Quant Summit Asia - Key Topics

David is the founder and CEO of Sapiat, a modern technology platform for long-term scenario forecasting, helping investors and policymakers plan decisions that meet the desired financial, social and environmental objectives. His career spans 22 years across Europe (London based) and Asia (Tokyo based) in the development of next generation predictive analytics and financial technology. Having collaborated with prominent world academics and practitioners, he is a thought leader in decision-making for investment portfolios and a frequent speaker at quantitative finance events globally.

George Hong is head of platform and quants at Credit Suisse, based in Hong Kong. He holds an B.A. in Mathematics and a Ph.D. in Mathematical Finance from Cambridge University.

Rodney is a director and XVA quantitative analyst in the global markets business of ANZ Banking Group, and is based in Singapore. He co-ordinates the team working on XVA development for the Group's in-house Sky trading and risk management platform. Rodney has presented on XVA (including machine learning), interest rate modelling and credit modelling topics for all major international quant and risk conferences and was recently co-author of "XVA Analysis From the Balance Sheet" published in Quantitative Finance (Vol 21, 2021 - Issue 1) . Prior to joining ANZ in 2017, Rodney worked with the XVA desk at National Australia Bank in Sydney and also has experience as a director in financial services consulting with PwC Australia. He holds a PhD in Finance from EDHEC Business School (Singapore) and is a Fellow of the Actuaries Institute.

Alex Cohen is currently APAC Head for Equities Derivatives Quantitative Analytics at UBS Investment Bank, based in Hong Kong. He has been working as an equities derivatives quantitative analyst at UBS since 2010, with roles in EMEA and APAC. His focus has been on developing and enhancing equities models at UBS, collaborating with global counterparts, focusing particularly on stochastic volatility models (pure stochastic volatility and stochastic local volatility) and light exotics derivatives on variance and volatility.

In terms of academics, he studied in France at ENSIMAG engineering school for Finance, Mathematics and Computer Science, followed by a Probability and Finance Master at Paris 6 University.

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.

Ben Dunn is the Head of Quantitative Strategies (QS). He is also responsible for research and development of quantitative signals and strategies. Ben joined Eastspring Investments (Singapore) Limited in June 2014.

Prior to joining our Firm, Ben had been a Quantitative Equity Portfolio Manager at Ankura Capital (a BNY Mellon subsidiary) for over 10 years managing both Australian and Japanese portfolios. He previously held various roles spanning quantitative research, equity trading and software engineering at Queensland Investment Corporation (QIC) and Queensland Treasury Corporation (QTC). Ben has more than 24 years of investment industry experience.

Ben holds a Bachelors degree in Information Technology from Queensland University of Technology (QUT) in Australia. He is also a CFA charterholder.

Olivier Alvarez is a portfolio manager at Privium Fund Management Singapore where he manages systematic quantitative strategies. He has 20 years experience in trading, risk management and quantitative analysis and over 10 years experience in start-ups (EdTech and FinTech). Prior to Privium, Olivier Alvarez was head of the quantitative team for BNP Paribas Asia and Managing Director at BGC Partners, a leading interdealer broker. Olivier Alvarez graduated from Ecole Polytechnique and holds a PhD in Mathematics.

Mr. Lu Yan is currently the head of Quantitative and Alternative Investment Department at CSOP and managing the firm’s equity funds. He has more than twelve years of investment management and trading experience. Mr. Lu's views are frequently featured in industry periodicals and the press, including The Wall Street Journal, The New York Times, Reuters and Bloomberg. Mr. Lu earned his Bachelor’s Degree in Finance at Tsinghua University. He also holds the designation of CFA.

Sofiane graduated in 2001 from the University of Michigan with a MS in Financial Engineering, followed by a PhD in Economics from Kyoto University in 2006 on zero-interest rate modelling. Since 2006, he has held various roles in Tokyo, Hong Kong and Singapore, focusing on exotic hybrid derivatives pricing.

Paul Sandhu is the Head of Multi-Assets Quant Solutions (MAQS) and Client Advisory Asia Pacific.  Based in Hong Kong, he leads the region’s MAQS business to further deepen the firm’s existing broad range of investment capabilities in this space; and is responsible for the development and implementation of customized investment strategies and solutions for institutional investors and wholesale distribution channels in the region.

Paul’s remit also includes developing and managing multi-asset quantitative strategies and structured solutions utilizing cutting edge investment science in their portfolio construction, such as artificial intelligence and machine learning.  He manages a team of investment professionals, solution structurers and quantitative analysts to build customized investment solutions aligned with client objectives and adhering to local requirements. 

Prior to joining BNPP AM, he was Head Investment Solutions at a global asset manager and responsible for building the firms third party asset management and consulting business in Asia Pacific.  Utilizing a solutions oriented approach Paul led the company to expansion in markets such as Japan, China, Australia, as well as South East Asia.

Paul graduated from the University of British Columbia with a specialization in Theoretical Physics.  He focused his research on the theory of black holes, where he created and analyzed simulations of a stars evolution by solving Einstein’s equations using numerical techniques. He is also an Associate of the Society of Actuaries.

Olaf Torné is the APAC regional head of Equity Derivatives Quantitative Analytics at Barclays, based in Hong Kong. He has previously held equity quant positions at Barclays in London, and Merrill Lynch in Hong Kong, as well as working as a researcher in the Chair of Quantitative Finance at Ecole Centrale Paris. He holds a PhD in Mathematics from Université Libre de Bruxelles.

Masaki Nakabayashi is quantitative analyst in risk management department at Mizuho securities, base in Tokyo. His focus has been on model validation, development of risk methodology and recently on data science approach in risk management. He engages in establishing model risk governance framework. He is also responsible for designing business process automation. Prior to joining Mizuho, he experienced trading of US treasuries in Nomura securities Tokyo.

Olivier d’Assier is Head of Applied Research, APAC for Qontigo, responsible for generating unique regional insights into risk trends by leveraging and analyzing Axioma's vast data on market and portfolio risk. d’Assier’s research helps clients and prospects better understand and adapt to the evolving risk environment in Asia Pacific. The author of periodic special reports, d’Assier produces regional and global research on market and portfolio risk.

Previously Managing Director of APAC, Olivier was responsible for the performance, strategy, and commercial success of Axioma’s operations in Asia Pacific. Upon joining in 2006, d’Assier brought Axioma’s key innovations to the Asia Pacific marketplace via the development of Asian-centric products.

Prior to joining Qontigo, d’Assier spent seven years at Barra Inc. as VP for Asia Pacific and President of Barra Japan before servings as Executive Director for Asia Pacific for MSCIBarra.

In addition to his experience managing quantitative solutions, d’Assier spent nine years in investment banking as a sales trader in Europe and Asia for Nikko Securities and SMI Securities. He is a sought-out public speaker and regular guest on business and financial news programs with CNBC and Bl oomberg TV, providing expert commentary on investment performance, risk management, and industry challenges.

d’Assier has lived in Asia since 1996 and has worked in Singapore, Hong Kong, and Tokyo.

Sebastien Hitier is the global head of credit quantitative modelling at BNP Paribas.

Since 2006, he creates models for the pricing, risk management and relative value of financial instruments and the development of the infrastructure required to provide such services.

Prior to this, he did similar work for JPMorgan. Sebastien studied applied mathematics at Ecole Centrale Paris.

Rahul Kapoor is the Global Head of Commodity Analytics Research Maritime Trade at IHS Markit Based in Singapore, he leads an integrated commodity analytics research, data science and product management teams With subject matter expertise in the maritime industry and financial markets, Rahul is a thought leader with proven credentials in market analysis forecasting, shipping economics and commodity market developments He is a regular speaker at major conferences and client events globally, and is frequently interviewed by both print and visual media Most recently, he was at Bloomberg Intelligence and earlier headed Drewry Financial Research Services Ltd He has also worked as senior equities analyst at RS Platou Markets and Nomura Rahul holds a Bachelor of Science in Marine Engineering from BITS, Pilani and a Postgraduate in Management from IMI, New Delhi, India

Alexandre Antonov received his PhD degree from the Landau Institute for Theoretical Physics in 1997. He worked for Numerix during 1998-2017, then in Standard Chartered bank in London as a director. Currently, he is a Quantitative research and development lead at ADIA

His activity is concentrated on modeling and numerical methods for interest rates, cross currency, credit and XVA, as well as Machine Learning and its applications. AA is an 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.

Alexei is Quantitative Research & Development Lead at ADIA.

Formerly a Managing Director and Global Head of Data Analytics at Standard Chartered Bank, Alexei is responsible for providing data analytics services to Corporate, Commercial and Institutional Banking division of Standard Chartered Bank.

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.

He was the recipient of the 2019 Quant of the Year award from Risk magazine.

Andrew Y. Chin is the Chief Risk Officer and Head of Quantitative Research for AB. As the Chief Risk Officer, Chin oversees all aspects of risk management to ensure that the risks being taken are well understood and appropriately managed.  In the Quantitative Research role, he is responsible for the firm’s data science strategy and for optimizing the quantitative research infrastructure, tools and resources across the firm’s investing platforms. He joined the firm in 1997 and held various quantitative research roles in New York and London.  In 2004, Chin became a senior portfolio manager for Style Blend Equities. In 2005, he was named director of Quantitative Research for Value Equities. Prior to joining the firm, Chin was a project manager and business analyst in Global Investment Management at Bankers Trust from 1994 to 1997.

Chin teaches in the School of Operations Research and Information Engineering (Master of Financial Engineering Program) at Cornell University.  He also leads teams of students on capstone projects utilizing quantitative and data science skills to address investment issues.

Chin earned a BA and an MBA from Cornell University.

Antonia joined Schroders in 2019 to lead their new initiative in quantamental investments, melding quantitative techniques with fundamental expertise and insight. Prior to Schroders, Antonia was Global Head of Quantitative Research for Barclays UK, designing its asset allocation policy, products and investment tools. She has two decades of experience in investment management, is a CFA charterholder and is on the management committee of the not-for-profit organization London Quant Group. Antonia holds a Masters in Physics from the University of Oxford where she was awarded an academic scholarship. Happy lending intuition, pragmatism and curiosity to the real, abstract and complex, Antonia enjoys cross-disciplinary ideas and making those ideas useful.

Daniel Giamouridis, PhD, is the Global Head of Scientific Implementation (Scientific Implementation Group, SIG), Global Portfolio Products at Bank of America Merrill Lynch in London. He heads a Team of primarily PhD-trained scientists.

Daniel joined Bank of America Merrill Lynch in January 2016, in Global Portfolio Products in EMEA. He was instrumental in conceptualizing and launching the SIG, and Headed EMEA SIG until August 2017, when he assumed the role of Global Head. Prior to joining Bank of America Merrill Lynch Daniel was an Associate Professor of Finance at the Athens University of Economics and Business and had worked closely for over 10 years with institutional investors, investments banks and asset management organizations in Europe and in the United States in areas covering quantitative equity research, hedge fund replication, pension asset management, and derivatives valuation. His research has appeared in academic and practitioner journals like the Journal of Banking and Finance, European Financial Management, Journal of Financial Research, Journal of Asset Management, Journal of Futures Markets, Journal of Risk, Journal of Derivatives, Journal of Alternative Investments, Journal of Portfolio Management.  Daniel’s research has also received grants from professional organizations such as Amundi and the Institute for Quantitative Investment Research (INQUIRE UK) as well as from academic institutions such as CAREFIN-Bocconi and AUEB.

Daniel holds a PhD in Finance from Cass Business School and a MEng in Mechanical Engineering from NTUA. He is currently affiliated as a Visiting/Associate member of staff with Cass Business School (City University), Lancaster University Management School (Lancaster University) and EDHEC-Risk Institute (EDHEC Business School).  Daniel is a member of the Governing Board of the Institute for Quantitative Investment Research (INQUIRE) UK and also a Co-Editor of the Financial Analysts Journal, the Journal of the CFA Institute.

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 market risk. Fabio is also adjunct professor at NYU, and a former CME risk committee member. 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

Gordon Ritter is a Professor at NYU Courant and Tandon, Baruch College, and Rutgers, and an elite buy-side quantitative trader / portfolio manager (selected as Buy-Side Quant of the Year, 2019). His scholarly research papers have 10,000+ downloads; he is an expert in statistical machine learning and its applications in finance. Most recently Gordon founded his own quantitative trading firm; before that he was a senior portfolio manager at GSA Capital where he designed, built, and managed statistical arbitrage strategies in multiple geographies and asset classes, and directed research in GSA's New York office. (GSA won the Equity Market Neutral & Quantitative Strategies category at the Eurohedge awards four times, with numerous other awards.) Prior to GSA, Gordon was a Vice President of Highbridge Capital and a core member of the firm's statistical arbitrage group. Gordon is frequently an invited speaker and typically speaks at 20+ conferences per year. Prior to entering the hedge fund industry in 2007, Gordon completed his PhD in mathematical physics at Harvard University, where he worked with Arthur Jaffe and published papers in international journals across the fields of quantum computation, quantum field theory, and abstract algebra. He earned his Bachelor's degree with honours in Mathematics from the University of Chicago.

Hans Buehler heads Analytics, Automation and Optimization in Equities and runs the Equities and Investor Services Data Analytics and Quantitative Research teams. His mandate is data-driven business transformation across derivatives, cash equity, electronic trading, prime, and securities services using both modern machine learning and classic analytical methods. Specific focus in the machine learning space is on AI-driven electronic execution and derivative risk management, and the use of modern machine learning techniques for engaging with our clients. His team is behind JP Morgan’s LOXM AI effort in electronic trading and the recently published “Deep Hedging” research on AI derivative management.

Hans is a Managing Director, having joined JP Morgan in Hong Kong in 2008. Before that, he worked for seven years at Deutsche Bank, also in Equities. He has a PhD from Technical University in Berlin in Financial Mathematics, and a MSc from Humboldt University in Stochastic Analysis.

Hans is based in London.

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.

Michael is the global head of Quantitative Execution Services at Goldman Sachs. He is responsible for the research, development and implementation of quantitative processes for portfolio and electronic trading, as well as the management of the firm's relationships with the quantitative client-base across regions. Michael manages a variety of teams globally, spanning algorithmic research, portfolio quants, client solutions, analytics and quantitative content generation. He joined the firm as a managing director in 2017.

Prior to this, Michael spent eight years at Bank of America Merrill Lynch in a variety of senior roles in London and New York, including the centralisation of risk for the bank’s equities flow, quantitative liquidity management processes and in the last few years running the global agency portfolio trading and quantitative equity businesses. Earlier in his career, he spent more than a decade on the buy-side (most notably BGI and Winton) building quant stock-selection models and managing global market neutral equity portfolios. Before that, Michael was a Financial Econometrics lecturer at City University (CASS) Business School in London. He has a wide range of academic, peer-reviewed and practitioner journal and book publications on a host of finance topics, as well as numerous presentations in global quant and industry conferences.

Michael received a bachelor's degree in Economics & Econometrics from the University of Nottingham, a master's degree in Finance and a PhD in Behavioural Finance from City University (CASS) Business School in London.

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 financial 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 financial 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 finance. 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 influential people in financial technology.

Roel is the global head of fixed income and currencies quantitative trading at Deutsche Bank. He started his industry career as a quant in electronic cash equity trading in 2006 and subsequently held various roles in electronic FX spot trading, including co-head of the business. Oomen holds a PhD in econometrics, is a senior research fellow at the London School of Economics and has been published widely on the econometric analysis of high-frequency data and FX trading.

Sandrine Ungari is currently Head of Cross-Asset Quantitative Research team and Deputy Head of the Global Quantitative Research team at Société Générale. The Quantitative Research team is active in risk premia strategies, derivatives and structured products, portfolio risk modelling, and provides research to investors worldwide. The group has been recognised as a market leader in quantitative research, and was ranked #1 in the Extel survey in the Quantitative Strategies category. Sandrine joined Société Générale in 2006. Prior to that, she worked as a quantitative analyst at HBOS Treasury and at Reech Sungard in London. She is a graduate of ENSTA (Paris) and hold a Master's in Quantitative Finance from Paris VI University. She is a guest lecturer at University Paris Diderot.

Youssef Elouerkhaoui is a Managing Director and the global head of markets 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.