Global Advisory Board 2022

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.

Dr Blanka Horvath is a Lecturer at the Department of Mathematics, King's College London. Blanka’s current research interests evolve around a new generation of option pricing models (Rough Stochastic Volatility models), and their asymptotic and numerical properties. Prior to her current appointment, she was at ETH Zurich, specialising in functional analytic and numerical properties of SABR-type stochastic models. Blanka holds a PhD in Mathematical Finance from ETH Zurich, a Diploma in Mathematics from the University of Bonn and an MSc in Economics from the University of Hong Kong.

David Jessop is the Head of Investment Risk in EMEA for Columbia Threadneedle Investments. Prior to this he spent 17 years at UBS as the Global Head of Quantitative Research. Before joining UBS he spent time at Citigroup acting as the Head of Quantitative Marketing. He started his career at Morgan Grenfell; initially as a derivative analyst, and then as a quantitative fund manager. He has a MA in Mathematics from Trinity College, Cambridge. 

Jessica James is a Senior Quantitative Researcher at Commerzbank in London, previously Head of the Quantitative Solutions Group.  She joined Commerzbank from Citigroup where she held a number of FX roles, latterly as Global Head of the Quantitative Investor Solutions Group. Prior to this she was the Head of Risk Advisory and Currency Overlay Team for Bank One. Before her career in finance, James lectured in physics at Trinity College, Oxford.  She holds a BSc in Physics from Manchester University and a D. Phil. in atomic and nuclear phyics from Oxford University.

Her significant publications include the ‘Handbook of Foreign Exchange’ (Wiley), 'Interest Rate Modelling' (Wiley), and 'Currency Management' (Risk books). Her latest book ‘FX Option Performance’ came out in 2015.  She has been closely associated with the development of currency as an asset class, being one of the first to create overlay and currency alpha products.

Jessica is on the Board of the Journal of Quantitative Finance, and is a Visiting Professor both at UCL and at Cass Business School. She is a Managing Editor for the Journal of Quantitative Finance.  Apart from her financial appointments, she is a Fellow of the Institute of Physics and has been a member of their governing body and of their Industry and Business Board.

Olga Kane is a Managing Director at Synthesis, a quantitative investment company. Synthesis team applies machine learning methods to efficiently extract insights from an ever-expanding range of alternative data sources. Prior to joining Synthesis, Olga was Head of Data Strategy at Quantstellation, a proprietary algorithmic trading group.

Olga has over 15 years of experience in the investment industry where she held a variety of senior roles on both buy-side and sell-side and developed her professional expertise on the intersection of traditional fundamental asset management and cutting-edge technologies transforming the industry. She holds a master’s degree in finance, an MBA degree and a Chartered Alternative Investment Analyst (CAIA) designation; she is currently enrolled in the Harvard Business School’s executive program for leadership development.  Olga is a frequent speaker at industry conferences on topics of financial technology and big data analysis in investment research.

Petter Kolm is the Director of the Mathematics in Finance Master’s Program and Clinical Professor at the Courant Institute of Mathematical Sciences, New York University and Partner at CorePoint-Partners.com. Previously, Petter worked in the Quantitative Strategies Group at Goldman Sachs Asset Management.  Petter has coauthored four 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 the 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 Financial Data Science (JFDS), Journal of Investment Strategies (JoIS), and Journal of Portfolio Management (JPM). He is an Advisory Board Member of Alternative Data Group (AltDG), AISignals and Operations in Trading (Aisot), Betterment (one of the largest robo-advisors) and Volatility and Risk Institute at NYU Stern (VRI). Petter is also on the Board of Directors of the International Association for Quantitative Finance (IAQF) and Scientific Advisory Board Member of Artificial Intelligence Finance Institute (AIFI).

As a consultant and expert witness, Petter provides services in areas including alternative data, data science, econometrics, forecasting models, high-frequency trading, machine learning, portfolio optimization with transaction costs and taxes, quantitative and systematic trading, risk management, robo-advisory, smart beta strategies, tax-aware investing, and transaction costs.

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.

Sri Krishnamurthy, CFA, is the founder of QuantUniversity, a data and quantitative analysis company, and the creator of the Machine Learning for Model Risk Management Certificate program. He has more than 20 years of experience in analytics, quantitative analysis, statistical modeling, and designing large-scale applications. He has also consulted with many organizations in establishing model governance practices. Previously, Mr. Krishnamurthy has worked for Citigroup, Endeca, and MathWorks and has consulted with more than 25 customers in the financial services and energy industries. He has trained more than 1,000 students in quantitative methods, analytics, and big data in the industry and at Babson College, Northeastern University, and Hult International Business School, many of whom work in data science roles at financial services firms. 

Mr. Krishnamurthy earned an MS in computer systems engineering and an MS in computer science from Northeastern University and an MBA with a focus on investments from Babson College. Sri serves on the QWAFAFEW steerage committee and is a reviewer for the Journal of Asset Management.

Irene Perdomo is Managing Director and Head of Product Strategy at Gresham Investment Management. Prior to joining Gresham, Irene was CEO and Managing Partner of Devet Capital, a boutique commodities-focused quant firm. Prior to co-founding Devet, she traded base metals at Noble Resources in Singapore and, before that, she was co-responsible for commodities product development in the Commodity Investor Structuring team at Barclays in London. 

She is the co-author of “Pricing and hedging financial derivatives: a guide for practitioners” (Wiley, 2013), and has been a guest lecturer in Mathematics and Finance at Queen Mary University and at Imperial College London. Irene holds an MBA from IESE Barcelona, a degree in Computer Science Engineering from her home university in Uruguay and studied finance at the University of Chicago Booth School of Business.

Iuliia is a quantitative researcher at Engineers Gate since 2021. She was previously a post-doctoral researcher at Ecole Polytechnique, focusing on applications of reinforcement learning to optimal trading and market-making. Iuliia holds a PhD in Applied Mathematics from Université Paris 1 Panthéon Sorbonne, a MSc in Applied Economics from Paris School of Economics and a Bachelor of Mathematics and Informatics from Moscow State University. She won the 2021 Risk’s Rising Star in Quant Finance award for her work on smart order routing.

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.