank. He graduated in financial mathematics from Technical University Berlin and also MSc in financial mathematics from Florida State University. His main research interests include stochastic volatility models, hybrid models and static hedging.



Paul Glasserman is the Jack R. Anderson Professor of Business at Columbia University, where he serves as research director of the Program for Financial Studies.  Since 2011, he has also served as a  consultant to the Office of Financial Research, an independent agency within the U.S. Treasury Department focused on financial stability. He also serves as a member of the risk committee of a major CCP.  He is a past recipient of Risk magazine’s Quant of the Year Award.


Andrew Green has headed the CVA / FVA Quantitative Research team at Lloyds Bank since 2008. The team are focused on the development of models for CVA, FVA, capital and initial margin management. Prior to joining Lloyds, he established and headed a CVA Quant team at Barclays Capital. Mr. Green joined Barclays in 1996 and held a number of roles in Quantitative Research and Development in equity and fixed income derivatives. He holds a DPhil in physics from Oxford University. Andrew is the author of “XVA: Credit, Funding and Capital Valuation Adjustments” published by Wiley.

Andrei Greenberg started his career as a credit derivatives quant at Lehman Brothers in 2002, before moving to Rabobank to help set up a credit correlation trading desk there. In the aftermath of the credit crunch of 2008, Andrei worked in the risk analytics team at BNP Paribas, where he developed the model for calculating the CRM capital charge for credit correlation trading. Following that, Andrei spent 3 years as a fixed income desk quant at UBS, focussing on a broad range of topics including vanilla rates, exotic FX, multiple-component curve construction and funding models, and emerging markets derivatives. Back at BNP Paribas since 2013, he is currently heading a team within market and counterparty risk methodologies that is in charge of transversal (cross-product) aspects.

Andrei holds a diplom in Mechanics and Applied Mathematics from Moscow University, and a Ph.D. in Applied and Computational Mathematics from California Institute of Technology.


Julien is a senior quantitative analyst in the Quantitative Research group at Bloomberg L.P., New York. He is also an adjunct professor in the Department of Mathematics at Columbia University and at the Courant Institute of Mathematical Sciences, NYU. Before joining Bloomberg, Julien worked in the Global Markets Quantitative Research team at Societe Generale in Paris for six years (2006-2012), and was an adjunct professor at Universite Paris 7 and Ecole des ponts. He co-authored the book Nonlinear Option Pricing (Chapman & Hall, CRC Financial Mathematics Series, 2014) with Pierre Henry-Labordere. His main research interests include nonlinear option pricing, volatility and correlation modeling, and numerical probabilistic methods. Julien holds a Ph.D. in Probability Theory and Statistics from Ecole des ponts. He graduated from Ecole Polytechnique (Paris), Universite Paris 6, and Ecole des ponts. A big football fan, Julien has also developed a strong interest in sports analytics, and has published several articles on the FIFA World Cup, the UEFA Champions League, and the UEFA Euro in top-tier newspapers such as The New York Times, Le Monde, and El Pais, including a new, fairer draw method for the FIFA World Cup.


Patrick S. Hagan received his BS and Ph.D. in Applied Math from Caltech, where he graduated at the top of his class. He has headed research teams for several banks and third party software providers, designing trading systems and developing the component models, calibration methods, and numerical algorithms for pricing, structuring, and managing derivatives. He is well-known for originating several widely used models and methodologies, including the SABR model, the LGM model, auto-calibration, and internal and external adjustors.

Before entering finance, he helped design chemical reactors for Exxon, was a scientist for Los Alamos’s Theory and Computer Research & Applications groups, and was the Deputy Director for Los Alamo’s Center for Nonlinear Science. There he created a new technique, half range expansions, and used it to solve Uhlenbeck’s Unsolved problem B and the generalized Milne problem. Besides teaching short courses in industrial foums, he has taught post-graduate courses at Stanford, Caltech, and Courant Institute (NYU), and is an adjunct professor at several institutions.


Ola Hammarlid is Head of Quantitative Research at Swedbank Markets, where he has been working in areas such as Exotic Pricing, Portfolio Optimization and most recently XVA pricing. He holds a PhD in Mathematical Statistics and a degree in Law from Stockholm University, with research development in Mathematical Finance, Insurance Mathematics and Probability theory. Most recently, he is the coauthor of the book Risk and Portfolio Analysis, Hult et al.

Pierre Henry-Labordere works in the Global Markets Quantitative Research team at Société Générale. Pierre is also associate Professor at Ecole Polytechnique. He was the recipient of the 2013 Quant of the Year award from Risk magazine.


Julien Hok holds a PhD in financial mathematics from Ecole Polytechnique France. He started as a quantitative analyst in equity at Santander in London for 6 years and has joined Citi Group for 2 two years at London as vice president quantitative analyst in interest rates. His current research interests are perturbation methods to obtain approximative pricing formulas for exotic and hybrid products in equity/FX/Interest rates.


Brian works for Danske Bank, where he has worked for more than 10 years. He is working in the Quant group as Chief Analyst with focus on FX and equity derivatives. Brian has a Ph.D. in Mathematical Finance from Copenhagen University. The thesis title is “On defaultable claims and credit derivatives”. Brian was awarded Quant of the Year 2012.

John Hull is an internationally recognized authority on derivatives and risk management and has many publications in this area. His work has an applied focus. In 1999 he was voted Financial Engineer of the Year by the International Association of Financial Engineers. He has acted as consultant to many North American, Japanese, and European financial institutions. He has won many teaching awards, including University of Toronto’s prestigious Northrop Frye award.

Diana Iercosan graduated with a PhD in economics from the University of Maryland College Park in 2011. The same year she started working at the Federal Reserve Board, where she has focused on banking policy and supervision in the areas of market and counterparty credit risk. She is a member of the Trading Book Group which is responsible for developing the Fundamental Review of the Trading Book. She is co-chair of Supervision Implementation Group Trading Book.


Diana Iercosan graduated with a PhD in economics from the University of Maryland College Park in 2011. The same year she started working at the Federal Reserve Board, where she has focused on banking policy and supervision in the areas of market and counterparty credit risk. She is a member of the Trading Book Group which is responsible for developing the Fundamental Review of the Trading Book.

Milena Imamovic-Tomasovic is a quantitative finance professional with over twelve years of experience in banking. She is currently Director within Global Valuation Group Methodology team in Deutsche Bank working on a wide range of valuation issues, including fair-value XVA pricing. Prior to DB, Milena was Head of Analytics, EMEA at HSBC where she headed a cross-asset Valuation Control quant team with major focus on credit valuation adjustments (CVA). Before joining HSBC, Milena worked at TD Securities as a model validation and subsequently front office equity quant. She holds a Ph.D in theoretical physics from the University of Toronto.


Dr. Andrey Itkin is an Adjunct Professor at NYU, Department of Risk and Financial Engineering and Director, Senior Research Associate at Bank of America. He received his PhD in physics of liquids, gases and plasma, and degree of Doctor of Science in computational physics. During his academic carrier he published few books and multiple papers on chemical and theoretical physics and astrophysics, and later on computational and mathematical finance. Andrey occupied various research and managerial positions in financial industry and also is a member of multiple professional associations in finance and physics.


Antoine Jacquier is a lecturer in the Department of Mathematics at Imperial College London, and the Director of the MSc in Mathematics and Finance there.

His research interests include large deviations methods and asymptotic expansions for stochastic processes, with a particular emphasis on their applications to implied volatility modelling.

He has written 20+ papers on related topics, and co-edited the book on `Large Deviations and Asymptotic Methods in Finance’ (Springer, 2015).

Antoine holds a PhD in Mathematics from Imperial College London.


Jessica James is the Senior Quantitative Researcher in the Fixed Income and Credit Research team at Commerzbank in London.  She joined Commerzbank from Citigroup where she held a number of FX roles, latterly as Global Head of the Quantitative Investor Solutions Group. Prior to this she was the Head of Risk Advisory and Currency Overlay Team for Bank One. Before her career in finance, James lectured in physics at Trinity College, Oxford.

Her significant publications include the ‘Handbook of Foreign Exchange’ (Wiley), 'Interest Rate Modelling' (Wiley), and 'Currency Management' (Risk books). Her new book ‘FX Option Performance’ came out in May 2015.  She has been closely associated with the development of currency as an asset class, being one of the first to create overlay and currency alpha products.

Jessica is on the Board of the Journal of Quantitative Finance, and is a Visiting Professor both at UCL and at Cass Business School. She is a Managing Editor for the Journal of Quantitative Finance.  Apart from her financial appointments, she is a Fellow of the Institute of Physics and has been a member of their governing body and of their Industry and Business Board.


Prof. Aymeric Kalife is the Head of Savings & Variable Annuities and deputy Group Life Chief Actuary at AXA Group, and an Associate Professor in Finance at Paris Dauphine University.

His career at AXA includes roles as Head of Savings & Variable Annuities and deputy Group Life Chief Actuary (2015-), Head of Unit-Linked Guaranteed Products (2012 - 2013) and Head of Structuring, Hedging and Modeling (2009 - 2011) at AXA Group Risk Management; and deputy Chief Risk Officer at AXA Hedging Services (2007 - 2009). Prior to AXA, Aymeric was a volatility analyst at Deutsche Bank, a hybrids derivatives structurer at Merrill Lynch, and a quant analyst in commodities derivatives at EDF and in interest rates derivatives at ABN AMRO.

His research interests are in hedging market liquidity risk for flow and structured products, variable annuities product design and hedging strategies, and the modeling of insurance products policyholders' behavior and longevity. He holds degrees from Polytechnique, HEC & ESSEC Business Schools, ENSAE, Sorbonne & Dauphine Universities.


Dr Chris Kenyon is active in the XVA area, including coining the terms KVA and MVA, with Andrew Green, in Risk papers 2014-2015.  He is a Director in the CVA / FVA Quantitative Research group at Lloyds Banking Group.  Previously he was head quant for Counterparty Credit Risk at Credit Suisse, and (post-crisis) Head of Structured Credit Valuation at DEPFA Bank Plc.  He has ten papers in the Cutting Edge technical section of Risk magazine, co-wrote “Discounting, LIBOR, CVA and Funding (Palgrave 2012) and is co-editing “Landmarks in XVA” (Risk 2016).  He has a Ph.D. from Cambridge, is a contributor to the open-source software Quantlib, and holds fifteen patents which include applications of cryptography to trading.

Valery Kholodnyi is a Principal Quantitative Analyst with Verbund Trading as well as a Pauli Fellow at the Wolfgang Pauli Institute. He authored five books and over a hundred research papers in finance, mathematics, physics and engineering. He was an invited speaker at numerous international and national conferences both for the industry practitioners and academic researchers. He is a recipient of the 15th Anniversary Outstanding Contribution to Energy Risk Award and the Pioneer Quant Honor by the Energy Risk Magazine.


Rama Kumanduri is a Director at Credit Suisse and manages the Front Office modeling team for the Equity Derivatives desk in New York. Prior to this, Rama was a modeler at UBS.  Rama holds a Ph.D in Mathematics from the University of Minnesota and has taught at Columbia University in New York.


Rick Lacaille, Executive Vice President is Global Chief Investment Officer (CIO) of State Street Global Advisors and a member of the firm's Executive Management Group. In his role as Chief Investment Officer Rick has responsibility for all investment management activity at SSGA, including research and trading.

Prior to his current role, Rick was Head of Global Active Equities, and previously European CIO. Before joining SSGA in 2000, he held a wide variety of posts in quantitative fund management and research at Gartmore Investment Management, including periods as Head of Quantitative Research and Head of Structured Equities.
Rick has a BSc (Hons) in Operational Research from Lancaster University and MSc in Econometrics from London Guildhall University.

Rick is a member of the FTSE Policy Committee and the Asset Management Committee of the Investment Association. He is a regular writer and broadcaster on investment issues and speaks frequently at industry conferences.

Dr. Lemperière is actively involved in the design of new "alternative beta" products for CFM, and also in finding other low-frequency alpha strategies.

He joined CFM in November 2003 to conduct research on execution algorithms. After two years devoted to the study of price impact modeling and slippage analysis, he turned to alpha strategies, first on futures, and then in other asset classes traded at CFM, such as stocks or options.

Prior to joining CFM, Dr. Lemperiere was a PhD student in cosmology at Cambridge University. He also holds a Master in Maths from the Université Pierre et Marie Curie in Paris, a Master in Physics from Cambridge University and a Master in Engineering from the Ecole Centrale Paris.  


Alex Lipton is Managing Director, Quantitative Solutions Executive at Bank of
America and a Visiting Professor of Quantitative Finance at University of Oxford.
Prior to that, he was Managing Director, Co-Head of the Global Quantitative Group at
Bank of America Merrill Lynch and a Visiting Professor of Mathematics at Imperial
College London. Previously, he was Managing Director and Head of Capital Structure
Quantitative Research at Citadel Investment Group in Chicago; he has also worked
at Credit Suisse, Deutsche Bank and Bankers Trust. Before switching to finance, Alex
was a Full Professor of Mathematics at the University of Illinois and a Consultant
at Los Alamos National Laboratory. His current interests include monetary circuit
theory, bank balance sheet optimization, FinTech including digital banking, and
CCPs. In 2000 Alex was awarded the first Quant of the Year Award by Risk Magazine.
Alex is the author of two books (Magnetohydrodynamics and Spectral
Theory and Mathematical Methods for Foreign Exchange) and the editor of five
more, including, most recently, Risk Magazine Quant of the Year Award-Winning
Papers, 2000-2014. He has published numerous influential research papers on
hydrodynamics, magnetohydrodynamics, astrophysics, and financial
engineering. Alex is a founding patron of the 14-10 Club at the Royal Institution
(jointly with David Harding) and an avid collector of military optics.

Emilio joined Aberdeen following the SWIP acquisition and leads the Multi Asset Quant team of Investment Solutions, in charge of producing the systematic investment process for multi-asset allocation and global macro portfolio management, as well as, quantitative based absolute return strategies . Emilio is also part of the Innovation Committee of Aberdeen Asset Management.

Emilio joined SWIP from Popular Banca Privada in Madrid where he had overall responsibility for asset allocation and portfolio strategy decisions. Prior to this Emilio worked with Arcalia for six years, the Private Banking arm of Grupo Bancaja in Madrid, where he had a number of roles including Head of Research with responsibility for developing the firm’s Global Asset Allocation model. Emilio’s strengths are in the application of quantitative investment analysis to asset allocation. Additionally, Emilio Cano has been involved in several academic projects, imparting lectures on Quantitative Finance in some of the most prestigious Universities in Spain.

Emilio studied Artificial Intelligence in the University of Edinburgh, holds a BA degree in Economics from Universidad de Oviedo in Spain and a Master in Quantitative Finance from Universidad Pontifica de Colmillas in Madrid. Also he is a member of The Global Association of Risk Professionals, holding the FRM designation.


Marcos López de Prado is Senior Managing Director at Guggenheim Partners. He is also a Research Fellow at Lawrence Berkeley National Laboratory's Computational Research Division (U.S. Department of Energy’s Office of Science), where he conducts unclassified research in the mathematics of large-scale financial problems and supercomputing.

Before that, Marcos was Head of Quantitative Trading & Research at Hess Energy Trading Company (the trading arm of Hess Corporation, a Fortune 100 company) and Head of Global Quantitative Research at Tudor Investment Corporation. In addition to his 17 years of trading and investment management experience at some of the largest corporations, he has received several academic appointments, including Postdoctoral Research Fellow of RCC at Harvard University and Visiting Scientist at Cornell University's Operations Research Department. Marcos earned a Ph.D. in Financial Economics (2003), a second Ph.D. in Mathematical Finance (2011) from Complutense University, is a recipient of the National Award for Academic Excellence by the Government of Spain (National Valedictorian, 1998) among other awards, and was admitted into American Mensa with a perfect test score.

Marcos serves on the Editorial Board of the Journal of Portfolio Management (IIJ), the Journal of Investment Strategies (Risk) and the Big Data & Innovative Financial Technologies Research Series (SSRN). He has collaborated with over 30 leading academics, resulting in some of the most read papers in Finance (SSRN), five international patent applications on Algorithmic Trading, three textbooks, numerous publications in the top Mathematical Finance journals, etc. Marcos has an Erdös #2 and an Einstein #4 according to the American Mathematical Society.


Javier Madrid is a Director within the Quantitative and Business Solutions department at BBVA. Currently, he is in charge of the Equity/Fx and XVA quantitative teams. Prior to his current role, he worked for 9 years as a Senior Quantitative Analyst in the Equity/Fx side and he has been focused on XVA, Liquidity and Capital for the last 4 years. Javier holds a MSc in Aeronautical Engineering from Universidad Politécnica de Madrid.


Alexander McNeil is Maxwell Professor of Mathematics in the Department of Actuarial Mathematics and Statistics at Heriot-Watt University. He is also Director of the Scottish Financial Risk Academy (SFRA), a a network of universities and financial services companies that organises knowledge-exchange activities to improve the understanding of financial risk, including Risk Colloquia, training events and postgraduate placements in industry. Educated at Imperial College London and Cambridge University, he was formerly Assistant Professor in the Department of Mathematics at ETH Zurich. His interests lie in the development of quantitative methodology for financial risk management and include market and credit risk, financial time series analysis, models for extreme risks and correlated risks and models for the valuation and risk management of insurance liabilities. He has published papers in leading statistics, econometrics, finance and insurance mathematics journals and is a regular speaker at international risk management conferences. He is joint author, together with Rüdiger Frey and Paul Embrechts, of the book "Quantitative Risk Management: Concepts, Techniques and Tools", Princeton University Press (2005, 2015).


Fabio is global head of Quantitative Analytics at Bloomberg LP, New York. His team is responsible for the research on and implementation of cross-asset analytics for derivatives pricing, XVA valuations and credit and risk management. Fabio is also adjunct professor at NYU. He has jointly authored the book 'Interest rate models: theory and practice' and published extensively in books and international journals, including 16 cutting-edge articles in Risk Magazine. Fabio holds a BSc in Applied Mathematics from the University of Padua, Italy, and a PhD in Mathematical Finance from the Erasmus University of Rotterdam, The Netherlands.


Fredrik Mihlberg is Head of the Fixed Income Quant Group at the investment bank of Vontobel in Zurich. Vontobel is a leading issuer of structured products. In his early years, he was a core model quant implementing interest rate models at FRONT ARENA in Stockholm. During the credit-crisis of 2008 he moved from the trading software side to the banking side. Since then he restlessly has been working on adapting and improving models and risk management tools to the ever changing market conditions and regulations for trading. He holds a MSc in Theoretical Computer Science from Royal Institute of Technology in Stockholm, where he also studied statistics and financial mathematics.


Massimo Morini is also Coordinator of Model Research. Massimo is Professor at Bocconi University and MSc Director at Milan Polytechnic, and he was Research Fellow at Cass Business School, London. He has published papers in journals including Risk Magazine, Mathematical Finance, and the Journal of Derivatives, and is the author of “Understanding and Managing Model Risk: A Practical Guide for Quants, Traders and Validators” and other books on credit, funding and interest rate modelling. Massimo holds a PhD in Mathematics.

Shallom leads a group of Quantitative Risk Analysts in evaluating margin models that are used to calculate Initial Margin and size of guaranty fund by Derivatives Clearing Organizations (DCOs) and their Clearing Members.  The group also conducts back testing and stress testing of actual positions to determine the adequacy of financial resources and compliance with CFTC rules.  CFTC is in a unique position to assess risk across asset classes, jurisdictions, and both cleared and un-cleared exposures.  He also advises the commission on rules relating to margin, credit risk, and client protection.  He is a member of the CPCC-IOSCO Technical group that is developing standardized stress testing rules for Clearing Houses.

Prior to entering public service, Shallom worked in the risk departments of energy firms such as Arizona Public Service, Colorado Springs Utilities, and Washington Gas Holdings.  He also taught Finance and Risk Management courses at Arizona State University and University of Wisconsin-Eau Claire.  Currently, he is an adjunct Professor at Johns Hopkins University.

Shallom hold s a Bachelor’s degree in Mechanical Engineering from Osmania University and an MBA in Finance from Illinois State University.  He also completed his thesis proposal towards a PhD in Finance at Arizona State University.



Former chief hostage negotiator Richard Mullender has worked in some of the world’s major trouble spots. He'll be taking time out from training new hostage negotiators for the Yard, and advising the BBC on creating authentic fiction, to demonstrate how elite-level listening skills can make or break a business deal.

The squaddie-turned-policeman is hired by businesses to instruct their employees on the art of engagement, particularly listening.




Sergey Myagchilov is currently Investment Vice President at Prudential Insurance Company.

Sergey has received his Master's in Applied Physics and Mathematics from Moscow Institute of Physics and Technology and PhD in Theoretical and Applied Mechanics from Cornell University. He has been working in finance since 1999. His longest tenure was with Morgan Stanley for 10 years where as a structured credit quant he introduced models such as the model for pricing and hedging of CDO^2, dynamic portfolio model for non-copula type of pricing of CDOs, application of Kalman Filter to handling streams of data where new quotes come in at completely idiosyncratic times and many others. Sergey is currently working as a Quant with Prudential Insurance Company and supports their Variable Annuities business.

Uwe Naumann is the author of the popular text book on (Adjoint) Algorithmic Differentiation (AAD) titled “The Art of Differentiating Computer Programs” and published by SIAM in 2012. He holds a Ph.D. in Applied Mathematics / Scientific Computing from the Technical University Dresden, Germany. Following post-doctoral appointments in France, the UK and the US, he has been a professor for Computer Science at RWTH Aachen University, Germany, since 2004. As a Technical Consultant for the Numerical Algorithms Group (NAG) Ltd. Uwe has been playing a leading role in the delivery of AAD software and services to a growing number of tier-1 investment banks since 2008.


Ciprian Necula is currently a Marie Curie Post-Doctoral Fellow in the Quantitative Finance group at the Department of Banking and Finance of the University of Zurich. He holds a PhD in Finance, a Master degree in Stochastic Processes, and a Master degree in Computational Biology. His recent research is focused on developing novel option pricing models and methods, and on modeling heterogeneity in finance in a tractable manner.

Grigorios Papamanousakis is a Quantitative Strategist within the Multi Asset Quant team of Investment Solutions joining Aberdeen via the SWIP Acquisition in April 2014. His main responsibilities involve producing the quantitative investment framework for the SAA and TAA, as well as, quantitative absolute return strategies. Grigorios joined SWIP in January 2013 from Royal Bank of Scotland’s Economic Capital Modelling team where he worked on valuation, stress-testing and capital modelling of the global loan and credit portfolios of RBS Group.

Grigorios holds a BSc and MSc in Applied Mathematics from the National Technical University of Athens and a dual MSc in Financial Mathematics from Heriot-Watt and University of Edinburgh. Grigorios is a PhD Candidate in Financial Modelling in the Department of Actuarial Mathematics and Statistics of Heriot-Watt University.



Marcello Paris heads the Math & IT Research team in UniCredit R&D dept, which he helped to co-found 3y ago.

Recent interests cover: streaming computing, networks theory (and its application to finance, data and text mining), randomness theory and cryptography, distributed computing and database design.

Prior to this, Marcello used to work for 10y as a quant across different asset classes (mainly equity and interest rates derivatives) and, then, as a risk manager, in model validation. He holds a PhD in Mathematics.


Dilip K. Patro is the chief of FDIC’s Quantitative Model Analysis (QMA) Section where he manages a team of  Quantitative Risk Experts who perform a variety of quantitative analyses related to US Complex Financial Institutions (CFIs).  These include evaluating appropriateness and effectiveness of quantitative models used by CFIs for decision making, derivatives valuation, risk measurement, stress testing and regulatory capital.  Previously Dilip served as Deputy Director in the Market Risk Analysis Division of the Office of the US Comptroller of the Currency (OCC), where he managed a staff of economists and mathematicians in support of the OCC’s supervisory review of quantitative models at large banks.  At the OCC, he also represented the agency in various policy initiatives related to activities of the Basel Committee and FSB and co-authored the OCC 2011-12/FRB SR 11-7 guidance for model risk management. Before working at the OCC, Dilip was an Assistant Professor of Finance and has published many scholarly papers and book chapters. Dilip has a bachelor's degree from IIT, Delhi, a CFA charter, and a Ph.D. in Finance from the University of Maryland at College Park.


Dr. Gregory Pelts has been working in the financial industry for over a decade.  He completed his training in mathematics and physics at the St Petersburg State University and the Steklov Mathematical Institute in Russia. He received his second Ph.D. in Theoretical Physics from the Rockefeller University in New York.  Gregory has authored a number of publications and given presentations in theoretical physics and quantitative finance.

Gregory is currently employed by BlackRock. Prior to that, he worked for Goldman Sachs, Bear Stearns and Dresdner-Kleinwort-Benson. Gregory focuses on applications of group theoretical methods to problems in quantitative finance, in particular, stochastic interest rates, stochastic volatility, and credit risk.


Dr. Richard L. Peterson was called "Wall Street's Top Psychiatrist" by the Associated Press. His firm MarketPsych produces sentiment and macroeconomic indices derived from language analysis of global news and social media in partnership with Thomson Reuters. As portfolio manager for the outperforming MarketPsy Long-Short Fund LP from 2008-2010, he developed and traded on outperforming psychology-based quantitative models. In the educational field he developed popular financial personality tests, published widely in academic textbooks and journals including Games and Economic Behavior and Journal of Neuroscience, and is an associate editor of the Journal of Behavioral Finance. His latest book "Trading on Sentiment" (Wiley) is out March 2016. His prior books, "Inside the Investor's Brain" (Wiley, 2007) and "MarketPsych" (Wiley, 2010) were both named top financial books of the year by Kiplinger. Dr. Peterson received cum laude Electrical Engineering (B.S.), Arts (B.A.), and Doctor of Medicine degrees (M.D.) from the University of Texas. He performed postdoctoral neuroeconomics research at Stanford University and is Board-certified in Psychiatry. Dr. Peterson lives in California with his family.

Stefan is a Fixed Income Quant within the investment banking division of Vontobel in Zurich which he joined in 2010. He is working on pricing and risk management questions of Vontobel’s financial products with a at present focus on modelling under negative rates, credit and hybrid (basket) products, ALM, OIS discounting and its aftermath. Prior to his current role, he was  a quantitative advisor in the portfolio management team of Vontobel’s alternative boutique, Harcourt and had started his career with quant internships at Deutsche Bank and Nomura. He holds Master’s and Bachelor’s degrees in Business & Economics and Technical Mathematics from Johannes Kepler University Linz in Austria. Stefan enjoys co-supervising theses for the MSc UZH ETH in Quantitative Finance and is working on his PhD.


Mirela Predescu is the Deputy Head of Market and Counterparty Risk Methods and Analytics for credit products at BNP Paribas. Mirela is also a Visiting Lecturer at Cass Business School, City University London. Prior to BNP Paribas, Mirela has held positions in the portfolio modelling team at Lloyds Banking Group and the quantitative analytics team at Fitch Solutions. Before moving to the financial industry, Mirela was a University Lecturer at Said Business School, University of Oxford. Mirela holds a PhD in Finance from Rotman School of Management, University of Toronto and an MA in Economics from University of Toronto.


Michael Pykhtin is a manager in the Quantitative Risk section at the U.S. Federal Reserve Board. Prior to joining the Board in 2009 as a senior economist, he had a successful nine-year career as a quantitative researcher at Bank of America and KeyCorp. Michael has co-edited “Counterparty Risk Management” (Risk Books, 2014) and edited “Counterparty Credit Risk Modelling” (Risk Books, 2005). He is also a contributing author to several recent edited collections. Michael has published extensively in the leading industry journals. He has been an Associate Editor of the Journal of Credit Risk since 2007. Michael is the recipient of Risk Magazine's Quant of the Year award for 2014. Michael holds a Ph.D. degree in Physics from the University of Pennsylvania and an M.S. degree in Physics and Applied Mathematics from Moscow Institute of Physics and Technology.


Dong Qu is the global head of Quantitative Product Group at UniCredit. He previously worked at banks including HSBC, Nikko, Santander. He has a PhD from Imperial College London. He is the author of the book Manufacturing and Managing Customer-Driven Derivatives, which comprehensively discusses practical pricing/hedging models, product, risk and regulatory topics in the derivative business.


Ehud I. Ronn is a professor of Finance at the McCombs School of Business, University of Texas at Austin.  He has published articles on investments, interest rate instruments and energy derivatives in the academic and practitioner literature.

 Dr. Ronn received his Ph.D. from Stanford University.  Prior to joining the University of Texas in July 1988, Dr. Ronn was a faculty member at the University of California, Berkeley, and the University of Chicago.  During 1991 – ‘93, Dr. Ronn served as Vice President, Trading Research Group at Merrill Lynch & Co.  Dr. Ronn served as the founding director of the University of Texas Center for Energy Finance from 1997 – 2009.  From Jan. 2010 to Feb. 2011, Prof. Ronn was Commodity Market Modeling practice area manager at Morgan Stanley & Co.

 In Nov. 2004, Dr. Ronn was selected by Energy Risk to the “Energy Risk Hall of Fame.” 



Mathieu Rosenbaum obtained is Ph.D from University Paris-Est in 2007. After being Assistant Professor at Ecole Polytechnique Paris, he became Professor at University Marie and Pierre Curie (Paris 6) in 2011. In particular, he is now in charge with N. El Karoui, E. Gobet and G. Pagès of the Master 2 program in Probability and Finance jointly run by these two institutions.

Mathieu Rosenbaum has published about 40 articles. His research mainly focuses on statistical finance problems, such as market microstructure modeling or designing statistical procedures for high frequency data. He is also interested in regulatory issues, especially in the context of high frequency trading. He has research collaborations with several financial institutions, in particular BNP-Paribas since 2004.

Mathieu Rosenbaum also has several editorial activities. After being one of its co-founders, he is now one of the editors in chief of the
journal "Market Microstructure and Liquidity", together with F. Abergel, J.P. Bouchaud, J. Hasbrouck and C.A. Lehalle. Furthermore, he is managing editor for "Quantitative Finance" and associate editor for "Electronic Journal of Statistics", "Mathematics and Financial Economics", "Statistical Inference for Stochastic Processes", "SIAM Journal in Financial Mathematics" and "Statistics and Risk Modeling".

He received the Europlace award for best young researcher in finance in 2014 and the ERC grant in 2015.

Guillaume Sall is pursuing a Ph.D program in applied mathematics (quantitative finance) under the supervision of Pr. G. Pages and Pr. O. Pironneau at the "Universite Pierre
et Marie Curie, Paris VI" (UPMC). It is a joint work with the laboratories LPMA1 and LJLL2,
there is also a private company (GMS3) that supports this project and for which he is working as a Quant Researcher.

Antoine Savine, formerly the Global Head of Derivatives Research at BNP-Paribas, currently works with Jesper Andreasen at Danske Bank in Copenhagen and teaches in the MSc of Mathematical Finance at the Copenhagen University. He is best known for his work on scripting languages, AAD, volatility and the practical implementation of interest rate models. He is one of the key quants behind Danske Bank's xVA system winner of the Risk 2015 In-House System of the Year award.

Sebastian Schlenkrich is Manager in the Financial Engineering unit at d-fine, a leading consultancy company specialised in risk and finance. In this role he manages and delivers client projects on current valuation and risk management topics. Previously, in the Macro Valuation Methodologies Team at UBS Investment Bank, London he held global responsibilities for methodology and tool development of pricing model validation.

A focus of his research and work are valuation methodologies for interest rate, FX and hybrid derivatives. Furthermore he works in the field of Algorithmic Differentiation and its application in finance.

Sebastian holds a Ph.D. in Mathematics from Technische Universität Dresden and a MSc in Mathematical Finance from University of Oxford.



Wim Schoutens is professor in financial engineering at the University of Leuven, Belgium. He has extensive practical experience of model implementation and validation. He is well known for his consulting work to the banking industry and national and supra-national institutions. He is an independent expert advisor to the European Commission (DG-COMP) .

Wim is the author of several books on quantitative finance and is member of different editorial boards of international finance journals. Further, he is series editor of the book series "Financial Engineering Explained" for Palgrave Macmillan. He has published more than 100 papers in peer-reviewed international journals.


Stefano Scoleri holds a M.Sc. and a Ph.D in theoretical physics, and a Master in Quantitative Finance at MIP – Politecnico di Milano.

In 2014 he joined an internship program at IBM, located in Intesa Sanpaolo Market Risk Management Department in Milan, focused on numerical methods for derivatives pricing and risk management

In 2015 Daniela Selch joined Barclays as a Quantitative Analytics Associate in the Equity Derivatives Group. Before she was working as a research assistant at the Chair of Mathematical Finance at Technical University of Munich.


Denys Semagin is the Analytics and Infrastructure Manager at NN Re (the NN Group reinsurance unit). Since 2007 he worked at NN (formerly ING) in Japan and the Netherlands, leading the development of the HPC platform and models for valuation and hedging of variable annuities and also coordinating several other model- and data-driven projects.

Denys has ten years of various modeling and quant development experience in financial services dealing with exotic derivatives. Prior to that, in academia his research interests in Physics included numerical simulations for molecular dynamics, non-linear optics, crystal defects, etc. He holds a MSc in Theoretical Physics (Kharkov, Ukraine), and a PhD in Computational Physics (Tokyo, Japan).  


Artur Sepp is director of the Quantitative Development team at Julius Baer, Swiss Wealth Management company. Artur focuses on quantitative models for FX and equity derivatives trading, asset allocation and investment strategies. Prior to that, he worked as a front office quant in equity, credit, and risk at BofA-ML, Merrill Lynch and Bear Stearns with particular emphasis on volatility modelling and trading, cross-asset derivatives, and risk management. Artur has a PhD in Probability and Statistics from the University of Tartu in Estonia specializing in stopping time problems of jump-diffusion processes, an MSc in Industrial Engineering from Northwestern University in Chicago, and a BA in Mathematical Economics. His research area and expertise are on volatility models, investment and trading strategies, computational methods, and econometric models. ‎Artur has published several research articles on quantitative finance in leading journals and he is on the editorial board of the Journal of Computational Finance. He enjoys exploring new ideas, and some of his models have been successfully implemented by financial institutions. He often participates as a speaker at different conferences.


David Shelton, Managing Director, is head of the Global FX, Emerging Markets and Commodities Quantitative Strategies Group at Bank of America Merrill Lynch.

In this role he is responsible for the implementation of the mathematical models used by derivatives desks within Bank of America globally to price and risk manage their derivative portfolios. Within Quantitative Research David's main interests are pricing and hedging of short and long dated FX derivatives, hybrids, counterparty risk and dynamic models of credit risk. Since 1998 David has worked as a quantitative analyst on FX, hybrid FX interest rate and Credit products. Before that David was a postdoctoral theoretical physicist at the Université de Sherbrooke and Oxford for 2 years, after receiving a DPhil in Theoretical Physics from the University of Oxford in 1996 and a BA Hons in Physics, also from the University of Oxford, in 1993.


Alexander Skabelin is Vice President of Equities Flow Volatility Strategy at Goldman Sachs, which he joined in 2005. Prior to Goldman, Alexander was responsible for volatility arbitrage at a multi-billion dollar hedge fund EBF and Associates for four years. He holds a Ph.D. in Physics from MIT.


Colin Turfus has worked for ten years as a financial engineer, mainly analysing model risk for credit derivatives and hybrids, but more recently also CVA/DVA. He is currently working in Global Model Validation and Governance at Deutsche Bank. For the last seven years he has also taught evening courses on C++ and Financial Engineering at City University. Previous to that Colin worked as a developer consultant in the mobile phone industry and before that in academia, teaching applied maths and researching in fluid dynamics and turbulent dispersion.He has contributed to or been sole author of 11 publications in international scientific journals or conference proceedings.


Mihail Turlakov is a head of CVA/XVA trading desk at Sberbank CIB. He has about 10 years’ experience in financial industry in credit, FX and quantitative trading areas. He has worked on developing new business areas, modelling and trading while at RBS, Deutsche, WestLB and Sberbank. Before moving on to a financial career, Mihail worked as a post-doctoral researcher at the Departments of Physics in Cambridge and Oxford Universities in United Kingdom. He received his Ph.D. from University of Illinois at Urbana-Champaign in United States in 2000.



Mikhail Tushentsov is Vice President of Engineering and Technology at SciComp Inc. since January 2011. He coordinates all the aspects of the development process of SciFinance, the company's flagship product, and serves as a technical lead of high performance computing. He is also responsible for managing SciComp's technological infrastructure and strategic partnerships with hardware and software vendors. Mikhail earned a doctorate in theoretical Plasma Physics from the University of Texas at Austin. He also holds a Licentiate of Engineering degree from Chalmers University of Technology, Sweden


Venturelli graduated from Ecole Normale Superieure de Lyon and obtained his Ph.D. in Numerical Simulations of the Condensed Matter at the International School for Advanced Studies in Trieste and in Nanophysics at the Universite de Grenoble. He worked as a post-doc at Scuola Normale Superiore in Pisa, Italy, in the Condensed Matter and Information group (CMI). Venturelli is currently Science Operations Manager at the Quantum Artificial Intelligence Laboratory at NASA Ames Research Center, invested for the Research Institute of Advanced Computer Science (RIACS) in research projects dealing with the non-equilibrium physics of statistical models relevant for quantum annealing and quantum computation, and how these models reflect practically across different implementation technologies or computational strategies. His applied focus in quantum optimization is in complex scheduling, telecommunication networks, and robotics/distributed AI, also in collaborations with academia and the private sector.

Kyo Yamamoto is the head of Quantitative Research & Strategy at GCI Asset Management, Inc. (GCI AM). He has been running a hedge fund and several dynamic hedging strategies based on his own quantitative models. The models have been developed in light of both his strong academic background and professional practical experience in financial industry. He completed his Ph.D. in finance course at the graduate school of Economics, the University of Tokyo in 2010, while starting his carrier at GCI AM from 2005. A number of his research papers were published in highly regarded academic and practitioners’ journals. He graduated from the University of Tokyo with B.S. in Mathematics in 2005.


David Zhang is a Managing Director in Credit Suisse Fixed Income, responsible for securitized products modeling and analytics. He serves on leadership positions for PRMIA (Professional Risk Management International Association) and GCREC (Global Chinese Real Estate Congress). He is a frequent speaker at industry and academic conferences on securitizations and real estate. His team is highly ranked in various industry surveys on securitized products modeling and analytics, especially on prepayment analysis. He holds a Doctoral degree from Princeton University