This is just a snapshot of the 120 speakers at Global Derivatives Trading & Risk Management 2014 - view list of speakers confirmed to date here
Darrell Duffie is a member of the Financial Advisory Roundtable of the Federal Reserve Bank of New York, a Fellow and member of the Council of the Econometric Society, a Research Fellow of the National Bureau of Economic Research, a Fellow of the American Academy of Arts and Sciences, and a member of the board of directors of Moodys Corporation.
Emanuel Derman directs the program in financial engineering at Columbia University. He started out as a theoretical physicist before moving to AT&T Bell Laboratories where 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 Derman-Kani local volatility model. He is the author of Models.Behaving. Badly: Why Confusing Illusion with Reality Can Lead to Disasters, On Wall Street and in Life, and My Life As A Quant.
One of the world’s most distinguished macro economists, Willem Buiter previously was Professor of Political Economy at the London School of Economics. He was an advisor to Goldman Sachs from 2005 to 2010 and prior to that, was Chief Economist for the European Bank for Reconstruction & Development between 2000 and 2005. He was a founder external member of the Monetary Policy Committee of the Bank of England and has been a consultant to the IMF, the World Bank, the Inter-American Development Bank and the Asian Development Bank and the European Commission. In 2000, Willem was awarded the CBE in 2000 for services to economics.
John Hull is an internationally recognized authority on derivatives and risk management. He was, with Alan White, one of the winners of the Nikko-LOR research competition for his work on the Hull-White interest rate model and was in 1999 voted Financial Engineer of the Year by the International Association of Financial Engineers. He has acted as consultant to many financial institutions and has won many teaching awards, including University of Toronto’s prestigious Northrop Frye award. He has written three books: “Risk Management and Financial Institutions” (now in its 3rd edition), “Options, Futures, and Other Derivatives” (now in its 8th edition) and “Fundamentals of Futures and Options Markets” (now in its 7th edition). The books have been translated into many languages and are widely used in trading rooms throughout the world, as well as in the classroom. Dr. Hull is co-director of Rotman’s Master of Finance program. In addition to the University of Toronto, Dr. Hull has taught at York University, University of British Columbia, New York University, Cranfield University, and London Business School.
Vladimir Piterbarg is a Managing Director and the Head of Quantitative Analytics at Barclays. Before joining Barclays Capital in March 2005, he was a co-head of quantitative research for Bank of America, where he had worked for 8 years. Vladimir Piterbarg’s main areas of expertise are the modelling of exotic interest rate and hybrid derivatives.
Bruno Dupire joined Bloomberg L.P. in 2004. Prior to this 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 subsequent stochastic volatility extensions. He is a Fellow and Adjunct Professor at NYU and he is in the Risk magazine “Hall of Fame” of the 50 most influential people in the history of Derivatives and Risk Management. He is the recipient of the 2006 “Cutting edge research” award of Wilmott magazine and was the recipient of the Risk Magazine “Lifetime Achievement” award for 2008.
Before his current role Riccardo held a number of senior positions as head of risk management and/ or quantitative research at RBS and BarCap. He has been on the Board of ISDA (2002-2011), and still serves on the Board of GARP (2001 to present). He holds a Doctorate in Nuclear Engineering, a PhD in Condensed Matter Physics and was a Research Fellow in Oxford in Physics. He is a visiting lecturer in Mathematical Finance at Oxford University (OCIAM), and is the author of several books (Princeton, Wiley, Palgrave) as well as many articles in finance in refereed journals.
Michael Hintze is Chairman of the CQS Executive Committee, Portfolio Manager of the CQS Directional Opportunities Fund and CIO of the CQS Convertible and Quantitative Strategies Fund. Prior to establishing CQS, Michael was Managing Director in the Leveraged Funds Group at CSFB. Before this, he was Managing Director and European Head of Convertibles at CSFB. Before joining CSFB, Michael worked at Goldman Sachs for 12 years in a variety of roles including Head of UK Trading and Head of European Emerging Markets Trading. Prior to this, Michael worked for Salomon Brothers as a Fixed Income Trader trading Yankee Bonds. Michael holds an MBA from Harvard Business School and received a Doctor of Business and an Honoris Causa from the University of New South Wales.
Dr. Peter Carr is a Managing Director at Morgan Stanley with 16 years of experience in the derivatives industry. He was also a finance professor for 8 years at Cornell University, after obtaining his PhD from UCLA in 1989. He is presently the Executive Director of the Math Finance program at NYU's Courant Institute, the Treasurer of the Bachelier Finance Society, and a trustee for the Museum of Mathematics in New York. He has over 70 publications in academic and industry-oriented journals and serves as an associate editor for 8 journals related to mathematical finance. He was selected as Quant of the Year by Risk Magazine for 2003 and as Financial Engineer of the Year by IAFE for 2010. In 2011, he broke into Institutional Investor's Tech 50.
Jim Gatheral mostly teaches courses in the Masters of Financial Engineering (MFE) program. Prior to this, he was a Managing Director at Bank of America Merrill Lynch, and also an adjunct professor at the Courant Institute of the Mathematical Sciences, New York. Prior to 2005 he headed the Equity Quantitative Analytics groups at Merrill Lynch. Over his long career in the financial markets, he has been involved at one time or other in all of the major derivative product areas as bookrunner, risk manager and quantitative analyst. Jim has a PhD in theoretical physics from Cambridge University. His research focus is on volatility modelling and modelling 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 modelling.
Paul Glasserman is the Jack R. Anderson Professor at Columbia Business School and a visiting scholar at the Federal Reserve Bank of New York, and he currently chairs the Education Committee of PRMIA, the Professional Risk Managers International Association. His publications include the book “Monte Carlo Methods in Financial Engineering,” which received the 2006 Lanchester Prize, and he is also a recipient of Risk’s 2007 Quant of the Year Award.
Jesper Andreasen heads the Quantitative Research Department at Danske Bank in Copenhagen. Prior to this, Jesper has held positions in the quantitative research departments of Bank of America, Nordea, and General Re Financial Products. Jesper’s research interest include: term structure modeling, volatility smiles, and numerical methods. In 2001 Jesper received Risk Magazine’s Quant of the Year award.
In his enterprise-wide role, Alexander consults with and advises financial leaders in the bank on how to develop mathematical models for return maximization. Previously, he spent seven and a half years in London, where, most recently, he was 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 joining Merrill Lynch, Alexander held roles at Citadel Investment Group, Credit Suisse, Deutsche Bank and Bankers Trust in New York. Before switching to the financial industry, Alexander was a Full Professor of Mathematics at the University of Illinois and a Consultant at Los Alamos National Laboratory.
Rama CONT is Professor of Mathematics at Imperial College London, where he holds holds the Chair of Mathematical Finance, Director of the CFM-Imperial Institute of Quantitative Finance, partner at Finance Concepts LLC and Scientific advisor to Norges Bank, the central bank of Norway. His research focuses on stochastic processes and mathematical modeling in finance, in particular the modeling of extreme market risks: market discontinuities, extreme risks, endogenous risk and systemic risk. He has co-authored the highly cited monograph Financial Modelling with Jump Processes (2003) and is the Editor-in-Chief of the Encyclopedia of Quantitative Finance (Wiley 2010). Prof. Cont was awarded the Louis Bachelier Prize by the French Academy of Sciences in 2010 for his research on mathematical modeling in finance.
Nicolas has 17 years’ experience in the financial industry, including 12 years within SG Asset Management division. Nicolas joined Lyxor in 2009, since holding the positions of Head of Structured and Quantitative Management and CIO. Prior to this, Nicolas has been Global Head of Asia at SGAM Alternative Investments between 2006 and 2009, based in Tokyo. Nicolas began his career as a Quantitative analyst with HSBC, in Paris. Nicolas holds an engineering degree from French Ecole Centrale de Paris, as well as a Master degree and a PhD in Economics from Paris La Sorbonne. In addition to this, he has been a quantitative finance lecturer in different master programs and contributed various articles and academic conferences in the field.
Massimo holds a PhD in Mathematics and a MSc in Economics. He is Head of Credit Models and Coordinator of Model Research at IMI Bank. Massimo is Professor of Fixed Income at Bocconi University and was Research Fellow at Cass Business School of London City University. He regularly delivers advanced training on model risk management, credit modelling, interest rate market models and correlation modelling. He has led the workshops on financial modelling and the credit crunch in the main international conferences. His papers appeared on journals including Risk Magazine, Mathematical Finance and the Journal of Derivatives.
Prof. Damiano Brigo is also Director of the Capco Research Institute. Formerly Gilbart Professor at King’s and Managing Director of Fitch, Damiano published 70+ works in Mathematical Finance, Probability and Statistics, and field reference books in interest rate and credit modeling. He is Managing Editor of the International Journal of Theoretical and Applied Finance. His interests include pricing, risk, credit, funding, and stochastic models for commodities and inflation. Damiano holds a PhD in differential geometric stochastic filtering.
Dilip Madan is Professor of Finance at the Robert H. Smith School of Business specializing in Mathematical Finance and currently serving as a consultant to Morgan Stanley and Meru Capital. He is Managing Editor of Mathematical Finance, and Co-editor of the Review of Derivatives Research. He held the 2006 von Humboldt award in applied mathematics, the 2007 Quant of the year award, the 2008 Medal for Science from the University of Bologna and the 2010 Eurandom chair.
Originally with an electrical engineering background, Lorenzo obtained a PhD in condensed matter physics in the theory group at SPhT, Saclay, before moving into finance. A quant for over 15 years with an initial focus on equities, he currently heads the quantitative research group at Société Générale with a global cross-asset mandate for vanilla and structured businesses. He is mostly known for his work on stochastic volatility modelling, some of which has appeared in the Smile Dynamics series of articles in Risk Magazine. His daytime job at SG, together with a book project on volatility modelling keep him particularly busy at the moment.
Fabio is head of Derivatives Research at Bloomberg LP, New York. He is also adjunct professor at NYU and member of CME IR risk committee. Fabio has jointly authored the book 'Interest rate models: theory and practice' and published extensively in books and international journals, including 15 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.