Speakers List - Quant Summit Europe
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Keynote Speakers

Edward Fishwick

Managing Director, Global Co-Head, Risk & Quantitative Analysis,

BLACKROCK

Edward Fishwick, Managing Director, Global Co-Head, Risk & Quantitative Analysis, BLACKROCK

Edward Fishwick, Managing Director, is Global Co-Head of Risk & Quantitative Analysis at BlackRock. In addition, he is a member of the European Executive and Global Operating Committees of the firm, and is a member of the Board of BlackRock Group Ltd.

Mr. Fishwick has worked in quantitative finance for over 30 years in London, New York and Boston. Previously he was Head of Risk Management and Investment Process Research at AXA Investment Managers, and Director of Research at Quantec.

Mr. Fishwick is a member of the Editorial Board of the Journal of Asset Management, and is the Chairman of the London Quant Group.

Vern Brownell

Chief Executive Officer

D-WAVE SYSTEMS

Vern Brownell, Chief Executive Officer, D-WAVE SYSTEMS

Vern Brownell joined D-Wave as CEO in 2009, leading the company through its transition from research into the leader in the development and delivery of quantum computing systems and software. During his tenure D-Wave secured its first customers including Lockheed Martin, Google and NASA, Los Alamos National Laboratory, and raised over $100 million in venture funding. Mr. Brownell joined D-Wave from Egenera, a pioneer of infrastructure virtualization, a company he founded and at which he held executive roles including CEO. Prior to Egenera, Mr. Brownell served as the Chief Technology Officer at Goldman Sachs where he and his staff of 1,300 were responsible for worldwide technology infrastructure. He holds an MBA degree from Anna Maria College and a BEng. degree in Electrical Engineering from Stevens Institute of Technology.

Jean-Philippe Bouchaud

Chairman

CAPITAL FUND MANAGEMENT

Jean-Philippe Bouchaud, Chairman, CAPITAL FUND MANAGEMENT (Risk.net 2017 Quant of the Year & Buy-Side Quant of the Year 2018)

Jean-Philippe is Chairman and Chief Scientist. He supervises our research department with Marc and maintains strong links between our research team and the academic world. He is also a professor at Ecole Polytechnique where he teaches Statistical Mechanics and a course on "Complex Systems". He joined CFM in 1994.

Quant of the Year 2017 - https://www.risk.net/risk-magazine/analysis/2479713/quant-of-the-year-jean-philippe-bouchaud

Buy-Side quant of the Year 2018 - https://www.risk.net/awards/5364591/buy-side-quant-of-the-year-jean-philippe-bouchaud

Bruno Dupire

Head of Quantitative Research

BLOOMBERG

Bruno Dupire, Head of Quantitative Research, BLOOMBERG

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 Societe Generale, 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 Ito Calculus (framework for path dependent options) 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.

Stefano Pasquali

Managing Director, Head of Liquidity Research, BLACKROCK

BLACKROCK

Stefano Pasquali, Managing Director, Head of Liquidity Research, BLACKROCK

Stefano Pasquali Managing Director, is the Head of Liquidity Research Group at BlackRock Solutions. As Head of Liquidity Research, Mr. Pasquali is responsible for market liquidity modelling both at the security and portfolio level, as well as estimating portfolio liquidity risk profiles. His responsibilities include defining cross asset class models, leveraging available trade data and developing innovative machine learning based approaches to better estimate market liquidity. Mr. Pasquali is heavily involved in developing methodologies to estimate funding liquidity and better estimate funds flows. These models include: the cost of position or portfolio liquidation, time to liquidation, redemption estimation, and investor behavior modelling utilizing a big data approach. Stefano is a member of the Government Relations Steering Committee within BlackRock.

Previous to Blackrock, Mr. Pasquali oversaw product development and research for Bloomberg's liquidity solution, introducing a big data approach to their financial analytics. His team designed and implemented models to estimate liquidity and risk across different asset classes with a particular focus on OTC markets. Before this he lead business development and research for fixed income evaluated pricing.

Mr. Pasquali has more than 15 years of experience examining and implementing innovative approaches to calculating risk and market impact. He regularly speaks at industry events about the complexity and challenges of liquidity evaluation ̶ particularly in the OTC marketplace. His approach to risk and liquidity evaluation is strongly influenced by over 20 years of experience working with big data, data mining, machine learning and data base management.

Prior to moving to New York in 2010, Mr. Pasquali held senior positions at several European banks and asset management firms where he oversaw risk management, portfolio risk analysis, model development and risk management committees. These accomplishments include the construction of a risk management process for a global asset management firm with over 100 Billion AUM. This involved driving projects from data acquisition and normalization to model development and portfolio management support.

Mr. Pasquali, a strong believer in academic contribution to the industry, has engaged in various conversations and collaborations with universities from the US, UK, and Italy. He also participates as a supervisor in the Experiential Learning Program and Masters of Quantitative Finance Program based at Rutgers University, along with tutoring students in research activities.

Before his career in finance, Mr. Pasquali was a researcher in Theoretical and Computational Physics (in particular Monte Carlo Simulation, Solid State physics, Environment Science, Acoustic Optimization). Originally from Carrara (Tuscany, Italy), he grew up in Parma. Mr. Pasquali is a graduate of Parma University and holds a master's degree in Theoretical Physics, as well as research fellowships in Computational Physics at Parma University and Reading University (UK).

 

Advisory Board

Riccardo Rebonato

Professor of Finance

EDHEC BUSINESS SCHOOL

Riccardo Rebonato, Professor of Finance, EDHEC BUSINESS SCHOOL

Riccardo Rebonato is Professor of Finance at EDHEC Business School and author of journal articles and books on Mathematical Finance,covering derivatives pricing, risk management and asset allocation. Prior to this, he was Global Head of Rates and FX Analytics at PIMCO.

Academically, he is an editor of financial journals and was until 2016 a visiting lecturer at Oxford University and adjunct professor at Imperial College's Tanaka Business School. He has served on the board of directors of the International Swaps and Derivatives Association (ISDA) and the board of trustees for the Global Association of Risk Professionals (GARP). He has been head of derivatives trading, head of research and head of market risk management at different international banks. He holds a doctorate in nuclear engineering and a PhD in condensed matter physics/science of materials from Stony Brook University, NY.

 

Joe Bonnaud

Global Head of Global Markets Quantitative Research, Data and AI labs

‎BNP PARIBAS

Joe Bonnaud, Global Head of Global Markets Quantitative Research, Data and AI labs, ‎BNP PARIBAS

Damiano Brigo

Chair of Mathematical Finance

IMPERIAL COLLEGE LONDON

Damiano Brigo, Chair of Mathematical Finance and co-Head of the MF Research Group and Stochastic Analysis Group, Department of Mathematics, IMPERIAL COLLEGE LONDON

Professor Damiano Brigo holds the Chair in Mathematical Finance at Imperial College, London, where he co-heads the Mathematical Finance research group and is part of the Stochastic Analysis research group.

Previous roles of Professor Brigo include:

2012-2014, Prof. Brigo held the role of Director of the Capco Institute and Editor in Chief of the related Journal of Financial Transformation via Imperial Consultants;

2010-2012, Prof. Brigo held the Gilbart Chair of Financial Mathematics at Kings College, London;

Managing Director and Global Head of Quantitative Innovation in Fitch Solutions in 2007-2010;

Head of Credit Models in Banca IMI's front office, in the largest Italian investment bank, and Fixed Income Professor at Bocconi University in Milan, in 1997-2007.

Damiano has published more than 80 works in Mathematical Finance, Systems Theory, Probability and Statistics, and books for Springer Verlag and Wiley that have become field references in stochastic interest rate and credit risk modeling.

Damiano is Managing Editor of the International Journal of Theoretical and Applied Finance, and he is in the editorial boards of Mathematics of Control, Signals and Systems and of Applied Mathematical Finance. Damiano has been a member of the Fitch Academic Advisory Board and is part of Scientific committees for academic conferences occurring across academic and industry institutions.

Damiano has been listed as the most cited author in Risk Magazine in 2006, 2010 and 2012. His H-index in Google Scholar is 33 as of December 2015.

Damiano obtained a Ph.D. in stochastic filtering with differential geometry in 1996 from the Free University of Amsterdam, following a BSc in Mathematics with honors from the University of Padua.

His current interests include valuation and pricing, risk measurement, liquidity risk, credit and default modeling, counterparty risk, nonlinear valuation under funding costs via semi-linear PDEs and FBSDEs, optimal execution and algorithmic trading, stochastic dynamical models for commodities and inflation, the differential geometric approach to statistics, exponential statistical manifolds and stochastic processes, stochastic differential geometry, nonlinear stochastic filtering, and stochastic processes consistent with mixtures of distributions.

 

Mauro Cesa

Quantitative Finance Editor

RISK.NET

Mauro Cesa, Quantitative Finance Editor, RISK.NET

Mauro Cesa is quantitative finance editor for Risk.net, based in London. He leads the team responsible for the publication of quantitative research across all brands of the division. The section of Risk.net he manages, Cutting Edge, publishes peer-reviewed papers on derivatives, asset and risk management, and commodities.

Mauro holds a degree in economics from the university of Trieste and a masters in quant finance from the University of Brescia.

Rama Cont

Professor of Mathematics & Chair of Mathematical Finance, Department of Mathematics

IMPERIAL COLLEGE LONDON

Rama Cont, Professor of Mathematics & Chair of Mathematical Finance, Department of Mathematics, IMPERIAL COLLEGE LONDON

Rama Cont is Professor of Mathematics and Chair of Mathematical Finance at Imperial College (London), director of the CFM-Imperial Institute of Quantitative Finance, Senior Research Scientist at the National Centre for Scientific Research (CNRS) in Paris (France), Scientific advisor to Norges Bank and founding partner of Finance Concepts, a risk management advisory firm based in Paris and New York. His research has focused on stochastic processes and the modeling of extreme market risks: market breakdowns, systemic risk and liquidity risk. He has participated in the design and stress testing of large scale risk-management systems for major exchanges and CCPs in Europe, the US, Latin America and Asia. He was awarded the Louis Bachelier Prize in 2010 by the French Academy of Sciences for his research on mathematical modelling of financial risks.

Youssef Elouerkhaoui

Managing Director, Global Head of Credit and Commodities Quantitative Analysis

CITI

Youssef Elouerkhaoui, Managing Director, Global Head of Credit and Commodities Quantitative Analysis, CITI

oussef 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.

Eduardo Epperlein

Managing Director, Global Head of Risk Methodology, NOMURA INTERNATIONAL

NOMURA INTERNATIONAL

Eduardo Epperlein, Managing Director, Global Head of Risk Methodology, NOMURA INTERNATIONAL

Eduardo Epperlein has over 20 years experience in the financial industry and is currently Managing Director and Global Head of Risk Methodology at Nomura. He is responsible for credit, market and operational risk methodology, as well as stress testing anaytics. Prior to joining Nomura, Eduardo held various roles in risk methodology at Citigroup, including model validation. Eduardo holds a PhD in Plasma Physics from Imperial College, London, and spent 10 years as a research scientist prior to joining the financial industry.

David Jessop

Managing Director, Global Head of Equities Quantitative Research

UBS

David Jessop, Managing Director, Global Head of Equities Quantitative Research, UBS

David Jessop is the Global Head of Equities Quantitative Research at UBS. His areas of research include portfolio analysis and construction, style analysis and risk modelling. He also helps clients understand, use and implement the quantitative tools available from UBS. David joined UBS in 2002. Prior to this, he spent seven years at Citigroup as Head of Global Quantitative Marketing. Before moving to the sell side he spent six years at Morgan Grenfell Asset Management, where he managed index funds, asset allocation funds and also an option overwriting fund. David graduated from Trinity College, Cambridge with an MA in Mathematics.

 

Massimo Morini

Head of Interest Rate and Credit Models

BANCA IMI

Massimo Morini, Head of Interest Rate and Credit Models, BANCA IMI

 

 

Stefano Pasquali

Managing Director, Head of Liquidity Research

BLACKROCK

Stefano Pasquali, Managing Director, Head of Liquidity Research, BLACKROCK

Stefano Pasquali Managing Director, is the Head of Liquidity Research Group at BlackRock Solutions. As Head of Liquidity Research, Mr. Pasquali is responsible for market liquidity modelling both at the security and portfolio level, as well as estimating portfolio liquidity risk profiles. His responsibilities include defining cross asset class models, leveraging available trade data and developing innovative machine learning based approaches to better estimate market liquidity. Mr. Pasquali is heavily involved in developing methodologies to estimate funding liquidity and better estimate funds flows. These models include: the cost of position or portfolio liquidation, time to liquidation, redemption estimation, and investor behavior modelling utilizing a big data approach. Stefano is a member of the Government Relations Steering Committee within BlackRock.

Previous to Blackrock, Mr. Pasquali oversaw product development and research for Bloomberg's liquidity solution, introducing a big data approach to their financial analytics. His team designed and implemented models to estimate liquidity and risk across different asset classes with a particular focus on OTC markets. Before this he lead business development and research for fixed income evaluated pricing.
Mr. Pasquali has more than 15 years of experience examining and implementing innovative approaches to calculating risk and market impact. He regularly speaks at industry events about the complexity and challenges of liquidity evaluation ̶ particularly in the OTC marketplace. His approach to risk and liquidity evaluation is strongly influenced by over 20 years of experience working with big data, data mining, machine learning and data base management.

Prior to moving to New York in 2010, Mr. Pasquali held senior positions at several European banks and asset management firms where he oversaw risk management, portfolio risk analysis, model development and risk management committees. These accomplishments include the construction of a risk management process for a global asset management firm with over 100 Billion AUM. This involved driving projects from data acquisition and normalization to model development and portfolio management support.

Mr. Pasquali, a strong believer in academic contribution to the industry, has engaged in various conversations and collaborations with universities from the US, UK, and Italy. He also participates as a supervisor in the Experiential Learning Program and Masters of Quantitative Finance Program based at Rutgers University, along with tutoring students in research activities.

Before his career in finance, Mr. Pasquali was a researcher in Theoretical and Computational Physics (in particular Monte Carlo Simulation, Solid State physics, Environment Science, Acoustic Optimization). Originally from Carrara (Tuscany, Italy), he grew up in Parma. Mr. Pasquali is a graduate of Parma University and holds a master's degree in Theoretical Physics, as well as research fellowships in Computational Physics at Parma University and Reading University (UK).

Speakers

Alexandre Antonov

Director

STANDARD CHARTERED

Alexandre Antonov, Director, STANDARD CHARTERED

Alexandre Antonov received his PhD degree from the Landau Institute for Theoretical Physics in 1997. He worked for Numerix during 1998-2017
and recently he has joined Standard Chartered bank in London as a director.

His activity is concentrated on modeling and numerical methods for interest rates, cross currency, hybrid, credit and CVA/FVA/MVA. AA is a published author for multiple publications in mathematical finance and a frequent speaker at financial conferences.

He has received a Quant of Year Award of Risk magazine in 2016.

 

John Armstrong

Lecturer in Financial Mathematics, Probability and Statistics

KING’S COLLEGE LONDON ‎

John Armstrong, Lecturer in Financial Mathematics, Probability and Statistics, KING'S COLLEGE LONDON ‎

John Armstrong is a Senior Lecturer in Financial Mathematics at King's College London. He has worked in the industry for Goldman Sachs, Dresdner and ION Trading. He was a co-founder of Yolus, a risk management software development company which and designed their risk management system, before selling Yolus to ION Trading in 2008. His mathematical background is in differential geometry: obtaining a PhD in geometry at Oxford under the supervision of Simon Salamon.

Gilles Artaud

Senior Advisor, Market and Counterparty Risk

CREDIT AGRICOLE

Gilles Artaud, Senior Advisor, Market and Counterparty Risk, CREDIT AGRICOLE

 Gilles Artaud has been working in investment banking for the last 20 years, where he held various positions within Quant, Front Office and Risk Department, working all along on many underlying types, pricing, validation, regulatory and economic capital, market risk and counterparty credit risk topics.

After setting in place the methodology and library for CCR and CVA, he lead XVA, initial margins on non-cleared transactions, and many regulatory topics.

His current "hot" topics are XVAs (CVA DVA FVA AVA MVA...) and impact of new regulatory requirements on derivatives, among which SA-CCR, NSFR, FRTB and FRTB-CVA and Artificial Intelligence technologies in Risk Management.

 

Peter Austing

Quantitative Research

CITADEL

Peter Austing, Quantitative Research, CITADEL

Stefano Colucci

Senior Risk Manager

SYMPHONIA SGR

Stefano Colucci, Senior Risk Manager, SYMPHONIA SGR

Stefano Colucci graduated in Economics from the University of L'Aquila, and in Statistics from the University of Turin. He received a Master's degree in Finance and a Master's degree in Insurance and Risk Management from the Collegio Carlo Alberto (Moncalieri, Turin, Italy). He is currently enrolled in the Ph.D program in Finance at the University of Roma Tre, which he is attending while working for the Symphonia Sgr in Turin (Italy) as a Senior Risk Manager since 2007. His research interests focus on risk management and on quantitative methods for portfolio selection.

Rama Cont

Professor of Mathematics & Chair of Mathematical Finance, Department of Mathematics

IMPERIAL COLLEGE LONDON

Rama Cont, Professor of Mathematics & Chair of Mathematical Finance, Department of Mathematics, IMPERIAL COLLEGE LONDON

Rama Cont is Professor of Mathematics and Chair of Mathematical Finance at Imperial College (London), director of the CFM-Imperial Institute of Quantitative Finance, Senior Research Scientist at the National Centre for Scientific Research (CNRS) in Paris (France), Scientific advisor to Norges Bank and founding partner of Finance Concepts, a risk management advisory firm based in Paris and New York. His research has focused on stochastic processes and the modeling of extreme market risks: market breakdowns, systemic risk and liquidity risk. He has participated in the design and stress testing of large scale risk-management systems for major exchanges and CCPs in Europe, the US, Latin America and Asia. He was awarded the Louis Bachelier Prize in 2010 by the French Academy of Sciences for his research on mathematical modelling of financial risks.

 

Michael Dempster

Professor Emeritus & Founder, Centre For Financial Research, Department Of Pure Mathematics And Statistics,

UNIVERSITY OF CAMBRIDGE

Michael Dempster, Professor Emeritus & Founder, Centre For Financial Research, Department Of Pure Mathematics And Statistics, UNIVERSITY OF CAMBRIDGE

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 17 books include Introduction to Optimization Methods (with P R Adby), Stochastic Programming, Large Scale Linear Programming (with G B Dantzig and M Kallio), Mathematical Models in Economics (with M O L Bacharach and J L Enos), 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), Commodities (with K Tang) and High Performance Computing in Finance (with J Kanniainen, J Keane and E Vynckier). His work has won several awards and he is a Fellow of the Institute of Mathematics and Its Applications, an Honorary Fellow of the UK Institute of Actuaries, a foreign member of the Academia Nationale dei Lincei (Italian Academy and world's oldest scientific society) and Managing Director of Cambridge Systems Associates Limited, a financial analytics consultancy and software company.

Giuliano De Rossi

Head of European Quantitative Research

MACQUARIE GROUP

Giuliano De Rossi, Head of European Quantitative Research, MACQUARIE GROUP

Giuliano De Rossi heads the European Quantitative Research team at Macquarie based in London. He joined from PIMCO where he was an analyst in the Credit and Equity Analytics and Asset Allocation teams. Prior to this he worked for six years in the Quant research team at UBS. He has a PhD in economics from Cambridge University, and worked for three years as a college lecturer in economics at Cambridge before joining the finance industry on a full-time basis.

Giuliano's Masters degree is from the LSE and his first degree is from Bocconi University in Milan. He has worked on a wide range of topics, including pairs trading, low volatility, the tracking error of global ETFs, cross asset strategies, downside risk and text mining. His academic research has been published in the Journal of Econometrics and the Journal of Empirical Finance.

Luc Dumontier

Head of Factor Investing & Senior Portfolio Manager

LA FRANCAISE INVESTMENT SOLUTIONS

Luc Dumontier, Head of Factor Investing & Senior Portfolio Manager, LA FRANCAISE INVESTMENT SOLUTIONS

In 1998, Luc started his career as an equity portfolio manager. From 2004 to 2011, he was in charge of the Absolute Return management at Sinopia where he developed quantitative strategies such as Global Bond Market Neutral, Currency Overlay, Global Tactical Asset Allocation, and Multi Government Bonds. After that, Luc was Head of the Absolute Return management at HSBC AM. Luc also leads the « Portfolio Management » class at the SFAF (French Society of Financial Analysts) since 2002 and at the AFG (French Asset Management Association) since 2011.

Luc holds a Master's degree of Economy and also a Master's degree in Money, Bank and Finance from Pantheon-Sorbonne University.

 

Youssef Elouerkhaoui

Managing Director, Global Head of Credit and Commodities Quantitative Analysis

CITI

Youssef Elouerkhaoui, Managing Director, Global Head of Credit and Commodities Quantitative Analysis, CITI

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.

Eduardo Epperlein

Managing Director, Global Head of Risk Methodology

NOMURA INTERNATIONAL

Eduardo Epperlein, Managing Director, Global Head of Risk Methodology, NOMURA INTERNATIONAL

Eduardo Epperlein has over 20 years experience in the financial industry and is currently Managing Director and Global Head of Risk Methodology at Nomura. He is responsible for credit, market and operational risk methodology, as well as stress testing anaytics. Prior to joining Nomura, Eduardo held various roles in risk methodology at Citigroup, including model validation. Eduardo holds a PhD in Plasma Physics from Imperial College, London, and spent 10 years as a research scientist prior to joining the financial industry.

 

 

Wahb Ettoumi

Quantitative Analyst

NOMURA

Wahb Ettoumi, Quantitative Analyst, NOMURA

Wahb currently works in Nomura's Front Office Quantitative Research Team, mostly focusing on XVA, Credit Analytics, and Regulatory Capital.

Wahb holds a PhD in Theoretical Physics from the Ecole Polytechnique (France), and prior to joining Nomura, he worked as a scientist at the University of Geneva, bridging statistical physics and non-linear optics.

Wahb is the recipient of the 17th "Le Monde" Academic Research Prize, awarded by a jury presided by Fields Medallist Cédric Villani.

 

Alexander Giese

Managing Director, Head of Quantitative and Digital Development for Trading Corporate & Investment Banking

UNICREDIT BANK

Alexander Giese, Managing Director, Head of Quantitative and Digital Development for Trading Corporate & Investment Banking, UNICREDIT BANK

Alexander Giese is a Managing Director and the Head of Quantitative and Digital Development for Trading 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 holds a MSc in financial mathematics from Florida State University. His main research interests include stochastic volatility models, hybrid models and static hedging. Recently, he is exploring applications of machine learning in the context of front office trading.

Nick Granger

Chief Investment Officer,

MAN AHL

Nick Granger, Chief Investment Officer, MAN AHL

Nick Granger is Chief Investment Officer ('CIO') of Man AHL ('AHL'), and a member of the Man Executive Committee. He is also Portfolio Manager of AHL Dimension Programme, AHL's flagship systematic multi-strategy programme. Previously, Nick was Co-Head of Research and Deputy CIO of AHL.

Nick joined AHL in 2008, initially to lead the development of AHL's systematic volatility trading strategies, later running cross asset-class research across the group. Before joining AHL, Nick was an Equity Derivatives Strategist at JP Morgan, developing quantitative trading models.

Nick graduated from the University of Oxford in 1996 with a First Class Degree in Mathematics, and gained a PhD in Mathematical Logic in 1999 from the University of Manchester.

 

Andrew Green

Managing Director and XVA Lead Quant

SCOTIABANK

Andrew Green, Managing Director and XVA Lead Quant , SCOTIABANK

 

 

Tony Guida

Senior Quantitative Portfolio Manager

RPMI RAILPEN

Tony Guida, Senior Quantitative Portfolio Manager, RPMI RAILPEN

Tony Guida is Senior Investment Manager, managing multi-factor equity portfolios for the asset manager of a UK pension fund in London. Prior to that Tony was Senior Research Consultant for Smart Beta and Risk allocation at EDHEC RISK Scientific Beta, advising asset owners how to construct and allocate to risk premia. Before joining EDHEC Tony worked eight years at UNIGESTION as a Senior Research Analyst. Tony was a member of the research and Investment Committee for Minimum Variance Strategies and he was leading Factor Investing research group for institutional clients.

Tony holds Bachelors and Master degrees in Econometry and Finance from the University of Savoy in France.

 

 

 

Nicholas Harper

Portfolio Manager

JANUS HENDERSON INVESTORS

Nicholas Harper, Portfolio Manager, JANUS HENDERSON INVESTORS

Peter Jaeckel

Deputy Head of Quantitative Research

VTB CAPITAL

Peter Jaeckel, Deputy Head of Quantitative Research, VTB CAPITAL

Peter Jäckel received his DPhil from Oxford University in 1995. In 1997, he moved into quantitative analysis and financial modelling when he joined Nikko Securities. Following that he worked as a quantitative analyst at NatWest, Commerzbank Securities, ABN AMRO, and now VTB Capital where he is the Deputy Head of Quantitative Research. Peter is the author of "Monte Carlo Methods in Finance" published by John Wiley & Sons. Some of his publications can be found at WWW.JAECKEL.ORG.

Jessica James

Managing Director, Senior Quantitative Researcher

COMMERZBANK AG

Jessica James, Managing Director, Senior Quantitative Researcher, COMMERZBANK AG

Jessica James is the Senior Quantitative Researcher in the Rates Research team at Commerzbank., where she covers foreign exchange and fixed income. She joined Commerzbank from Citigroup where she was Global Head of the Quantitative Investor Solutions Group. Previously, she lectured in physics at Trinity College, Oxford.

Significant publications include ‘FX Option Performance', ‘Handbook of Foreign Exchange' (Wiley), 'Interest Rate Modelling' (Wiley), and 'Currency Management' (Risk books).

She is on the Board of the Journal of Quantitative Finance, a Fellow of the Institute of Physics, and is a Visiting Professor at UCL and Cass Business School.

 

 

Reda Jürg Messikh

Senior Investment Manager, Quantitative Equities

PICTET ASSET MANAGEMENT

Reda Jürg Messikh, Senior Investment Manager, Quantitative Equities, PICTET ASSET MANAGEMENT

Reda Jürg Messikh joined Pictet Asset Management in 2007 and is Head of Quantitative Research for SRI investments in the Quantitative Investments team.

Prior to his current position, he was Deputy Head of Risk Control in the Product and Risk Management team until 2011.
Before joining Pictet, he was a researcher at the Swiss Federal Institute of Technology (EPFL) in Lausanne and at EURANDOM in Eindhoven, The Netherlands.

Reda Jürg graduated with an Engineering degree in Physics from EPFL. He also holds a PhD in Mathematics and a MSc in Stochastic Modeling from the University of Paris (Orsay).

 

Abdel Lantere

Data Scientist, Quantitative Consultant

HSBC

Abdel Lantere, Data Scientist, Quantitative Consultant, HSBC

Abdel Lantere is a data scientist and quantitative consultant. He has extensive experience in the financial industry spanning over 15 years covering pricing, risk and quantitative trading models. He holds a MSc in Machine Learning from University College London and a DEA in Probability Theory and Finance from UPMC Paris.

David Jessop

Managing Director, Global Head of Equities Quantitative Research

UBS

David Jessop, Managing Director, Global Head of Equities Quantitative Research, UBS

David Jessop is the Global Head of Equities Quantitative Research at UBS. His areas of research include portfolio analysis and construction, style analysis and risk modelling. He also helps clients understand, use and implement the quantitative tools available from UBS. David joined UBS in 2002. Prior to this, he spent seven years at Citigroup as Head of Global Quantitative Marketing. Before moving to the sell side he spent six years at Morgan Grenfell Asset Management, where he managed index funds, asset allocation funds and also an option overwriting fund. David graduated from Trinity College, Cambridge with an MA in Mathematics.

 

 

Chris Kenyon

Head of XVA Quant Modelling, FOS-Quant Modelling

MUFG SECURITIES

Chris Kenyon, Head of XVA Quant Modelling, FOS-Quant Modelling, MUFG SECURITIES

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 twelve papers in the Cutting Edge technical section of Risk magazine, co-wrote "Discounting, LIBOR, CVA and Funding" (Palgrave 2012) and co-edited "Landmarks in XVA" (Risk 2016). He has a Ph.D. from Cambridge and is an author of the open-source software Quantlib.

Mats Kjaer

Head of Quant XVA Analytics

BLOOMBERG

Mats Kjaer , Head of Quant XVA Analytics, BLOOMBERG (Risk.net 2015 Quant of the Year)

Mats Kjaer is Head of the Quant XVA Analytics team at Bloomberg LP. Prior to that he worked in the Quantitative Analytics Group at Barclays Capital for eight years. Mats has written several papers on valuation in the presence of counterparty risk and funding and is the winner of the Risk Quant of the Year 2015 award. He holds a PhD in Mathematical Finance from Gothenburg University, Sweden.

 

 

Alexei Kondratyev

Managing Director, Head of Prime Services Analytics

STANDARD CHARTERED

Alexei Kondratyev, Managing Director, Head of Prime Services Analytics, STANDARD CHARTERED

In his role as a Managing Director and Head of Prime Services Analytics at Standard Chartered Bank, Alexei is responsible for providing analytics support to the global derivatives trading business with special focus on Execution, Clearing, Liquidity and Portfolio Services (ECLIPSE).

He joined Standard Chartered Bank in 2010 from Barclays Capital where he managed a model development team within Credit Risk Analytics. Prior to joining Barclays Capital in 2004, he was a senior quantitative analyst at Dresdner Bank in Frankfurt.

Alexei holds MSc in Theoretical Nuclear Physics from the University of Kiev and PhD in Mathematical Physics from the Institute for Mathematics, National Academy of Sciences of Ukraine.

 

 

Gordon Lee

‎Executive Director, Portfolio Quantitative Analytics

UBS

Gordon Lee, ‎Executive Director, Portfolio Quantitative Analytics, UBS

George Lentzas

Manager & Chief Data Scientist and Adjunct Associate Professor,

SPRINGFIELD CAPITAL MANAGEMENT, COLUMBIA BUSINESS SCHOOL & NEW YORK UNIVERSITY

George Lentzas, Manager & Chief Data Scientist and Adjunct Associate Professor, SPRINGFIELD CAPITAL MANAGEMENT, COLUMBIA BUSINESS SCHOOL & NEW YORK UNIVERSITY

Dr. George A. Lentzas (Springfield Capital Management, Columbia Business School and NYU) is a statistics expert with a decade of experience in applying quantitative models in the real world. He has worked in various capacities at a number of leading financial institutions, including Morgan Stanley, BNP Paribas, Citigroup and Hutchin Hill Capital. He has also held faculty positions at both Columbia University and New York University, where he has taught courses in Machine Learning and Applied Statistics & Econometrics. His professional expertise includes the application of statistics, machine learning and artificial intelligence to finance and economics. He is currently the Chief Data Scientist and Manager of Springfield Capital Management, a NY based start-up quantitative hedge fund, as well as an Adjunct Associate Professor of Business at Columbia Business School and of Economics at New York University. He holds a PhD, MPhil and BA from Oxford University, an MPhil from Cambridge University and has been a Visiting Fellow at the Department of Economics, Harvard University.

Zhongmin Luo

Researcher

BIRKBECK, UNIVERSITY OF LONDON

Zhongmin Luo, Independent Consultant, Researcher, BIRKBECK, UNIVERSITY OF LONDON

Zhongmin Luo is an Independent Consultant and Researcher with Department of Economics, Mathematics and Statistics at Birkbeck, University of London. He worked as Senior Quant for 12+ years for HSBC, Cheyne Capital, Danske Bank and other firms in model development and validation of credit and market risks, asset valuation and regulatory capital at banks, hedge fund and asset managers. In recent years, he has been conducting researches on applying Machine Learning techniques to solving real-world problems in finance, e.g., CDS Rate Construction Methods by Machine Learning Techniques, Bank Capital, Net Interest Margin and Stress Test by Machine Learning Techniques. He has been invited speaker at Machine Learning and AI, Quantitative Finance and Risk conferences and academic seminars. Zhongmin holds MMath in Financial Mathematics, MA in Economics and B.Sc. in Engineering.

Zhongmin Luo

Independent Consultant, Researcher

BIRKBECK, UNIVERSITY OF LONDON

Zhongmin Luo, Independent Consultant, Researcher, BIRKBECK, UNIVERSITY OF LONDON

Zhongmin Luo is an Independent Consultant and Researcher with Department of Economics, Mathematics and Statistics at Birkbeck, University of London. He worked as Senior Quant for 12+ years for HSBC, Cheyne Capital, Danske Bank and other firms in model development and validation of credit and market risks, asset valuation and regulatory capital at banks, hedge fund and asset managers. In recent years, he has been conducting researches on applying Machine Learning techniques to solving real-world problems in finance, e.g., CDS Rate Construction Methods by Machine Learning Techniques, Bank Capital, Net Interest Margin and Stress Test by Machine Learning Techniques. He has been invited speaker at Machine Learning and AI, Quantitative Finance and Risk conferences and academic seminars. Zhongmin holds MMath in Financial Mathematics, MA in Economics and B.Sc. in Engineering.

Nadhem Meziou

Head of Fixed Income Quantitative Research

NATIXIS

Nadhem Meziou, Head of Fixed Income Quantitative Research, NATIXIS

Nadhem Meziou is currently the Head of Fixed Income Quantitative Research at Natixis CIB, where he looks after modeling & pricing needs of Rates, FX & Credit business lines.

Previous to that, Nadhem was running the Quantitative Research team of Dresdner Equity Derivatives in London. He started his career as a quantitative analyst at Banque Internationale de Placement in Paris.

Nadhem graduated from the Ecole Polytechnique and the Ecole Nationale Supérieure des Techniques Avancées both in Paris. He holds a master's degree in applied mathematics from the University of Paris-Dauphine and an MBA degree in finance from the University of Wisconsin-Madison.

 

Massimo Morini

Head of Interest Rate and Credit Models

BANCA IMI

Massimo Morini, Head of Interest Rate and Credit Models, BANCA IMI

Mostafa Mostafavi

Researcher

IMPERIAL COLLEGE LONDON

Mostafa Mostafavi, Researcher, IMPERIAL COLLEGE LONDON

Dr. Mostafa Mostafavi is a Vice President for Risk and Quantitative Analysis at Credit Suisse in London, part time Researcher at Imperial College London and Director and Founder of Meybod, a company which provides education and research in the field of application of statistical learning in industries such as Health Care, Engineering, Finance and Telecommunication . He has worked as Model Risk Audit Manager at HSBC in London, Quant for Asset liability Management at Barclays Capital in London, Quantitative Analyst for Credit Derivatives at Commerzbank in London, Quantitative Developer at International asset management in London and lecturer at UEL in London. His education includes BSc. in Communication Engineering from Sharif University of Technology, MSc. in Communication Engineering from King's College London, MSc. in Mathematics and Finance from Imperial College London, PhD in Communication Engineering from University of Surrey and PhD in Application of Statistical Learning in Finance at Imperial College London.

 

 

Uwe Naumann

Professor for Computer Science

RWTH AACHEN UNIVERSITY

Uwe Naumann, Professor for Computer Science, RWTH AACHEN UNIVERSITY

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.

Eyal Neuman

Research Fellow in Quantitative Finance, IMPERIAL COLLEGE LONDON

IMPERIAL COLLEGE LONDON

Eyal Neuman, Research Fellow in Quantitative Finance, IMPERIAL COLLEGE LONDON

I am a Research Associate at the mathematical finance group of Imperial College. Previously, I was a Visiting Assistant Professor at the University of Rochester and a Postdoctoral Fellow the at Hong Kong University of Science and Technology. I received my PhD in stochastic processes from the Technion.

My research interests are in the area of probability and stochastic processes. I have primarily been working on stochastic control and stochastic differential games which arise from optimal portfolio liquidation, and on stochastic partial differential equations.

 

Richard Newman

Senior Director, Content & Technology Solutions

FACTSET

Richard Newman, Senior Director, Content & Technology Solutions, FACTSET

Rich Newman is the Senior Director of Content and Technology for FactSet He oversees the Content and Technology Solutions department and works in close collaboration with both Analytics and Workstation solutions to further advance our platform agnostic strategy for monetizing content. Mr. Newman was a co-founder of Insyte, FactSet's first acquisition in 2000. In his previous role as Director of Content Technology Solutions, he led FactSet's off-platform products and solutions business. Prior to that, he led the Americas Quantitative Investment Management group to address the needs of the quantitative investment market. He is a CPA and started his career at Deloitte, Haskins, and sells in NYC. He is a graduate of the Wharton Scholl of the University of Pennsylvania.

Miquel Noguer i Alonso

Chief Development Officer

GLOBAL AI

Miquel Noguer i Alonso, Chief Development Officer, GLOBAL AI

Miquel Noguer i Alonso is a financial markets practitioner with more than 20 years of experience in asset management.

He is currently Chief Development Officer for Global AI a a Big Data Company that uses State-of-the-Art Statistical and Artificial Intelligence models to produce actionable insights, signals and alternative data for institutional clients, including Investors, Governments and Corporations.
He worked for UBS AG (Switzerland) 10 years as Executive Director. He acted a member of European Investment Committee. He worked as a Chief Investment Office and CIO for Andbank from 2000 to 2006. He started his career at KPMG.

He is Adjunct Professor at Columbia University teaching Asset Allocation, Big Data in Finance and Fintech. He is also Professor at ESADE teaching Hedge Fund, Big Data in Finance and Fintech. He taught the first Fintech and Big Data course at the London Business School in 2017.

He received an MBA and a Degree in business administration and economics in ESADE in 1993. In 2010 he earned a PhD in quantitative finance with a Summa Cum Laude distinction (UNED - Madrid Spain). He completed a Postdoc in Columbia Business School in 2012. He collaborated with the Mathematics department of Fribourg during his PhD. He also holds the Certified European Financial Analyst (CEFA) 2000.

His research interests range from asset allocation, big data, machine learning to algorithmic trading and Fintech. His academic collaborations include a visiting scholarship in Columbia University in 2013 in the Finance and Economics Department, in Fribourg University in 2010 in the mathematics department, and giving presentations in Indiana University, ESADE and CAIA and several industry seminars like the Quant Summit USA 2017 and 2010.

 

Julian Phillips

Global Head, Enterprise Risk Analytics

STANDARD CHARTERED

Julian Phillips, Global Head, Enterprise Risk Analytics, STANDARD CHARTERED

Dr. Julian Phillips, PhD, is head of Enterprise Risk Analytics for Standard Chartered Bank. He is responsible for risk modelling, the overall SCB approach to quantitative modelling, and advanced analytics capabilities for the risk function. He is also an advisor to digital finance start-ups. He has previously held roles in model development, model risk management and quantitative risk management at Deutsche Bank, Bank of America, and GE Capital. Prior to entering the Finance industry, Julian was a researcher in experimental and theoretical particle physics in England, Germany and Switzerland. He has recently returned to London after spending several years in New York, and lives with his wife and two children in Hampstead.

Riccardo Rebonato

Professor of Finance

EDHEC BUSINESS SCHOOL

Riccardo Rebonato, Professor of Finance, EDHEC BUSINESS SCHOOL

Riccardo Rebonato is Professor of Finance at EDHEC Business School and author of journal articles and books on Mathematical Finance,covering derivatives pricing, risk management and asset allocation. Prior to this, he was Global Head of Rates and FX Analytics at PIMCO.

Academically, he is an editor of financial journals and was until 2016 a visiting lecturer at Oxford University and adjunct professor at Imperial College's Tanaka Business School. He has served on the board of directors of the International Swaps and Derivatives Association (ISDA) and the board of trustees for the Global Association of Risk Professionals (GARP). He has been head of derivatives trading, head of research and head of market risk management at different international banks. He holds a doctorate in nuclear engineering and a PhD in condensed matter physics/science of materials from Stony Brook University, NY.

 

Ignacio Ruiz

Founder & Chief Executive Officer

MOCAX INTELLIGENCE

Ignacio Ruiz, Founder & Chief Executive Officer, MOCAX INTELLIGENCE

Ignacio Ruiz is a Global leader in the area of Quantitative Risk Management and related disciplines. He established himself in 2010 as an independent consultant through his company iRuiz Consulting. Before that he was the leading quant for Counterparty Credit Risk, exposure measurement, at Credit Suisse, and the head of Market and Counterparty Risk Analytics, equity, at BNP Paribas. In 2015 he founded iRuiz Technologies, a niche technology company based in the believe that the status quo of what can be done with a computer can be challenged. Its first product, MoCaX Intelligence, delivers the first world methodology to compute risk of Initial Margin in a costly and accurate manner. Ignacio has several publications and has authored "XVA Desks", a leading book in quantitative risk. He hold a PhD in Physics from Cambridge University.

Andrea Pallavicini

Head of Equity, FX and Commodity Models

BANCA IMI

Andrea Pallavicini, Head of Equity, FX and Commodity Models, BANCA IMI

Andrea Pallavicini is the head of equity, FX and commodity models at Banca IMI, Milan, and visiting professor at the Department of Mathematics of Imperial College, London. He holds a Ph.D. in Theoretical and Mathematical Physics from the University of Pavia for his research activity at CERN. Over the years he published several papers in financial modelling, theoretical physics and astrophysics. He is the author of the books "Credit Models and the Crisis: a journey into CDOs, copulas, correlations and dynamic models'', Wiley (2010), and "Counterparty Credit Risk, Collateral and Funding with pricing cases for all asset classes", Wiley (2013).

Artur Sepp

Director, Quantitative Strategist

JULIUS BAER

Artur Sepp, Director, Quantitative Strategist, JULIUS BAER

Artur Sepp works as a Quantitative Strategist at the Swiss wealth management company Julius Baer in Zurich. His focus is on quantitative models for systematic trading strategies, risk-based asset allocation, and volatility trading. Prior to that, Artur worked as a front office quant in equity and credit at Bank of America, Merrill Lynch and Bear Stearns in New York and London with emphasis on volatility modelling and multi- and cross-asset derivatives valuation, trading and risk-managing. His research area and expertise are on econometric data analysis, machine learning, and computational methods with their applications for quantitative trading strategies, asset allocation and wealth management. Artur has a PhD in Statistics focused on stopping time problems of jump-diffusion processes, an MSc in Industrial Engineering from Northwestern University in Chicago, and a BA in Mathematical Economics. Artur has published several research articles on quantitative finance in leading journals and he is known for his contributions to stochastic volatility and credit risk modelling. He is a member of the editorial board of the Journal of Computational Finance. Artur keeps a regular blog on quant finance and trading at www.artursepp.com.

Colin Turfus

Credit Derivatives Model Validation

DEUTSCHE BANK

Colin Turfus, Credit Derivatives Model Validation, DEUTSCHE BANK

Colin Turfus has worked for the last twelve years as a financial engineer, mainly analysing model risk for credit derivatives and hybrids. More recently his interest has been in the application of perturbation methods to risk management, finding efficient analytic methods for computing, e.g., wrong-way risk, CVA, VaR and model risk. He is currently working in Global Model Validation and Governance at Deutsche Bank. He also taught evening courses on C++ and Financial Engineering at City University for seven years. Prior to that Colin worked as a developer consultant in the mobile phone industry after an extended period in academia, teaching applied maths and researching in fluid dynamics and turbulent dispersion. His publications are listed at www.researchgate.net/profile/Colin_Turfus.

Peter Warken

Portfolio Manager, Multi Asset Group

DEUTSCHE ASSET MANAGEMENT

Peter Warken, Portfolio Manager, Multi Asset Group, DEUTSCHE ASSET MANAGEMENT

Peter is as a portfolio manager in Deutsche AM's Multi Asset & Solutions Group. He manages bespoke portfolio solutions for institutional clients and is in particular responsible for strategic asset allocation.
Peter holds a BSc in Mathematics and a MSc in Financial Mathematics from the Technical University of Kaiserslautern.