This is just a snapshot of the 120 speakers at Global Derivatives Trading & Risk Management 2014 - view list of speakers confirmed to date here
David Bloom is the Global Head of FX Strategy and has been with HSBC for 20 years. Before taking up his current post, specialising in currencies and global themes, David was an international economist with the group. He has also had some experience in equity strategy, equity sales and equity analysis.
Following his MSC, David joined James Capel (1992) now HSBC until the present time. He has worked in various roles during his time at HSBC. These include: UK Economist, US and Canadian Economist. David joined the HSBC on the graduate programme in 1992.
David arrived in London in 1988 after completing an honours degree from Wits University, Johannesburg. He then worked his way through his masters degree in economics at Birkbeck College London.
Voted No 1 in Emerging Markets FX in the 2012 and 2013 Euromoney survey and has a world leading Quantitative FX Team. Technical analysis was ranked 3rd in the 2012 and 2013 euromoney survey. Won Best FX Research in FX week awards for 4 years in a row.
Robert Almgren is also a Fellow in the Mathematics in Finance Program at New York University. Until 2008, Dr Almgren was a Managing Director and Head of Quantitative Strategies in the Electronic Trading Services group of Banc of America Securities. From 2000-2005, he was a tenured Associate Professor of Mathematics and Computer Science at the University of Toronto, and Director of its Master of Mathematical Finance program.
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.
Dr Philippe Balland is a Managing Director with 20 years’ experience in the derivatives industry. Philippe joined UBS in September 2010 to head the FX and Rates Quantitative Team. Prior to this, Philippe was heading the FX and Hybrid Quantitative team at Merrill Lynch where he worked for 14 years. Philippe has a DPhil and a Master in Mathematical Modelling from Oxford University. He obtained his first degree from Ecole Centrale Paris.
Hans Buehler holds a PhD in financial mathematics from Technical University Berlin, and an MSc in mathematics from Humbolt University Berlin. Before joining JP Morgan in 2008, Hans headed Equity Derivatives Quantitative Research globally at Deutsche Bank London, where he started as an intern in 2001. His current research interests are automatic trading and hedging in both cash and derivatives (where the work presented here originates from), dividend modelling and forward calibration methods.
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.
Mr Flesaker has spent more than a decade leading fixed income quantitative research, modelling, and derivatives activities at major financial firms including Bloomberg, Morgan Stanley, MBIA, Bear Stearns and Merrill Lynch. He began his career as a member of the finance faculty at the University of Illinois at Urbana-Champaign. He has lectured and published extensively on topics of mathematical finance, is an adjunct instructor in the Mathematics in Finance program at NYU, and is a managing editor of the International Journal of Theoretical and Applied Finance. Mr Flesaker received a degree in Finance from the BI Norwegian Business School in Oslo and a PhD in Finance from the University of California-Berkeley.
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.
Baroness Susan Greenfield CBE conducts research on novel mechanisms of neurodegeneration at the University of Oxford. She has received 30 Honorary Degrees from British and foreign universities. Other awards include Michael Faraday Medal from the Royal Society (1998), Honorary Fellowship of the Royal College of Physicians (2000), L’Ordre National de la Légion d’Honneur (2003), American Academy of Achievement Golden Plate Award (2003), Honorary Fellowship of the Royal Society of Edinburgh (2007) and Australian Medical Research Society Medal (2010). To find out more go to www.susangreenfield.com
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.
Prior to his current role Marek Musiela was Global Head Of Fixed Income & Research Strategy Team at BNP Paribas. He is co-developer of the Libor market model, also known as BGM. Marek has held academic positions at the Mathematical Institute of the Polish Academy of Sciences, the University of Grenoble, the University of New South Wales and at the University of Geneva. He gained his PhD from the Polish Academy of Sciences and degree of Docteur d’Etat from University of Grenoble.
Prior to his role at Lakeview, Peter managed significant hedge fund type investment portfolios and quantitative trading departments for among
others Cooper Neff, Salomon Brothers, HypoVereinsbank and Credit
Lyonnais. He has nearly 20 years of experience in the development and
running of sophisticated automated trading operations. He holds a MBA
degree from the Owen Graduate School at Vanderbilt University,
Nashville, USA. He is a frequent speaker on complex arbitrage strategies
with a focus on volatility arbitrage and high frequency algorithmic trading. He is also a well known consultant to the investment community with regards to trading, risk management, operational and strategic issues.
Lakeview provides a large range of trading and risk management related services.
Mr. Henri Waelbroeck, Ph.D. serves as Global Head of Research at Portware. Previously he was Director of Research for Pipeline Financial Group, co-founded Adaptive Technologies Inc, and served as Research Professor at the Institute for Nuclear Sciences at UNAM, Mexico. He leads Portware's Alpha Vision research applying machine learning to optimize execution management. Mr. Waelbroeck holds an Engineering Physics degree from the Free University of Brussels and a PhD in Physics from the University of Texas Austin.
Paul Wilmott is a financial consultant, specializing in derivatives, risk management and quantitative finance. He has worked with many leading US and European financial institutions.
Paul was born in the quaint little fishing village of Birkenhead and studied mathematics at St Catherine’s College, Oxford, where he also received his D.Phil. He founded the Diploma in Mathematical Finance at Oxford University and the journal Applied Mathematical Finance. He is the author of Paul Wilmott Introduces Quantitative Finance (Wiley 2007), Paul Wilmott On Quantitative Finance (Wiley 2006), Frequently Asked Questions in Quantitative Finance (Wiley 2009) and other financial textbooks. He has written over 100 research articles on finance and mathematics.
Paul Wilmott was a founding partner of the volatility arbitrage hedge fund Caissa Capital which managed $170million. His responsibilities included forecasting, derivatives pricing, and risk management.
Dr Wilmott is the proprietor of www.wilmott.com, the popular quantitative finance community website, the quant magazine Wilmott and is the creator of the Certificate in Quantitative Finance.
Paul Wilmott was a professional juggler with the Dab Hands troupe. He also has three half blues from Oxford University for Ballroom Dancing. He was the first man in the UK to get an online divorce.
Roger Lee is an Associate Professor of Mathematics at the University of Chicago. In addition he serves as an Associate Editor of the SIAM Journal on Financial Mathematics. Previously he held an NSF postdoctoral fellowship at Stanford University and at NYU, and worked in Global Equity-Linked Products at Merrill Lynch in New York. He has a PhD from Stanford University and a BA summa cum laude from Harvard University.
Leif B. G. Andersen is the Global Co-Head of The Quantitative Research Group at Bank of America Merrill Lynch, and is an adjunct professor at NYU’s Courant Institute of Mathematical Sciences. He holds MCs 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 recipient of Risk Magazine’s 2001 Quant of the Year Award, and has worked for 20 years as a quantitative researcher in the derivatives pricing area. He has authored many influential research papers in all areas of quantitative finance, and is an Associate Editor of Journal of Computational Finance.
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.
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.
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.
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.
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.
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.
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.
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.
Alexander Lipton is a Managing Director and Mathematical Finance Executive at Bank of America in New York. 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, he was a Managing Director and Head of Capital Structure Quantitative Research at Citadel Investment Group in Chicago; he also held positions at 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. He received his undergraduate and graduate degrees from Lomonosov Moscow State University. His current interests include capital calculations and large scale capital optimization. In 2000 Alexander was awarded the first Quant of the Year Award by Risk Magazine. Alexander is the author of two books, Magnetohydrodynamics and Spectral Theory, and Mathematical Methods for Foreign Exchange, and the editor of four books, including, most recently, The Oxford Handbook of Credit Derivatives. He has published about a hundred research papers on hydrodynamics, magnetohydrodynamics, astrophysics, chemical physics, and financial engineering. Alexander is a founding patron of The 14-10 Club at the Royal Institution in London.
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.
Chris Limbach joined PGGM, a Dutch asset manager for pension funds in the healthcare and social work sector with AUM exceeding €125 billion, in 2008 and was appointed Head of Investments of the Quantitative Strategies team in 2009. The Quantitative Strategies portfolio invests in alternative risk premiums, such as volatility, correlation, momentum and liquidity using an absolute return benchmark. He was also responsible for the initial development of the Strategic Tail Risk Management program at PGGM. In 2012 he took on the role of advisor to the CEO of PGGM Investments. He began his career as an equity derivatives trader at Optive. Chris Limbach studied Fluid Dynamics at the faculty of Civil Engineering at Delft University and earned his MBA from the University of Chicago.
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.