Speakers List - Quant Summit USA
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Advisory board members

Luca Capriotti

Global Head Quantitative Strategies Credit and Financing

CREDIT SUISSE

Peter Carr

Chair of the Finance and Risk Engineering Department

NYU TANDON SCHOOL OF ENGINEERING

Peter Carr, Chair of the Finance and Risk Engineering Department, NYU TANDON SCHOOL OF ENGINEERING

Professor Peter Carr is the Chair of the Finance and Risk Engineering Department at NYU's Tandon School He has headed various quant groups in the nancial industry for the last twenty years. He also presently serves as a trustee for the National Museum of Mathematics and WorldQuant University. Prior to joining the nancial industry, Dr. Carr was a finance professor for 8 years at Cornell University, after obtaining his PhD from UCLA in 1989. He has over 85 publications in academic and industry-
oriented journals and serves as an associate editor for 8 journals related to mathematical nance. He was selected as Quant of the Year by Risk Magazine in 2003 and Financial Engineer of the Year by IAQF/Sungard in 2010. From 2011 to 2014, Dr. Carr was included in Institutional Investor's Tech 50, an annual listing of the 50 most inuential people in financial technology.

Mauro Cesa

Quant Finance Editor

RISK.NET

Jim Gatheral

Presidential Professor of Mathematics, Baruch College

CUNY

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 involved in all of the major derivative product areas as bookrunner, risk manager, and quantitative analyst in London, Tokyo and New York, in a career in the financial industry that spanned over 27 years. Jim has served as a Managing Editor of the International Journal of Theoretical and Applied Finance and as Associate Editor of the SIAM Journal on Financial Mathematics; he currently serves as Joint Editor-in-Chief of Quantitative Finance with Michael Dempster. His current research focus is on volatility modeling and modeling equity market microstructure for algorithmic trading. Jim is also a frequent speaker at both practitioner and academic conferences around the world. 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. He received his Ph.D. in theoretical physics from Cambridge University.

Igor Halperin

Research Professor of Financial Machine Learning

NYU TANDON SCHOOL OF ENGINEERING

Igor Halperin is currently an Adjunct Professor of Financial Machine Learning at the NYU Tandon School of Engineering. Prior to that, he was an Executive Director of Quantitative Research at JPMorgan Chase where he focused on the research and development of predictive and statistical models and machine learning methods for modeling risk of financial portfolios.

He has authored a number of publications on quantitative finance, and is a frequent speaker at financial conferences. Dr. Halperin has a Ph.D. in theoretical physics from Tel Aviv University, and M.Sc. in nuclear physics from St. Petersburg State Technical.

 

 

Marcos Lopez de Prado

Chief Executive Officer

TRUE POSITIVE TECHNOLOGIES

Marcos Lopez de Prado, Chief Executive Officer, TRUE POSITIVE TECHNOLOGIES

Dr. Marcos López de Prado is the chief executive officer of True Positive Technologies. He founded Guggenheim Partners' Quantitative Investment Strategies (QIS) business, where he applied cutting-edge machine learning (ML) to the development of high-capacity strategies that delivered superior risk-adjusted returns. After managing up to $13 billion in assets, Marcos acquired QIS and successfully spun-out that business from Guggenheim in 2018.

Since 2010, Marcos has been a research fellow at Lawrence Berkeley National Laboratory (U.S. Department of Energy, Office of Science). One of the top-10 most read authors in finance (SSRN's rankings), he has published dozens of scientific articles on ML and supercomputing in the leading academic journals, and he holds multiple international patent applications on algorithmic trading.

Marcos earned a PhD in Financial Economics (2003), a second PhD in Mathematical Finance (2011) from Universidad Complutense de Madrid, and is a recipient of Spain's National Award for Academic Excellence (1999). He completed his post-doctoral research at Harvard University and Cornell University, where he teaches a Financial ML course at the School of Engineering. Marcos has an Erdős #2 and an Einstein #4 according to the American Mathematical Society.

 

 

Dilip Madan

Professor of Finance at the Robert H. Smith School of Business

UNIVERSITY OF MARYLAND

Dilip Madan, ‎Professor at Robert H. Smith School of Business, UNIVERSITY OF MARYLAND

Dilip Madan is Professor of Finance at the Robert H. Smith School of Business. He specializes in Mathematical Finance. Currently he serves as a consultant to Morgan Stanley, Meru Capital and Caspian Capital. He has also consulted with Citigroup, Bloomberg, the FDIC and Wachovia Securities. He is a founding member and Past President of the Bachelier Finance Society. He received the 2006 von Humboldt award in applied mathematics, was the 2007 Risk Magazine Quant of the year, received the 2008 Medal for Science from the University of Bologna and held the 2010 Eurandom Chair. He is Man- aging Editor of Mathematical Finance, Co-editor of the Review of Derivatives Research, Associate Editor of the Journal of Credit Risk and Quantitative Finance. His work is dedicated to improving the quality of financial valuation models, enhancing the performance of investment strategies, and advancing the efficiency of risk allocation in modern economies. Recent major contributions have appeared inMathematical Finance, Finance and Stochastics, Quantitative Finance, the Journal of Computational Finance, The International Journal of Theoretical and Applied Finance, The Journal of Risk, The Journal of Credit Risk among other journals.

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

Leif Andersen

Global Co-Head of The Quantitative Strategies Group

BANK OF AMERICA MERRILL LYNCH

Leif Andersen, Global Co-Head of The Quantitative Strategies Group, BANK OF AMERICA MERRILL LYNCH

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.

Peter Carr

Chair of the Finance and Risk Engineering Department

NYU TANDON SCHOOL OF ENGINEERING

Peter Carr, Chair of the Finance and Risk Engineering Department, NYU TANDON SCHOOL OF ENGINEERING

Professor Peter Carr is the Chair of the Finance and Risk Engineering Department at NYU's Tandon School He has headed various quant groups in the nancial industry for the last twenty years. He also presently serves as a trustee for the National Museum of Mathematics and WorldQuant University. Prior to joining the nancial industry, Dr. Carr was a finance professor for 8 years at Cornell University, after obtaining his PhD from UCLA in 1989. He has over 85 publications in academic and industry-
oriented journals and serves as an associate editor for 8 journals related to mathematical nance. He was selected as Quant of the Year by Risk Magazine in 2003 and Financial Engineer of the Year by IAQF/Sungard in 2010. From 2011 to 2014, Dr. Carr was included in Institutional Investor's Tech 50, an annual listing of the 50 most inuential people in financial technology.

Luca Capriotti

Global Head Quantitative Strategies Credit and Financing

CREDIT SUISSE

Luca Capriotti, Global Head Quantitative Strategies Credit and Financing, CREDIT SUISSE

Rama Cont

Professor of Mathematics & Chair of Mathematical Finance

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 in Mathematical Finance at Imperial College London, Director of the CFM-Imperial Institute of Quantitative Finance. and co-Director of the EPSRC Centre for Doctoral Training in Financial Analytics and Computing.

He joined Imperial College in 2012 after holding teaching and research positions at Ecole Polytechnique (France), Columbia University (New York) and Université Pierre & Marie Curie (Paris VI).

Rama Cont's research focuses on stochastic analysis, stochastic processes and mathematical modeling in finance, in particular the modeling of extreme market risks: discontinuities in market behavior, extreme risks, endogenous risk and systemic risk. He has participated in numerous consulting projects for financial institutions and regulators in the UK, Europe, US and Asia. He has co-authored more than 60 research publications, including the widely cited monograph Financial Modelling with Jump Processes (2003), and is the Editor-in-Chief of a major reference work, the Encyclopedia of Quantitative Finance (Wiley 2010). He served as Chair of the SIAM Activity Group on Financial Mathematics and Financial Engineering (2010-2012).

Prof. Cont was awarded the Louis Bachelier Prize by the French Academy of Sciences in 2010 for his research on mathematical modeling in finance.

He holds a Doctorat from Université de Paris Sud (Orsay), a Masters degree in Theoretical Physics from Ecole Normale Supérieure (Paris) and a BSc from Ecole Polytechnique (France).

 

Vasil Denchev

Chief Quantum Software Architect

GOOGLE

Vasil Denchev, Chief Quantum Software Architect of Quantum Artificial Intelligence Lab, GOOGLE

Dr. Vasil S. Denchev is the Chief Quantum Software Architect of the Quantum Artificial Intelligence Lab at Google. He received his PhD in Computer Science from Purdue University. Vasil's PhD research gave impetus to the founding in 2013 of the Quantum Artificial Intelligence Lab by pioneering important techniques allowing for the successful application of quantum annealing to statistical machine learning and computer vision problems. Currently Vasil is studying the computational effects of quantum tunneling and many-body delocalization via experimentation with existing quantum processors as well as distributed large-scale numerical simulations of various quantum and classical computational models. Most recently, in recognition of his overall contributions to the computing sciences, Vasil received the prestigious John Atanasoff Award from the President of Bulgaria.

Suresh Baral

Managing Director

PROTIVITI

Suresh Baral, Managing Director, PROTIVITI

Suresh Baral is a Managing Director in Protiviti's Model Risk practice within the Data Management and Advanced Analytics solution. He has 20 years of experience in leading model development and model validation; economic capital modeling, stress testing, loss forecasting, managing credit risk of consumer loan portfolios, and improving portfolio performance through use of analytical data driven approaches.

Jonathan Briggs

Senior Portfolio Manager, Quantitative Equities, Public Market Investments

CANADA PENSION PLAN INVESTMENT BOARD

Jonathan Briggs, Senior Portfolio Manager, Quantitative Equities, Public Market Investments, CANADA PENSION PLAN INVESTMENT BOARD

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.

Arik Ben Dor

Head of Quantitative Equity Research

BARCLAYS

Arik Ben Dor, Head of Quantitative Equity Research, BARCLAYS

Over the past 15 years, Dr. Ben Dor oversaw large scale research projects in rates, credit, equities, and hedge funds used by the largest institutional investors globally, including central banks, Sovereign wealth funds, asset managers, insurance companies, pensions and hedge funds. His research focused on asset allocation, smart beta, alpha generation, portfolio optimization, risk management, cost of investment constraints and hedging.

He published two books on quantitative investing in credit securities and over a dozen articles in leading industry journals such as the Journal of Portfolio Management, Journal of Fixed Income, Journal of Investment Management, and Journal of Alternative Investments.

He co-authored the influential articles on ‘DTS (Duration Times Spread)', a new approach to measuring the spread risk of corporate bonds and credit default swaps. It changed industry practices and was widely adopted by credit investors globally. One of his articles received the Martello award for the 2007 best practitioner paper, and his research on ‘cloning' hedge funds was the basis for several products and was awarded a U.S. patent.

His recent work on exploring the cross-asset relation between stocks and bonds was the basis for constructing systematic equity strategies such as momentum and ‘value' based on credit signals, and the usage of equity derivatives for hedging high-yield bonds. His systematic strategies were adopted by some of the largest global asset managers and were presented in leading industry conferences.

Prior to his current role, Dr. Ben Dor worked at Lehman Brothers and Morgan Stanley. He holds a PhD in Finance from the Kellogg Business School at Northwestern University, and completed his B.A. and M.A. in Economics from Tel Aviv University, Cum Laude.

Indrani De

Managing Director, Macro and Country Risk

TIAA

Indrani De, Managing Director, Macro and Country Risk, TIAA

Indrani De, CFA, PRM, is Managing Director of Macro & Country Risk, in Enterprise Risk Management at TIAA. Her responsibilities include macroeconomic and financial markets analysis, economic forecasting, key risk indicators and asset class outlook, stress testing and sensitivity analysis, and identification and evaluation of emerging risks. Prior to TIAA, she was Senior Director of Quantitative Research at institutional buy-side investment firm New Amsterdam Partners. Earlier in her career, she worked as an investment analyst for GE Capital and 20th Century Venture Capital. She has been published in the Journal of Investing, Journal of Investment Consulting and NYSSA Financial Professionals' Post. Indrani is a past president and on the Board of Directors of the Society of Quantitative Analysts (SQA). She has been a frequent speaker at leading industry conferences and been quoted in major media outlets like Reuters, Forbes and Financial Planning. Indrani received an undergraduate degree in Economics (Honors) from University of Delhi, and an MBA from the Indian Institute of Management (Bangalore). She completed the coursework for a PhD (Business-Major in Finance) at the City University of New York with a full merit scholarship, and holds the Chartered Financial Analyst and Professional Risk Manager designations. Indrani lives in Livingston, New Jersey and enjoys reading on a wide range of subjects and travelling the world. She has travelled to more than forty countries.

 

 

Peg DiOrio

Head of Quantitative Equity

VOYA INVESTMENT MANAGEMENT

Peg DiOrio, Head of Quantitative Equity, VOYA INVESTMENT MANAGEMENT

Peg DiOrio is the head of quantitative equity at Voya Investment Management and serves as a portfolio manager for the Voya Natural Resources Equity Income and Infrastructure, Industrials and Materials funds. Prior to joining the firm, she was a quantitative analyst with Alliance Bernstein/Sanford C. Bernstein for sixteen years where she was responsible for multivariate and time series analysis for low volatility strategies, global equities, REITs and options. Previously she was a senior investment planning analyst with Sanford C. Bernstein. Peg received an MS in Applied Mathematics, Statistics and Operations Research from the Courant Institute of Mathematical Sciences, NYU and a BS from SUNY Stony Brook. She holds the Chartered Financial Analyst® designation and is a Past President and current board member of the Society of Quantitative Analysts.

Santiago Garcia

Director, Quantitative Analyst

WELLS FARGO

Santiago Garcia, Director, Quantitative Analyst, WELLS FARGO

Jim Gatheral

BARUCH COLLEGE, CUNY

Presidential Professor of Mathematics

Jim Gatheral, Presidential Professor of Mathematics, Baruch College, CUNY

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 involved in all of the major derivative product areas as bookrunner, risk manager, and quantitative analyst in London, Tokyo and New York, in a career in the financial industry that spanned over 27 years. Jim has served as a Managing Editor of the International Journal of Theoretical and Applied Finance and as Associate Editor of the SIAM Journal on Financial Mathematics; he currently serves as Joint Editor-in-Chief of Quantitative Finance with Michael Dempster. His current research focus is on volatility modeling and modeling equity market microstructure for algorithmic trading. Jim is also a frequent speaker at both practitioner and academic conferences around the world. 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. He received his Ph.D. in theoretical physics from Cambridge University.

Julien Guyon

Senior Quant

BLOOMBERG

Julien Guyon, Senior Quant, BLOOMBERG, Adjunct Professor, COLUMBIA UNIVERSITY, Courant Institute of Mathematical Sciences, NYU

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.

Igor Halperin

Adjunct Professor

NYU TANDON SCHOOL OF ENGINEERING

Igor Halperin, Adjunct Professor, NYU TANDON SCHOOL OF ENGINEERING

Igor Halperin is currently an Adjunct Professor of Financial Machine Learning at the NYU Tandon School of Engineering. Prior to that, he was an Executive Director of Quantitative Research at JPMorgan Chase where he focused on the research and development of predictive and statistical models and machine learning methods for modeling risk of financial portfolios.

He has authored a number of publications on quantitative finance, and is a frequent speaker at financial conferences. Dr. Halperin has a Ph.D. in theoretical physics from Tel Aviv University, and M.Sc. in nuclear physics from St. Petersburg State Technical.

 

 

Bernhard Hientzsch

Head of Model, Library, and Tools Development for Corporate Model Risk

WELLS FARGO

Bernhard Hientzsch, Director, Head of Model, Library, and Tools Development for Corporate Model Risk, WELLS FARGO

Andrey Itkin

Director, Senior Quant Research Associate

BANK OF AMERICA

Andrey Itkin, Director, Senior Quant Research Associate, BANK OF AMERICA

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.

Petter Kolm

Director of the Mathematics in Finance Masters Program

NEW YORK UNIVERSITY

Petter Kolm, Director of the Mathematics in Finance Masters Program and Clinical Professor, Courant Institute of Mathematical Sciences, NEW YORK UNIVERSITY

Petter Kolm is the Director of the Mathematics in Finance Masters Program and Clinical Associate Professor at the Courant Institute of Mathematical Sciences, New York University and the Principal of the Heimdall Group, LLC. Previously, Petter worked in the Quantitative Strategies Group at Goldman Sachs Asset Management where his responsibilities included researching and developing new quantitative investment strategies for the group's hedge fund. Petter coauthored the books Financial Modeling of the Equity Market: From CAPM to Cointegration (Wiley, 2006), Trends in Quantitative Finance (CFA Research Institute, 2006), Robust Portfolio Management and Optimization (Wiley, 2007), and Quantitative Equity Investing: Techniques and Strategies (Wiley, 2010). He holds a Ph.D. in mathematics from Yale, an M.Phil. in applied mathematics from Royal Institute of Technology, and an M.S. in mathematics from ETH Zurich.

Petter is a member of the editorial boards of the International Journal of Portfolio Analysis and Management (IJPAM), Journal of Investment Strategies (JOIS), Journal of Portfolio Management (JPM), and the board of directors of the International Association for Quantitative Finance (IAQF). As a consultant and expert witness, he has provided his services in areas such as algorithmic and quantitative trading strategies, econometrics, forecasting models, portfolio construction methodologies incorporating transaction costs, and risk management procedures.

George Lentzas

Chief Data Scientist

SPRINGFIELD CAPITAL MANAGEMENT

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.

Yadong Li

Managing Director, Head of Portfolio Central, Quantitative Analytics, BARCLAYS CAPITAL

BARCLAYS CAPITAL

Yadong Li, Managing Director, Head of Portfolio Central, Quantitative Analytics, BARCLAYS CAPITAL

Yadong Li is currently the head of Portfolio Central modeling team in Quantitative Analytics of Barclays. Previously he held leadership roles in various areas of quantitative modeling in Lehman and Barclays, including Credit Correlation, Emerging Market Credit, Basel 2.5 Market Risk and Basel 3 Counterparty Exposure Risk etc. His current research interests are in XVA and regulatory capital modeling, including stress testing, CCAR, FRTB, back-testing, risk capital allocation and optimization etc. Yadong held a Ph.D. in Physics and a MS in Computer Sciences from Wisconsin-Madison, and a Master in Financial Engineering degree from UC-Berkeley.

Julia Litvinova

Head of Model Validation and Analytics, Managing Director

STATE STREET

Julia Litvinova, Head of Model Validation and Analytics, Managing Director, STATE STREET

Julia Litvinova is the Head of Model Validation and Analytics at State Street. In this role Julia is responsible for supervising validation of a broad range of models for credit, market, ALM, liquidity risks and asset management at State Street as well as quantifying and managing model risk at the firm-wide level.

Prior to joining State Street Julia worked at the Brattle Group, the economic litigation consulting company. She received her Ph.D. in Economics from Duke University, M.A. in Economics from New Economics School and M.S. in Mathematics from Moscow State University.

 

Marcos Lopez de Prado

Chief Executive Officer

TRUE POSITIVE TECHNOLOGIES

Marcos Lopez de Prado, Chief Executive Officer, TRUE POSITIVE TECHNOLOGIES

Dr. Marcos López de Prado is the chief executive officer of True Positive Technologies. He founded Guggenheim Partners' Quantitative Investment Strategies (QIS) business, where he applied cutting-edge machine learning (ML) to the development of high-capacity strategies that delivered superior risk-adjusted returns. After managing up to $13 billion in assets, Marcos acquired QIS and successfully spun-out that business from Guggenheim in 2018.

Since 2010, Marcos has been a research fellow at Lawrence Berkeley National Laboratory (U.S. Department of Energy, Office of Science). One of the top-10 most read authors in finance (SSRN's rankings), he has published dozens of scientific articles on ML and supercomputing in the leading academic journals, and he holds multiple international patent applications on algorithmic trading.

Marcos earned a PhD in Financial Economics (2003), a second PhD in Mathematical Finance (2011) from Universidad Complutense de Madrid, and is a recipient of Spain's National Award for Academic Excellence (1999). He completed his post-doctoral research at Harvard University and Cornell University, where he teaches a Financial ML course at the School of Engineering. Marcos has an Erdős #2 and an Einstein #4 according to the American Mathematical Society.

 

 

Dilip Madan

Professor of Mathematical Finance, Robert H. Smith School of Business

UNIVERSITY OF MARYLAND

Dilip Madan, Professor of Mathematical Finance, Robert H. Smith School of Business, UNIVERSITY OF MARYLAND

Dilip Madan is Professor of Finance at the Robert H. Smith School of Business. He specializes in Mathematical Finance. Currently he serves as a consultant to Morgan Stanley, Meru Capital and Caspian Capital. He has also consulted with Citigroup, Bloomberg, the FDIC and Wachovia Securities. He is a founding member and Past President of the Bachelier Finance Society. He received the 2006 von Humboldt award in applied mathematics, was the 2007 Risk Magazine Quant of the year, received the 2008 Medal for Science from the University of Bologna and held the 2010 Eurandom Chair. He is Man- aging Editor of Mathematical Finance, Co-editor of the Review of Derivatives Research, Associate Editor of the Journal of Credit Risk and Quantitative Finance. His work is dedicated to improving the quality of financial valuation models, enhancing the performance of investment strategies, and advancing the efficiency of risk allocation in modern economies. Recent major contributions have appeared inMathematical Finance, Finance and Stochastics, Quantitative Finance, the Journal of Computational Finance, The International Journal of Theoretical and Applied Finance, The Journal of Risk, The Journal of Credit Risk among other journals.

Fabio Mercurio

Head of Quant Analytics

BLOOMBERG

Fabio Mercurio, Head of Quant Analytics, BLOOMBERG

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.

Miquel Noguer Alonso

Adjunct Assistant Professor

COLUMBIA UNIVERSITY

Miquel Noguer Alonso, Adjunct Assistant Professor, COLUMBIA UNIVERSITY

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.

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. His responsibilities include defining cross asset class models and developing innovative machine learning based approaches to better estimate market liquidity. Mr. Pasquali is developing as well methodologies to estimate funding liquidity and better Redemption at Risk.

Previous to Blackrock, Mr. Pasquali oversaw research and product development for Bloomberg's liquidity solution and before that he held senior positions at several European banks and asset management firms.

 

Greg Pelts

Quant

WELLS FARGO

Greg Pelts, Quant, WELLS FARGO

Ken Perry

Former Chief Risk Officer

-

Ken Perry, Former Chief Risk Officer, OCH-ZIFF CAPITAL MANAGEMENT

Ken created the Risk Management department at Och Ziff and served as Chief Risk Officer for over 13 years. He led the Firm through a five-fold increase in AUM and headcount, the transition from private to public company, and managed major and minor financial/business
crises and the introduction of new strategies and products.

He pioneered the use of quantitative techniques for portfolio construction and analysis at a fundamentally oriented firm, anticipating the "quantamental" revolution. Most recent activities have focussed on how Artificial Intelligence may adapted to Finance.

 

 

Michael Pykhtin

Manager, Quantitative Risk

U.S. FEDERAL RESERVE BOARD

Michael Pykhtin, Manager, Quantitative Risk, U.S. FEDERAL RESERVE BOARD

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 edited "Counterparty Risk Management" (Risk Books, 2014) and "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 a two-time recipient of Risk Magazine's Quant of the Year award (for 2014 and 2018). 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.

Ronnie Shah

Head of US Quantitative Research

DEUTSCHE BANK

Ronnie Shah, Head of US Quantitative Research, DEUTSCHE BANK

Dr. Ronnie Shah joined Deutsche Bank in March 2017 as a Director and Head of US Quantitative Research and Quantitative Investment Solutions. Prior to Deutsche Bank, he led quantitative research efforts in various roles as Senior Director of Research for Gerstein Fisher Funds, Senior Researcher at Dimensional Fund Advisors and as a Portfolio Manager for the Scientific Active Equity team at BlackRock. His research has been published in various academic and practitioner financial journals including the Journal of Portfolio Management, Journal of Index Investing and Journal of Investment Management. Dr. Shah graduated summa cum laude with a BS in economics from the Wharton School and BAS in Systems Engineering from the University of Pennsylvania, an MSc in Finance and Economics from the London School of Economics, and an MA and PhD, both in Finance, from the University of Texas McCombs School of Business. He currently serves as an adjunct professor of Finance at the University of Texas McCombs School of Business.

Gurraj Singh Sangha

Quantamental Global Macro Portfolio Manager

STATE STREET

Gurraj Singh Sangha, Quantamental Global Macro Portfolio Manager, STATE STREET

Michael Sotiropoulos

Managing Director, Global Markets

DEUTSCHE BANK

Michael Sotiropoulos, Managing Director, Global Markets, DEUTSCHE BANK

Michael Sotiropoulos is the global head of quant research for equities trading at Deutsche Bank. Prior to his current role, Michael was a Managing Director at Bank of America Merrill Lynch, where he headed the algorithmic trading quant group.

He has also worked for nine years in equity structured products and derivatives pricing at Bank of America and at Bear Stearns.
Michael has a Ph.D. in theoretical physics from Stony Brook University. Before joining the finance industry he taught and worked in quantum field theory and particle physics at the University of Southampton, England and at the University of Michigan.

Ben Steiner

Head of Quantitative Strategies

CIT GROUP

Ben Steiner, Head of Quantitative Strategies, CIT GROUP

Vasily Strela

Global Head of FICC Quantitative Strategies

RBC CAPITAL MARKETS

Vasily Strela, Global Head of FICC Quantitative Strategies, RBC CAPITAL MARKETS

Vasily Strela is a Managing Director and Global Head of FICC Quantitative Strategies at RBC Capital Markets. He and his group are responsible for development of risk neutral and statistical models and techniques for pricing and risk of all parts of Fixed Income and Commodities business.
Prior to joining RBC, Vasily was a Managing Director and Global Head of Market Modeling Group at Morgan Stanley. Vasily first joined Morgan Stanley in June 2001 and served in a variety of quant roles in Fixed Income Division. In 2007-2009 Vasily worked in FAST group at Bear Stearns and in interest rates QR group at JP Morgan. At Morgan Stanley Vasily was responsible for coordination of campus recruitment for Fixed Income Starts and Modeling group.

Vasily is affiliated with MIT Mathematics Department where he organized, developed and is co-teaching a class on Topics in Mathematics with Applications in Finance

Vasily holds a Ph.D. degree in Mathematics from MIT and an M.S. degree in Applied Mathematics and Physics from Moscow Institute of Physics and Technology.

Pietro Toscano

Senior Risk Manager

OPPENHEIMERFUNDS

Pietro Toscano, Senior Risk Manager, OPPENHEIMERFUNDS

Pietro Toscano, PhD, is a Senior Risk Manager of OppenheimerFunds' Risk Management Group. In this capacity, he leads the investment risk management and fiduciary risk oversight across the Multi-Asset and Alternatives business. Dr. Toscano is the Founder and Chairman of the OppenheimerFunds Investment and Risk Institute.

He previously worked at BlackRock, where he was a Director and Lead Risk Manager for the Americas Quantitative Fixed Income business (including the $7B+ flagship systematic global alpha hedge fund) as well as for the Americas Fixed Income ETF and Index business (AUM ~$500B+). At BlackRock, he also served as a member of the BlackRock Applied Research Award Committee (a select group of 20 top quants across the firm), and as the Global Head of Talent Management for the Risk Beta team (15+ risk professionals across San Francisco, London, and Hong Kong).

Dr. Toscano earned a PhD in Information Engineering from University of Pisa, Italy, as well as a Master's in Financial Engineering from University of California, Berkeley. He also published papers on portfolio construction, risk methodologies, and derivatives pricing techniques in various peer-reviewed financial journals. Dr. Toscano is a Financial Risk Manager, Certified by the Global Association of Risk Professionals.

 

Leon Xin

Head of Risk and Portfolio Construction and Hedge Fund Strategist,

JP MORGAN ASSET MANAGEMENT

Leon Xin, Head of Risk and Portfolio Construction and Hedge Fund Strategist, JP MORGAN ASSET MANAGEMENT

Leon Xin is the Head of Risk and Portfolio Construction and Hedge Fund Strategist for the CIO team of the Endowments and Foundations Group at JP Morgan. Mr. Xin conducts risk analysis and quantitative research to construct portfolios and improve portfolio efficiency. He is also responsible for research and selection of hedge fund managers. Mr. Xin joined J.P. Morgan in 2016 and has 11 years of investment industry experience.

Prior to J.P. Morgan, Mr. Xin worked for over 10 years as the Head of Alternative Investment Risk team at UBS Asset Management, where he covered UBS O'Connor, an internal multi-strategy hedge fund. As the Head of Risk team, Mr. Xin was responsible for risk analysis and quantitative research on multi-strategy hedge fund investing in equity, credit, risk arb, convertible arb, macro and volatility strategies. Prior to UBS, Mr. Xin worked as an associate in Ping An Insurance of China for two years on strategic planning projects.

Mr. Xin received a M.S. degree in Applied Math from the University of Illinois at Chicago and is a CFA charter holder.