Speakers

Speakers

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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.

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Mauro Cesa

Quantitative Finance Editor

RISK.NET

Mauro Cesa, Quantitative Finance Editor, RISK.NET

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

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

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Andrew Chin

Chief Risk Officer and Head of Quantitative Research

ALLIANCEBERNSTEIN

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Youssef Elouerkhaoui

Managing Director, Global Head of Credit and Commodities Quantitative Analysis

CITI

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

Youssef Elouerkhaoui is a Managing Director and the Global Head of Credit and Commodities Quantitative Analysis at Citi. His group supports all modelling and product development activities across businesses. He is also in charge of CVA, Funding and Regulatory Capital for his businesses. Prior to this, he was a Director in the Fixed Income Derivatives Quantitative Research Group at UBS, where he was in charge of model development for the Structured Credit Desk. Before joining UBS, Youssef was a Quantitative Research Analyst at Credit Lyonnais supporting Interest Rates Exotics. He is a graduate of Ecole Centrale Paris and he holds a PhD in Mathematics from Paris-Dauphine University.

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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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David Jessop

Managing Director, Global Head of Equities Quantitative Research

UBS

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

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

 

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Alexei Kondratyev

Managing Director, Head of Data Analytics, Electronic Market Solutions

STANDARD CHARTERED BANK

In his role as Managing Director and Head of Data Analytics, Electronic Market Solutions at Standard Chartered Bank, Alexei is responsible for providing data analytics services to Financial Markets sales and trading.

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

Global Head of Quantitative Research

BARCLAYS

Antonia Lim has led the global quantitative research team for Barclays ring-fenced bank since 2012, designing its asset allocation policy, products and investment tools. She has 18 years’ experience in investment management, is a CFA charterholder and is on the management committee of the not-for-profit organisation 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 abstract and complex, Antonia enjoys cross-disciplinary ideas that connect the dots and ultimately 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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Riccardo Rebonato

Professor of Finance

EDHEC BUSINESS SCHOOL

Riccardo Rebonato, Professor of Finance, EDHEC BUSINESS SCHOOL

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

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

 

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Gordon Ritter

Professor

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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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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Dario Villani

Chief Executive Officer

DUALITY GROUP

Dr. Dario Villani is CEO and Co-Founder of Duality Group. Dario has managed multi-billion dollar portfolios within credit, interest rates, and commodities. Previously, he served as Global Head of Portfolio Strategy and Risk at Tudor Investment Corporation. He shared the 2016 Risk.net Buy-Side Quant of the Year Award, and has authored research papers in finance, theoretical physics, statistics and portfolio management. Dario holds a Ph.D. in Theoretical Physics from Salerno University and a Master in Finance from Princeton University where he also taught a popular course in trading and risk management.

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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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Bruno Dupire

Head of Quantitative Research

BLOOMBERG

Bruno Dupire, Head of Quantitative Research, BLOOMBERG

Bruno Dupire is head of Quantitative Research at Bloomberg L.P., which he joined in 2004. Prior to this assignment in New York, he has headed the Derivatives Research teams at Societe Generale, Paribas Capital Markets and Nikko Financial Products where he was a Managing Director. He is best known for having pioneered the widely used Local Volatility model (simplest extension of the Black-Scholes-Merton model to fit all option prices) in 1993 and the Functional Ito Calculus (framework for path dependent options) in 2009. He is a Fellow and Adjunct Professor at NYU and he is in the Risk magazine "Hall of Fame". He is the recipient of the 2006 "Cutting edge research" award of Wilmott Magazine and of the Risk Magazine "Lifetime Achievement" award for 2008.

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Alex Lipton

Co-founder, Chief Technical Officer

SILA

Alexander Lipton is Co-Founder and Chief Technical Officer of Sila, Partner at Numeraire Financial, and Connection Science Fellow at MIT. He sits on Boards of Directors of Sila, Xtreme Blockchain Labs, Zilliqa and on Advisory Boards of several organizations, including Clearmatics, Endor, Katalysen, Metaco, Porepsus Labs, Sygnum, and UCL Centre for Blockchain Technologies.

In 2016 he left Bank of America Merrill Lynch, where he served for ten years in various senior managerial roles including Quantitative Solutions Executive and Co-Head of the Global Quantitative Group. Earlier, he held senior managerial positions at Citadel Investment Group, Credit Suisse, Deutsche Bank, and Bankers Trust. In parallel, Alex held several prestigious academic appointments at École Polytechnique Fédérale de Lausanne, NYU, Oxford University, Imperial College, and the University of Illinois. Before switching to finance, Alex was a Full Professor of Mathematics at the University of Illinois and a Consultant at Los Alamos National Laboratory.

In 2000 Alex was awarded the first ever Quant of the Year Award by Risk Magazine. Alex published eight books and more than a hundred scientific papers. His most recent book “Financial Engineering - Selected Works of Alexander Lipton” was published in May of 2018.

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Tucker Balch

Managing Director

J.P. MORGAN AI RESEARCH

Dr. Balch is a managing director at JPMorgan AI Research and a professor of Interactive Computing at Georgia Tech (on leave).  He is interested in problems concerning multi-agent social behavior in domains ranging from financial markets to tracking and modeling the behavior of ants, honeybees and monkeys. He co-founded Lucena Research, an investment software firm that applies Machine Learning and Big Data approaches to investment problems. Balch has published 120 peer-reviewed articles. His work has been covered by the Wall Street Journal, CNN, New Scientist, Institutional Investor, and the New York Times. His graduated students work at NASA/JPL, Boston Dynamics, Goldman Sachs, Morgan Stanley, JPMorgan, Citadel, AQR, and BlackRock. Before his career in computing, Tucker was an F-15 pilot in the US Air Force.

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Swagato Acharjee

Quantitative Researcher, Algorithmic Trading

RBC CAPITAL MARKETS

Swagato is a quantitative researcher in the equities electronic trading team at RBC Capital Markets. His career in quantitative finance has focused on building large scale distributed trading systems and making them smarter using a combination of rigorous research, mathematical modeling and data science. At RBC his main responsibilities are making enhancements to the electronic trading platform and working with the electronic sales and sales trading team in improving trading performance for clients. After graduating with a PhD in Engineering from Cornell University, he was a researcher in the electronic trading teams at Citi and Bank of America Merrill Lynch. Prior to joining RBC, he was a researcher and trader at a systematic hedge fund working on statistical arbitrage strategies and long term factor models.

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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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Katia Babbar

Founder & Visitor Research Fellow

AI WEALTH TECHNOLOGIES & OXFORD UNIVERSITY

Katia is the founder AI Wealth Technologies, a start up applying AI to financial portfolio selection and allocation. She is also a Visiting Research Fellow at Oxford University. Katia has a career spanning 18 years in the City. She worked 11 years at Lloyds Banking Group, in senior leadership roles within Financial Markets. As an MD for e-FX Algorithmic Trading, she led teams of quant traders and data scientists for looking into Market Microstructure for market-making and execution as well as introducing Machine Learning techniques in that space. In her previous role at Lloyds, Katia was Head of FX Quant Research, responsible for building entire derivatives analytics, pricing and risk management systems from the ground up. She has also worked as a senior FX Quant at Citi and UBS. Katia holds a BSc in Mathematics from UCL and a PhD in in Stochastic Analysis applied to Finance from Imperial College

Jerome Benveniste

Adjunct Professor

NEW YORK UNIVERSITY

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Luca Capriotti

Global Head Quantitative Strategies Credit and Financing and Visiting Professor University College London

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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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.

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Andrew Chin

Chief Risk Officer and Head of Quantitative Research

ALLIANCEBERNSTEIN

Peter Cotton

Executive Director

JP MORGAN

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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.

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Bruno Dupire

Head of Quantitative Research

BLOOMBERG

Bruno Dupire, Head of Quantitative Research, BLOOMBERG

Bruno Dupire is head of Quantitative Research at Bloomberg L.P., which he joined in 2004. Prior to this assignment in New York, he has headed the Derivatives Research teams at Societe Generale, Paribas Capital Markets and Nikko Financial Products where he was a Managing Director. He is best known for having pioneered the widely used Local Volatility model (simplest extension of the Black-Scholes-Merton model to fit all option prices) in 1993 and the Functional Ito Calculus (framework for path dependent options) in 2009. He is a Fellow and Adjunct Professor at NYU and he is in the Risk magazine "Hall of Fame". He is the recipient of the 2006 "Cutting edge research" award of Wilmott Magazine and of the Risk Magazine "Lifetime Achievement" award for 2008.

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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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Jaime Lee

Managing Director, Equity

PANAGORA ASSET MANAGEMENT

Dr. Lee is a Managing Director at the firm and leads the Dynamic Equity Team. Her primary responsibilities include oversight and management of the team, conducting research to uncover new alpha sources, building quantitative stock selection models, and managing portfolios within the Dynamic Equity strategies. Dr. Lee is a key contributor to the innovative equity research used in the development of PanAgora’s Dynamic Equity models. Dr. Lee is a member of the firm’s Operating and Directors Committees.

Prior to joining PanAgora, Dr. Lee was a Managing Director of the Scientific Active Equity team at BlackRock, Inc., where she managed the Emerging Markets strategies and portfolio management team. Her prior experience includes a role as a Senior Portfolio Manager at Barclays Global Investors as well as Research and Portfolio Management roles at Quantal Asset Management, where she managed quantitative equity strategies investing in Japan and Europe.

 

Education:

University of California, Berkeley. Ph.D.

Haas School of Business, University of California Berkeley, M.S.

University of Minnesota, Twin Cities, B.S.

Publications:

“The Relation between Fixed Income and Equity Return Factors”, with Terry Marsh, Robert Maxim and Paul Pfleiderer. Journal of Investment Management, Nov. 2006

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Yadong Li

Managing Director, Head of Cross-product Modeling, Quantitative Analytics

BARCLAYS CAPITAL

Yadong Li is a Managing Director and the head of Cross Product modelling in Quantitative Analytics of Barclays. Yadong previously held leadership roles in various areas of quantitative modeling at Lehman Brothers and Barclays, including Credit Correlation, Emerging Market Credit, Basel 2.5 Market Risk and Basel 3 Counterparty Exposure Risk. Yadong’s main area of expertise include in credit derivative, risk management, regulatory capital, capital allocation and optimization. Yadong holds a Ph.D. in Physics and a MS in Computer Sciences from Wisconsin-Madison, and a Masters in Financial Engineering degree from UC-Berkeley.

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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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Miquel Noguer Alonso

Co-founder

Artificial Intelligence Finance Institute (AIFI)

Miquel Noguer Alonso, Co-founder and Chief Science Officer, Artificial Intelligence Finance Institute (AIFI)

 

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Gunter Meissner

Gunter Meissner, Adjunct Professor of MathFinance

COLUMBIA UNIVERSITY & NYU COURANT

After a lectureship in mathematics and statistics at the Economic Academy Kiel, Gunter Meissner PhD joined Deutsche Bank in 1990, trading interest rate futures, swaps, and options in Frankfurt and New York. He became Head of Product Development in 1994, responsible for originating algorithms for new derivatives products, which at the time were Index Amortizing Swaps, Yield curve swaps, Lookback Options, Quanto Options and Bermuda Swaptions.  In 1995/1996 Gunter was Head of Options at Deutsche Bank Tokyo. From 1997 to 2007 he was Professor of Finance at Hawaii Pacific University and from 2008 to 2013 Director of the Financial Engineering Program at the University of Hawaii. Currently, Gunter is President of Derivatives Software (www.dersoft.com), and Adjunct Professor of Mathematical Finance at Columbia University and NYU.

Gunter Meissner has published numerous papers on derivatives and is a frequent speaker at conferences and seminars. He is author of 6 books, including the second edition of his 2019 book on “Correlation Risk Modeling and Management.” He can be reached at [email protected].

Priya Misra

Head of Global Rates Strategy

TD SECURITIES

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Gregory Pelts

Quant

BLACKROCK

Gregory Pelts, Quant, BLACKROCK

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 BlackRock. Prior to that, he worked for 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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Ken Perry

Former CRO

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 focused on how Artificial Intelligence may adapted to Finance.

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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.

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Lilian Quah

Managing Director, Portfolio Manager, Head of Quantitative Research

EPOCH INVESTMENT PARTNERS

Lilian is a portfolio manager at Epoch Investment Partners, Inc., and leads the firm’s quantitative research efforts.  She also heads a broad initiative at Epoch to harness technology with the goal of improving the firm’s investment process.  Prior to joining Epoch in 2013, she spent five years at AllianceBernstein, where she was a senior quantitative analyst in the Value Equities Group. Before Bernstein, Lilian was a senior consultant in the finance practice at the ERS Group, an economics consulting firm. Lilian has a BA in Economics from Wellesley College and a Masters in Economics from Stanford University.

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Subadra Rajappa

Head US Rates Strategy

SOCIETE GENERALE

Subadra Rajappa joined Societe Generale in October 2014 as Head of US Rates Strategy. In her current role she is responsible for publishing thematic research on US rates markets and highlighting relevant trading opportunities. She is a frequent speaker at internal and industry conferences where she presents her broader market views to the firm’s clients. She currently represents SG at the alternative reference rate committee (ARRC) and is actively involved in discussions with industry groups around transitioning to the new reference rate.

Subadra has over 20 years of experience in the financial industry. Previous at Morgan Stanley, she was a senior rates strategist focused on macro themes in the rates markets. She was the lead strategist covering many topics and presenting in-depth research in fixed-income derivatives, inflation, money markets and the evolving regulatory environment.

Subadra has extensive experience in global fixed-income markets including positions in research, sales and strategy at Morgan Stanley and Citigroup. She has a strong quantitative background and started her career in finance at Salomon Brothers as a quantitative analyst where she focused on emerging market derivatives and credit derivatives before transitioning to rates.

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Gordon Ritter

Professor

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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Stefano Risa

Executive Vice President, Head of Structured Products Analytics

PIMCO

Mr. Risa is an executive vice president in the PIMCO New York office and head of structured products analytics. Prior to joining PIMCO in 2011, he was with C12 Capital and Andrew Davidson. From 2000 to 2008 Mr. Risa was at Lehman Brothers, where he covered commercial, non-agency and agency mortgage modelling prior to heading the structured product quantitative research group. Previously he was at IMI Bank in Luxembourg. He has 20 years of investment experience and holds a Ph.D. in finance from Columbia University. He received an undergraduate degree from LUISS University in Rome.

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Dhamodharan Sugumaran

Associate, Algorithmic Trading

RBC CAPITAL MARKETS

Dhamo studied Computer Science and Engineering at the National Institute of Technology in India.  He completed his Master of Financial Engineering at UCLA Anderson School of Management.  He started his career as an Analyst at the Global Arbitrage Trading Desk at Credit Suisse, developing low latency trading applications and tools where he developed a keen interest in quantitative finance. During a summer stint at a high frequency trading fund he worked on optimizing their portfolios and building volatility models which helped him narrow down his interest to algorithmic trading. He later joined the algorithmic trading desk at RBC Capital Markets where he has been working for the last 2 years. At RBC, he has worked on various projects ranging from optimizing trading strategies for client specific needs to building machine learning based tools to be used by the desk.

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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.

Solomon Tadesse

Head of North American Equity Quant Research

SOCIETE GENERALE