Speakers

Speakers

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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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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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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

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Jerome Benveniste

Senior Research Scientist and Co-head of Equity Statistical Arbitrage

RITTER ALPHA

Jerome Benveniste is Senior Research Scientist and Co-head of Equity Statistical Arbitrage at Ritter Alpha LLP. He is also an Adjunct Professor in the Financial Mathematics Masters Programs and NYU-Courant and NYU-Tandon. Previously, he was a member of the Quantitative Trading Group at Highbridge Capital Management, LLC for twelve years, the last six as Portfolio Manager and Managing Director.  Before joining Highbridge, he was a mathematician working in the areas of differential geometry, Lie theory, and ergodic theory, and was on the faculties of Stanford and Case Western Reserve Universities. Jerome holds an A. B. from Harvard University and a Ph.D. from the University of Chicago, both in mathematics.

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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.

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Anya Boutov

Chief Revenue Officer

BEACON PLATFORM

Anya has extensive experience helping financial institutions manage their business and accelerate their technology in a complex regulatory environment. As Chief Revenue Officer of Beacon Platform, Inc., a global financial technology company specializing in cloud-based quant platforms, Anya helps Beacon's clients empower their quantitative developer teams by giving them a platform that makes it easy to code, collaborate, and deploy applications to business users.  Prior to joining Beacon Platform, Inc. in 2017, she spent nine years in fixed income sales at Goldman Sachs and three years as a senior policy advisor at the U.S. Department of the Treasury. Anya has a B.A., magna cum laude, from Columbia 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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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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Mike Chen

Director, Equity

PANAGORA

Dr. Chen is a Director at PanAgora. In this role he is responsible for novel alpha research and model development in the Dynamic team and across the wider Equity group, and daily management of firm’s Dynamic portfolios. Dr. Chen’s current research interests are in the areas of machine learning/alternative data, ESG, and China A. Previously, he was a portfolio manager at PanAgora’s Stock Selector team.

Prior to joining PanAgora, Dr. Chen was a Portfolio Manager at BlackRock’s Scientific Active Equity (SAE) team, where his responsibilities include portfolio management and research into alpha insights for use across the entire SAE platform. While at SAE, Dr. Chen won “Signal of the Year” award for a signal he researched and developed. Prior to BlackRock, Dr. Chen worked at Google where he was a member of the team that managed Google’s fixed income investment portfolio and FX exposures. Dr. Chen started his career at Morgan Stanley in New York where he traded and managed a portfolio of exotic US rates derivatives. While at Morgan Stanley, Dr. Chen researched, developed and patented a framework that allowed for pricing of derivatives based on two rate curves with dynamic multiplicative spread, one of the first such models on the street.  

Dr. Chen graduated from the University of Illinois in 2005 with a Ph.D. in Electrical and Computer Engineering. He has published in leading engineering and applied mathematics journals, and had been invited to talk at numerous academic and industry conferences.

Education:

University of Illinois, Ph.D., Electrical and Computer Engineering

University of Illinois, MSc, Mathematics

University of Illinois, MSc, Electrical and Computer Engineering

McGill University, B.Eng.- Honours, Electrical and Computer Engineering

               

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Rama Cont

Chair of mathematical finance, Mathematical Institute

Oxford University

Prof. Rama Cont holds the Chair of Mathematical Finance at Imperial College London and is director of the CFM-Imperial Institute of Quantitative Finance since 2012, after previous appointments at Ecole Polytechnique (France), Columbia University (New York) and Sorbonne (Paris).

His research in finance has focused on modeling of extreme market risks: market discontinuities and breakdowns, liquidity risk, endogenous risk and systemic risk. His 2006 paper on ‘model risk', an early reference on the topic, was the first to propose a quantitative approach to model risk.

Cont has served as a consultant to the BIS, the European Central Bank, the New York Federal Reserve, Norges Bank, the US Commodity Futures Commission (CFTC), the US Office of Financial Research, the IMF and a dozen major CCPs in Europe, Asia, the US and Latin America.

He was awarded the Louis Bachelier Prize by the French Academy of Sciences in 2010 and the Royal Society Award for Excellence in Interdisciplinary Research in 2017 for his research on mathematical modeling in finance.

 

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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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Patrick Dugnolle

U.S Head of Multi-Asset and Quantitative Solutions

BNP PARIBAS ASSET MANAGEMENT

Patrick is the U.S. Head of Multi-Asset and Quantitative Solutions at BNP Paribas Asset Management.

In this role he is responsible for developing the strategy and products for our Multi-Asset and Quantitative Solutions business in the U.S. He is based in the firm’s New York office.

He joined BNP Paribas more than 16 years ago and his contribution to quantitative factor investing dates back to 2004 when he joined the Risk-Managed-Funds Research Team of CooperNeff Advisors in King of Prussia, PA. Patrick moved back to Paris in 2006 in order to manage a $100 million long-short portfolio of U.S. equities, and later he became Head of Financial Engineering for Fixed Income for BNP Paribas Asset Management. Since 2013, Patrick has largely contributed to the reengineering of the Multi-Factor Quantitative Equity Investment process, which currently has over $2 billion under management. Prior to moving to New York City in September 2018, he was managing more than $1.5 billion of assets invested in U.S., European and global equities.

Patrick holds a PhD in Computer Science applied to Theoretical Biology from the University Joseph Fourier of Grenoble and an Engineer Degree in Electronics from ICPI Lyon.

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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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Travis Fisher

FX & Inflation Quant

BARCLAYS

Dr. Travis Fisher leads the New York branch of the Barclays FX and Inflation quantitative analytics team.  Previously he was the lead FX modelling quant at Morgan Stanley and a cross-asset quant developer at Bloomberg.  Dr. Fisher teaches FX Derivatives Modelling in the Master of Science Program in Mathematics in Finance program at NYU Courant.  He holds a Ph.D. in mathematics from Pennsylvania State University. 

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Graham Giller

Head of US Primary Research

DEUTSCHE BANK

Graham is Head of US Primary Research at Deutsche Bank in New York. He has a doctorate from Oxford University in Experimental Elementary Particle Physics, where his field of research was statistical cosmic ray astronomy which featured large scale computer based data analytics. He joined Morgan Stanley in London in 1994 and was an early member of the now famous Process Driven Trading group run by Peter Muller (now “PDT Partners”). Subsequent to Morgan Stanley, he ran a small “friends and family” investment fund that specialized in systematic trading of financial futures.  He was recruited to Bloomberg LP to run the Data Science program within Bloomberg’s Global Data division and joined JP Morgan as Chief Data Scientist, New Product Development, in 2015, ultimately becoming Head of Data Science Research. He joined Deutsche Bank’s new “dbDIG” team in March, 2018.

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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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Mark Higgins

Chief Operating Officer and Co-Founder

BEACON PLATFORM

Dr. Higgins co-founded Beacon in 2014 after spending twenty years on trading floors as a quantitative developer, trader, and manager, developing industry-leading trading and risk management software.

Prior to co-founding Beacon, Dr. Higgins spent four years at JPMorgan Chase as a trader and quantitative developer. In addition to launching the Athena project with Singh from 2006 to 2010, Dr. Higgins was Co-head of Quantitative Research for the Investment Bank from 2010 to 2012 and head of the electronic currency options franchise and algorithmic FX index business from 2012 to 2014. From 1998 to 2006, Dr. Higgins
was the head of the FX and US interest rate strategist teams at Goldman Sachs, where he developed pricing and risk solutions in SecDB. Dr. Higgins began his career as a Lead Quantitative Developer at Contango Energy, where he designed and built the Contango System, a trading and risk management system for
electricity and natural gas derivatives.

Dr. Higgins received a B.S. in Engineering in 1992 and a Ph.D. in Theoretical Astrophysics in 1996 from Queen’s University, Kingston, Ontario..

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Gary Horbacz

principal, fixed income structured product team

Prudential

Gary Horbacz, CFA,is a Principal on PGIM Fixed Income’s Structured Product Team. His area of credit research specialization is Commercial Mortgage Backed Securities (CMBS). Mr. Horbacz joined the team in 2000 following five years in the Firm’s Portfolio Management Group. Mr. Horbacz currently serves as a member of the Alternative Reference Rates Committee and is also a member of the Structured Finance Association’s Board of Directors. Mr. Horbacz earned a BS in Management Information Systems and an MBA in Finance from Seton Hall University. He holds the Chartered Financial Analyst (CFA) designation.

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Faye Kilburn

Senior Staff Writer

RISK.NET

Faye Kilburn is senior staff writer for asset management and insurance, covering risk management, derivatives and regulatory issues as they affect the buy side.

Based in New York, Faye joined Infopro Digital (then Incisive Media) in 2010 on the graduate scheme, and previously worked as deputy editor at Inside Market Data covering technology and capital markets.

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Olga Kokareva

Head of Data Sourcing and Strategy

QUANTSTELLATION

Olga Kokareva is Head of Data Sourcing and Strategy at Quantstellation, a multi-strategy, multi-horizon quantitative trading group. In her role Olga is responsible for proactive sourcing of traditional and alternative data sets, building strategic data partnerships and managing full cycle of data acquisition.

Olga joined Quantstellation in 2015 from ITI Group where she launched a multi-manager hedge fund platform focusing on quantitative investment strategies. Before that she held a variety of senior roles in the alternative investments industry including Head of Operations and Investor Relations at Da Vinci Capital. She started her career as a client relations manager at Renaissance Capital.

Olga is a frequent speaker at industry conferences on the topic of alternative data. Her recent speaking engagements include AI & Data Science in Trading Conference, The Trading Show, Trade Tech Europe, and many others. Olga holds master’s degree in finance from International University of Business and New Technology and MBA degree from Baruch College Zicklin School of Business. She is also a Chartered Alternative Investment Analyst (CAIA).

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Petter Kolm

Professor & Director of the Mathematics in Finance, Courant Institute

New York University

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

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

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

 

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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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Dongsheng Lu

Managing Director and Head of Quantitative Strategy

BNY MELLON

Dongsheng Lu's group is responsible for developing derivatives trading/pricing models and building trading/risk management infrastructure for interest rate, equity and FX derivatives trading businesses as well as XVA analytics and management. In addition, he has been working extensively on building electronic market making platform, electronic trading strategies and algorithms for fixed income securities, equity and equity options. He holds a PhD in Theoretical Chemistry from the Ohio State University and a B.S. degree from University of Science and Technology of China.

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Jose Marques

Founder and Chief Investment Officer

INFERENT CAPITAL

Jose Marques has over 20 years of investment management experience and is the Founder and CIO of Inferent Capital, a quantitative process driven investment manager based in New York focusing on global equity market neutral strategies leveraging the latest advances in modern data science.

Prior founding Inferent Capital, Jose was the Head of the Trading Department and is responsible for all trading operations at Bridgewater Associates, LP. Before joining Bridgewater, Jose was Managing Director and held the roles of Global Head of Equity Electronic Trading at Deutsche Bank and Head of Electronic Market Making/Statistical Trading at Credit Suisse.  During the first ten years of his career, Jose developed and ran several fully electronic quantitative statistical arbitrage businesses at Hull Trading (acquired by Goldman Sachs in 2000), Morgan Stanley and Telic Management LLC (acquired by Credit Suisse in 2006).

Jose's academic background includes a Ph.D. in Physics from the University of California as well as a member of the Research Faculty at Northwestern University.

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Andrew McClelland

Director, Quantitative Research

NUMERIX

Andrew McClelland, Ph.D., Director, Quantitative Research, Numerix
Andrew McClelland's work at Numerix focuses on counterparty credit risk issues including valuation adjustments and counterparty exposure production for structured products. He also works on numerical methods for efficient production of risk profiles under real-world measures.
Andrew received his Ph.D. in finance at the Queensland University of Technology in financial econometrics. His research involved markets exhibiting crash feedback, option pricing, and parameter estimation using particle filtering methods. His work has been published in the Journal of Banking and Finance, the Journal of Econometrics, and the Journal of Business and Economic Statistics.

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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

Dhruv Madeka

Senior Machine Learning Scientist

AMAZON

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Robert Mackenzie Smith

Editor, US Asset Management

RISK.NET

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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].

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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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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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Andreas Petrides

Associate, Execution Research

GOLDMAN SACHS

Andreas is working as a Quantitative Researcher at Goldman Sachs Quantitative Execution Services, with an emphasis in control and machine learning techniques for execution algorithms. Andreas has received a PhD in Information Engineering at the University of Cambridge, focusing on the interface of stochastic control theory and Bayesian machine learning, where he developed graph theoretic tools for predicting the shapes of the probability distributions to arise in the observable time-series due to the underlying non-linear stochastic interconnections. Andreas’ teaching experience included several engineering undergraduate courses, including Inference and Machine Learning, Linear Algebra, Probability, Control and Signal Processing. Andreas also holds a BA and an MEng degree in Electrical and Information Sciences from Trinity College, University of Cambridge, during which he has received the G-Research and The Technology Partnership (TTP) awards, while his Master’s thesis was done in collaboration with British Cycling, developing a racing cyclist fitness predictor.

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Sergei Polevikov

Senior Quant, Global Multi-Asset Team

INVESCO

Sergei Polevikov is a senior quant on the Global Multi-Asset Team (GMAT) at Invesco, Ltd. in New York.  Mr. Polevikov worked at OppenheimerFunds, Inc. for 15 years prior as lead asset allocation researcher and portfolio manager of Oppenheimer’s portfolio insurance (CPPI) strategies, among other roles.  He has been the key developer of new factor and alternative risk premia strategies.  He is a long-term board member of the Society of Quantitative Analysts (SQA), a committee member at Q-Group, and is actively involved at Chicago Quantitative Alliance (CQA).  He also volunteers his time at the Museum of Mathematics (MoMath).
 
Mr. Polevikov began his industry career as an economic research analyst at the Federal Reserve Bank of Dallas upon finishing his graduate work.  He holds a Master of Business Administration (MBA) from the University of Rochester and a Master of Arts (MA) in Applied Economics from Southern Methodist University.   Mr. Polevikov did his Ph.D. work at Belarusian State University alongside students of the Barbashin-Krasovskii school of optimal control, focusing on asymptotic analysis of singularly perturbed systems with applications in fluid mechanics, astrophysics and robotics.  He holds the Chartered Financial Analyst (CFA) designation, and is a published author in the fields of optimization, computational methods and econometrics.

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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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Heydar Qasimov

Senior Risk Management Specialist

FEDERAL RESERVE BANK OF CHICAGO

Heydar is a Senior Risk Management Specialist at the Federal Reserve Bank of Chicago.  His background is in the area of derivatives valuation (equity derivatives) and related quantitative methods. Heydar holds a PhD in Applied Mathematics from North Carolina State University. Heydar is a Senior Risk Management Specialist at the Federal Reserve Bank of Chicago.  His background is in the area of derivatives valuation (equity derivatives) and related quantitative methods. Heydar holds a PhD in Applied Mathematics from North Carolina State 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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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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Gurmeet Singh

Head of Electronic Trading, Quant Group

TD SECURITIES

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Alexander Skabelin

Formerly Vice President, Volatility Strategies

GOLDMAN SACHS

Alexander spent more than 10 years in financial industry most of it at Goldman Sachs working on creating advanced volatility trading strategies and at a multi-billion dollar hedge fund EBF and Associates where he was responsible for volatility arbitrage. He holds a Ph.D. in Physics from MIT.

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Ben Steiner

Global Fixed Income

BNP PARIBAS ASSET MANAGEMENT

Ben handles business management and chief-of-staff responsibilities for the CIO of the Global Fixed Income division of BNP Paribas Asset Management.

He has over 18 years of industry experience with hedge funds and investment managers in London and New York.

Over his career, he has been a Head of Model Development, Portfolio Manager for Absolute Return, Research Manager & Senior Quantitative Researcher. His experience covers multiple asset classes: from default and loss models in the less liquid markets  (Private Debt and Real Estate) to alpha models in the more liquid (Non-traditional Bond; Managed Futures; Global Macro and Equity Long/Short).

He holds a BA (Hons) in Economics from The University of Manchester and an MSc in Mathematical Finance from Imperial College London. Since 2013, Ben has served on the Board of Directors of the Society of Quantitative Analysts (SQA).

Despite now being a reformed quant, he’s still invited to present on deep learning and model risk management topics at Columbia & NYU, as well as industry events.

Mark Syrkin

Financial Institution Supervision Group

FEDERAL RESERVE BANK OF NEW YORK

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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.

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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.

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Steve Yalovitser

Co-Founder, New York Quantum Computing Meet-up and Director, XVA Quant Core Lead

Wells Fargo

Steve Yalovitser is a Director of Quantitative Strategies Group, Global Banking and Markets, within Bank of America Merrill Lynch's Counterparty Portfolio Management (CPM) Group. Yalovitser has been a lead architect for the bank, with exposure to a wide variety of asset classes, for the past 13 years. He has delivered multiple innovation-driven technology solutions for the bank, including its first equity exotics booking platform, its first equity back-testing platform and its first ad hoc scenario platform for Capital Calculations.

Yalovitser founded, led and delivered the Quartz Equity Derivatives Risk eco-system, currently running a portion of Bank of America Merrill Lynch's end-of-day risk reporting function. He is currently working on building out a Strategy Platform for CPM, covering Counterparty Valuation Adjustment (CVA), Capital Valuation Adjustment (KVA), Funding Valuation Adjustment (FVA), and Initial Margin (IM) posting.

Before joining Bank of America Merrill Lynch, Yalovitser founded Integrasoft LLC, creating the first product to address data aspects of grid computing and implementing it for use in derivative pricing applications for potential client sites. Prior to that, he held lead architect roles at several firms, including DoubleClick, Morgan Stanley and Dow Jones.

 

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Nelson Yu

Head of Equity Quant Research

ALLIANCEBERNSTEIN

Nelson Yu is Head of Quantitative Research for Equities, with responsibility for overseeing the research and application of risk and return models across the firm’s equity portfolios. He is also Head of Blend Strategies, AB’s active multi-manager equity service. Yu has more than 20 years of experience in generating investment success in global equity markets by bringing together fundamental research insights and rigorous quantitative methods. He joined the firm in 1997 as a programmer and analyst, and served as deputy head of Value Equities Quantitative Research from 2009 until 2014. Yu was previously a supervising consultant at Grant Thornton. He holds a BSE in systems engineering and a BS in economics from the University of Pennsylvania, and is a CFA charterholder. Location: New York