Speakers

Speakers

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Andrew Dyson

Chairman, chief executive officer

QMA

Andrew Dyson is the Chairman and Chief Executive Officer for QMA. Prior to joining QMA, he was an Executive Vice President at Affiliated Managers Group, Inc., responsible for managing central global distribution platform, and Head of BlackRock’s Global Institutional Client Business following the merger of BlackRock and Barclays Global Investors. In prior roles at BlackRock and Merrill Lynch Investment Managers, he held senior distribution positions, including Head of the International Institutional Business and Head of the Institutional Business for Europe, Middle East, Africa and Asia Pacific.

Previously, Andrew was Head of US Multinational Investment Consulting and Head of UK Pension Fund Investment Consulting for William M. Mercer. He earned an MA in mathematics from Cambridge University. Andrew is a Fellow of the Institute of Actuaries.

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Fabio Mercurio

Global head of quantitative 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 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

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Michael Pykhtin

Manager, quantitative risk

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 “Margin in Derivatives Trading” (Risk Books, 2018), “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.

Tony Morris

Global head quantitative strategies

Nomura

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Gordon Ritter

Founder & professor

Ritter Alpha & NYU Courant, Tandon, Baruch College & Rutgers University

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.

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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.

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Solomon Tadesse

Head of North American equity quant research

Societe Generale

Solomon Tadesse is Head of North-American equity quantitative research at Societe Generale based in NY. Before SocGen, Solomon served as Head of Asset Allocation and Investment Solutions Research at State Street Global Advisors (SSgA).  Dr. Tadesse has also developed and run high-end quantitative investment strategies at Cargometrics, an iconic AI/Big Data hedge fund in the commodity and equity futures space. Having served as a finance and investment professor at leading US universities including the University of Chicago and University of Michigan, his career has spanned investment management, banking, academia and financial sector policy. Solomon holds a PhD in Finance and graduate degrees in Accounting, Operations Research and Financial Economics.

Dan Stefanica

Baruch College

Director, Financial Engineering MS Program professor

Dan Stefanica is an applied mathematician specializing in numerical methods for financial applications. He studied methods for fitting smooth yield curves to market data and wrote the book A Primer for the Mathematics of Financial Engineering, based on material taught in the Advanced Calculus refresher course to incoming students of the Baruch MFE Program. In other NSF-funded research with application in finance, he designed fast algorithms for the numerical solution of PDEs, and worked on geophysical fluid dynamic problems. He has a PhD in mathematics from the Courant Institute.

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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.

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Ioana Boier

Head of quantitative portfolio solutions

Alphadyne Asset Management

Ioana Boier is the Head of Quantitative Portfolio Solutions at Alphadyne Asset Management.

Prior to joining Alphadyne in 2019, she held senior quantitative research and management roles at Citadel LLC, BNP Paribas, and the IBM T. J. Watson Research Center.

Ioana is the author of multiple peer-reviewed publications, patents, and the recipient of several awards for applied research delivered into products.

She has a Ph.D. in Computer Science and M.Sc. degrees in Computer Science and Mathematics.

Peg DiOrio

Head of quantitative equity portfolio management

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.

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Julien Guyon

Senior Quant

Bloomberg

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.

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Luca Capriotti

Global head quantitative strategies credit and financing

Credit Suisse

Luca Capriotti is a Managing Director at Credit Suisse, based in London, where he works in Quantitative Strategies and he is responsible for Credit Products in Europe, and globally for Corporate Bank and Treasury. Previous to this role, he was US head of Quantitative Strategies Global Credit Products, he has worked in Credit and Commodities Exotics in New York and London and in the cross-asset modeling R&D group of GMAG in the London office.
Luca is also visiting professor at the Department of Mathematics at University College London. His current research interests are in the fields of Machine Learning, Algorithmic Trading, Credit Models and Computational Finance, with a focus on applications of Adjoint Algorithmic Differentiation (AAD) for which he holds a US Patent.

Luca gives regularly gives seminars and courses worldwide. He has served as supervisor and external examiner for Master and PhD programs and as referee for several scientific publications .

Prior to working in Finance, Luca was a researcher at the Kavli Institute for Theoretical Physics, Santa Barbara, California, working in the field of High Temperature Superconductivity and Quantum Monte Carlo methods for Condensed Matter systems.

Luca holds a M.S. cum laude in General Physics from University of Florence (1996), and an M.Phil. and Ph.D. cum laude in Condensed Matter Theory, from the International School for Advanced Studies, Trieste (2000).

 

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Amit Deshpande

Head of fixed income quantitative investments & research

T. Rowe Price

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Gregory Pelts

Quant

Wells Fargo

Dr. Gregory Pelts has been working in the financial industry for over a decade. He completed his training in mathematics and physics at the St Petersburg State University and the Steklov Mathematical Institute in Russia. He received his second Ph.D. in Theoretical Physics from the Rockefeller University in New York. Gregory has authored a number of publications and given presentations in theoretical physics and quantitative finance. Gregory is currently employed by Wells Fargo. Prior to that, he worked for BlackRock , Goldman Sachs, Bear Stearns and Dresdner-Kleinwort-Benson. Gregory focuses on applications of group theoretical methods to problems in quantitative finance, in particular, stochastic interest rates, stochastic volatility, and credit risk.

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Igor Halperin

Quant

Fidelity Investments

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Andrey Itkin

Director, senior quant research associate

Bank of America Merrill Lynch

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.

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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.

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Petter Kolm

Professor & director of the mathematics in finance

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.

 

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Alexandre Antonov

Chief analyst

Danske Bank

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Hans Buehler

Global head of equities analytics, automation and optimisation

JP Morgan

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.

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Andrew Chin

CRO and head of quantitative research

AllianceBernstein

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Daniel Giamouridis

Global head of scientific implementation

Bank of America Merrill Lynch

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.

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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.

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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.

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Sandrine Ungari

Deputy head of the global quantitative research

Societe Generale

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.

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Gordon Ritter

Founder & professor

Ritter Alpha & NYU Courant, Tandon, Baruch College & Rutgers University

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.

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Roel Oomen

Head of FIC quantitative trading

Deutsche Bank

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

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Michael Steliaros

Global head of quantitative execution services

Goldman Sachs

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.

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Alexei Kondratyev

Managing director, global head of data analytics, CCIB

Standard Chartered Bank

In his role as Managing Director and Global Head of Data Analytics, 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.

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Antonia Lim

Head of quantamental investments

Schroders

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.

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Fabio Mercurio

Global head of quantitative 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 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

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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.