World-Renowned Speaker List
The presenters at the QFC are hand picked to offer you the best learning experience and discuss the latest cutting edge quant research.
MD, Head of Quantitative Analytics and Quantitative Development, NatWest Markets
Vladimir Piterbarg: MD, Head of Quantitative Analytics and Quantitative Development at NatWest Markets
Global Head of Product Valuation Methodologies and VCG Digital, Citi
Milena Imamovic-Tomasovic: Global Head of Product Valuation Methodologies and VCG Digital, Citi
Milena Imamovic-Tomasovic is a quantitative finance professional with over fifteen years of experience in banking. Her current role is Global Head of product valuation Methodologies and VCG Digital in Citi. Prior to that, she was Head of Business-Aligned Valuation Methodology within Global Valuation Group team and Head of CVA and Funding Methodology within GVG Methodology in Deutsche Bank. Before that Head of Analytics, EMEA at HSBC where she headed a cross-asset Valuation Control quant team. Before joining HSBC, Milena worked at TD Securities as a model validation and subsequently front office equity quant. She holds a Ph.D in theoretical physics from the University of Toronto.
I have a Ph.D. in Computer Science from Purdue University. In addition, I have completed graduate coursework in Financial Mathematics at NYU and Big Data at Harvard University. Prior to joining Citadel, I was a Director in the Global Markets Division at BNP Paribas where I managed the Interest Rate Options & Inflation quantitative research team. Before transitioning into Finance, I was a research staff member at the IBM T. J. Watson Research Center.
Head of Quantitative Research, Bloomberg L.P.
Bruno Dupire: Head of Quantitative Research, Bloomberg L.P.
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 Société Générale, 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 Itô Calculus (framework for path dependency) 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.
Kwant Daddy! Global Head of Quantitative Research, Saxo Bank
Jesper Andreasen (Kwant Daddy): Global Head Of Quantitative Research, Saxo Bank
Jesper Andreasen is head of Quantitative Research at Saxo Bank in Copenhagen. Jesper has previously held senior positions in the quantitative research departments of Danske Bank, Bank of America, Nordea, and General Re Financial Products. Jesper’s recent research focusses on efficient and accurate methods for computing credit and market risk. Jesper holds a PhD in mathematical finance from Aarhus University, Denmark. He received Risk Magazine’s Quant of the Year awards in 2001 and 2012, joint with Leif Andersen and Brian Huge respectively, and is an honorary professor of mathematical finance at Copenhagen University.
Executive Chairman and Head of Quant Research, CompatibL
Alexander Sokol: Executive Chairman and Head of Quant Research, CompatibL
Alexander Sokol is the founder, Executive Chairman, and Head of Quant Research at CompatibL, a trading and risk technology company. He is also the co-founder of Numerix, where he served as CTO from 1996 to 2003, and the co-founder of Duality Group, where he served as CTO from 2017 to 2020.
Alexander won the Quant of the Year Award in 2018 together with Leif Andersen and Michael Pykhtin, for their joint work revealing the true scale of the settlement gap risk that remains even in the presence of initial margin. Alexander’s other notable research contributions include systemic wrong-way risk (with Michael Pykhtin, Risk Magazine), joint measure models, and the local price of risk (with John Hull and Alan White, Risk Magazine), and mean reversion skew (Risk Books, 2014).
Alexander earned his BA from the Moscow Institute of Physics and Technology at the age of 18, and a PhD from the L. D. Landau Institute for Theoretical Physics at the age of 22. He was the winner of the USSR Academy of Sciences Medal for Best Student Research of the Year in 1988.
Head of Risk Analytics For Global Markets, Bank of America Merrill Lynch
Christoph Burgard: Head of Risk Analytics For Global Markets, Bank of America Merrill Lynch
Christoph Burgard heads the Risk Analytics team for Global Markets at Bank of America Merrill Lynch, which he joined in November 2015. Prior to this he spent 16 years at Barclays, where he was leading the Equity Derivatives and XVA front office Quantitative Analytics teams for the investment bank as well as the ALM modelling area for the bank’s treasury department. Christoph was named Risk Magazine’s Quant of the Year 2015 for his pioneering work on FVA. He has a PhD in Particle Physics from Hamburg University and was a research fellow at CERN and DESY.
Brian Norsk Huge:
Senior Specialist Quant, Saxo Bank
Brian Norsk Huge: Senior Specialist Quant, Saxo Bank
Technical University of Munich and The Munich Data Science Institute
Blanka Horvath: Technical University of Munich and The Munich Data Science Institute
Blanka research interests are in the area of Stochastic Analysis and Mathematical Finance.
Including asymptotic and numerical methods for option pricing, smile asymptotics for local- and stochastic volatility models (the SABR model and fractional volatility models in particular), Laplace methods on Wiener space and heat kernel expansions.
Blanka completed her PhD in Financial Mathematics at ETHZürich with Josef Teichmann and Johannes Muhle-Karbe. She holds a Diploma in Mathematics from the University of Bonn and an MSc in Economics from the University of Hong Kong.
Head Systematic Solutions and Portfolio Construction, Sygnum Bank
Artur Sepp: Head Systematic Solutions and Portfolio Construction, Sygnum Bank
Artur Sepp is Head Systematic Solutions and Portfolio Construction at Sygnum Bank’s Asset Management in Zurich, specializing in crypto assets and decentralized finance. Prior, Artur led quantitative research at a systematic hedge fund (Quantica Capital) focusing on data-driven investment strategies and asset allocation in global managed futures. In previous roles, Artur worked as front office Quant Strategist on the implementation of systematic solutions in private banking (Julius Baer), and on the full-cycle development of quantitative solutions and derivatives in investment banking (Merrill Lynch/BofA).
Artur is dedicated to connecting financial applications with science and technology. His expertise covers quantitative investing and asset allocation, modeling of financial markets and instruments, statistical and Machine Learning methods, modern computational and programming tools. His 14 years professional experience includes performing in leading roles at top quant teams in New-York, London, and Zurich.
Artur has a PhD in Mathematical Statistics from University of Tartu, an MSc in Industrial Engineering and Management Sciences from Northwestern University, and a BA cum laude in Mathematical Economics from Tallinn University of Technology. He is the author and co-author of several research articles on quantitative finance published in key journals. Artur is known for contributions to stochastic volatility and credit risk modelling with an H-index of 16. He is a member of the editorial board of the Journal of Computational Finance. Artur loves martial arts, water, and mountain sports.
University of Oxford, Academic Visitor & Immersive Finance, co-Founder
Katia Babbar: University of Oxford, Academic Visitor & Immersive Finance, co-Founder
Managing Director, Global Head of Credit and Commodities Quantitative Analysis, Citi
Youssef Elouerkhaoui: Managing Director, Global Head of Credit and Commodities Quantitative Analysis, Citi
Youssed Elouerkhaoui is the global Head of Credit Quantitive Analysis at Citi. His group supports all aspects of modelling and product development across desks, thais includes: Flow Credit Trading, Correlation Trading, CDOs, Exotics and Emering Markets.
He also supports CVA, Funding and Regulatory Capital for Credit Markets. Prior to this, he was a Director in the Fixed Income Derivatives Quantitative Research Group at UBS, where he was in charge of developing and implementing models for the Structured Credit Desk. Before joining UBS, Youssef was a Quantitative Research Analyst at Credit Lyonnais supporting the Interest Rates Exotics business. He has also worked as a Senior Consultant in the Risk Analytics and Research Group at Ernst & Young. He is a graduate of Ecole Centrale Paris and he holds a PhD in Mathematics from Paris-Dauphine University.
Manager, Quantitative Risk, U.S. Federal Reserve Board
Michael Pykhtin: Manager, Quantitative Risk, U.S. 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 “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.
Clinical Full Professor and Director, Courant Institute of Mathematical Sciences, NYU
Petter Kolm: Clinical Full Professor and Director of the M.S. in Mathematics in Finance Program, Courant Institute of Mathematical Sciences, New York University & Partner, CorePoint-Partners.com
Petter Kolm is Clinical Full Professor and Director of the M.S. in Mathematics in Finance Program at the Courant Institute of Mathematical Sciences, New York University, since 2007. He is also Partner at CorePoint-Partners.com. Previously, Petter worked in the Quantitative Strategies group at Goldman Sachs Asset Management, developing proprietary investment strategies, portfolio and risk analytics in equities, fixed income and commodities.
Petter is the co-author of numerous academic journal articles and several well-known finance books including, 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).
Petter is a frequent speaker, panelist and moderator at academic and industry conferences and events. He is a member of the editorial boards of the International Journal of Portfolio Analysis and Management (IJPAM), Journal of Financial Data Science (JFDS), Journal of Investment Strategies (JoIS), and Journal of Portfolio Management (JPM). Petter is an Advisory Board Member of Alternative Data Group (ADG), AISignals and Operations in Trading (Aisot), Betterment (one of the largest robo-advisors) and Volatility and Risk Institute at NYU Stern. He is also on the Board of Directors of the International Association for Quantitative Finance (IAQF) and Scientific Advisory Board Member of the Artificial Intelligence Finance Institute (AIFI).
As an advisory board member, consultant, and expert witness, Petter has provided services in areas including alternative data, data science, econometrics, forecasting models, high frequency trading, machine learning, portfolio optimization with transaction costs, quantitative and systematic trading, risk management, robo-advisory, smart beta strategies, trading strategies, transaction costs, and tax-aware investing.
He holds a Ph.D. in Mathematics from Yale University; an M.Phil. in Applied Mathematics from the Royal Institute of Technology, Stockholm, Sweden; and an M.S. in Mathematics from ETH Zurich, Switzerland
Head of Structured Credit QA, Barclays Investment Bank
Andrey Chirikhin: Head of Structured Credit QA, Barclays Investment Bank
Andrey was formerly Head of Modelling and Quantitative Analytics for L1 Treasury, part of a USD 25bn privately held investment vehicle LetterOne. Prior to LetterOne, Andrey was MD and Head of CVA and CCR quantitative Analytics at RBS. There he has created and run the front office cross asset CVA quant team. He also restructured and led the risk-side quant team charged with delivering a new Basel III compliant internal CCR methodology. The system utilizing the newly delivered methodology has won the 2013 Internal System of the year Risk award. In his 20 year career in investment banking, Andrey held several leadership and senior quant positions at Goldman Sachs, HSBC and Dresdner Kleinwort. Andrey Chirikhin holds PhD in Theoretical Statistics from Warwick University (UK), MBA from INSDEAD and MSc in Applied Mathematics from Moscow Institute for Physics and Technology (Phystech).
Since 2018 Andrey runs his own company, Quantitative Recipes, that advises on wide rage of XVA, long-term market modelling for risk and quant infrastructure.
Founder, CEO, Thalesians & Senior Quantitative Consultant, BNP Paribas
Paul Bilokon: Founder, CEO, Thalesians & Senior Quantitative Consultant, BNP Paribas
Dr. Paul Bilokon is CEO and Founder of Thalesians Ltd and an expert in electronic and algorithmic trading across multiple asset classes, having helped build such businesses at Deutsche Bank and Citigroup. Before focussing on electronic trading, Paul worked on derivatives and has served in quantitative roles at Nomura, Lehman Brothers, and Morgan Stanley. Paul has been educated at Christ Church College, Oxford, and Imperial College. Apart from mathematical and computational finance, his academic interests include machine learning and mathematical logic.
Head of Quantitative Modelling, Probability & Partners. Associate Prof, Vrije Universiteit Amsterdam
Svetlana Borovkova: Head of Quantitative Modelling, Probability & Partners and Associate Professor, Vrije Universiteit Amsterdam
Currently Head of Quantitative Modelling at Probability & Partners and Associate Professor at Vrije University Amsterdam, Dr Svetlana Borovkova has specialized in applying mathematical and statistical methods to problems within quantitative finance and risk management.
Dr Borovkova’s research extends in many areas, such as news analytics for finance, derivatives pricing, commodity markets and risk management in the face of new regulation. She is also a consultant for the Dutch Central Bank and the founder and principal consultant of DataDecisions: Financial Risk Consultancy.
Dr Borovkova is a frequent speaker on international conferences, such as Global Derivatives, Risk Minds, Bachelier Congress for Mathematical Finance, Sentiment Analysis and Behavioural Finance and others.
Previously she held an assistant professor position in Delft University of Technology and a trading analyst position in Shell Trading, London.
She got her PhD in 1998 from the University of Groningen, The Netherlands, and Oregon State University, USA and MSc degree in applied mathematics and computer science from Moscow and Utrecht.
Quantitative Researcher, RavenPack
Ludovic Thulliez: Quantitative Researcher, RavenPack
Ludovic is a Quantitative Researcher at RavenPack focusing on ways of leveraging news data analytics for ESG applications and investment strategies. Before joining RavenPack in 2021, he worked at La Francaise Asset Management in London where he led the quantitative sustainability research effort and developed ESG and Carbon models. Ludovic holds a master’s degree in Financial Risk Engineering from the University of Bordeaux and an Engineering degree from the Bordeaux INP engineering school.
Senior Data Scientist, RavenPack
Anmar Al-Wakil: Senior Data Scientist, RavenPack
Anmar is a senior data scientist at RavenPack. Before joining RavenPack in 2021, he worked as a quantitative researcher at Natixis Investment Managers for nearly 8 years, where he developed systematic investment strategies within the technology platform. At RavenPack, Anmar excavates cutting-edge insights from news sentiment to elaborate alpha-generating strategies across equity, credit, and derivatives instruments. In addition, he advices some of the world’s top hedge funds and asset managers on the use of NLP-driven analytics in finance.
He holds a PhD in Quantitative Finance from the University of Paris Dauphine-PSL along with a Master’s degree in Mathematical Finance. Anmar has written articles in portfolio selection and machine learning that were presented in multiple conferences. His article about asset pricing won the Best Doctoral Paper of the Multinational Finance Society. He is also a part-time Associate Professor at the University of Paris-Est where he heads the MSc in Portfolio Management.
Quantitative Analyst, Bank of America Merrill Lynch
Elias Daboussi: Quantitative Analyst, Bank of America Merrill Lynch
Elias Daboussi is a quantitative analyst at Bank of America since 2016. After graduating from University Paris-Diderot and Supelec in 2014, he has specialized in the Rates and Hybrids area, first in the Model Risk Management Group, and now as part of the Quantitative Strategies Group.
Senior Quantitative Analyst, Market & Counterparty Risk, BNP Paribas
Behnaz Zargar: Senior Quantitative Analyst, Market & Counterparty Risk, BNP Paribas
Behnaz Zargari is a Quant Risk in BNP Paribas. She has been working in the banking industry for ten years, mainly on counterparty risk computation for OTC products and listed derivatives (including Wrong-Way Risk modelling, Initial Margin computation, pricing of exotic derivatives) as well as market risk modelling (including volatility models for VaR computation, correlation models for IRC, CRM and DRC).
Her research contributions are around the modelling of “information” in financial markets (via the theory of the enlargement of filtrations), and the modelling of “dependence” for credit derivatives (via the notion of Markov chain copula).
Behnaz holds a B.Sc. and an M.Sc. in mathematics from Sharif University of Technology (Iran), and a Ph.D. in mathematics from University of Evry (France).
Full Professor, Ecole des Ponts ParisTech
Julien Guyon: Full Professor, Ecole des Ponts ParisTech
Julien is a former 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.
Founder & CEO, Riskfuel
Ryan Ferguson: Founder & CEO, Riskfuel
Ryan is Founder and CEO at Riskfuel, a capital markets focused startup that is developing ultra-fast AI-based valuation technologies.Previously, Ryan was Managing Director and Head of Securitization, Credit Derivatives and XVA at Scotiabank. Prior roles have included credit correlation trading and managing the equity derivatives trading desk. Ryan began his career with positions in risk management and financial engineering. Ryan has a PhD in Physics from Imperial College, and a BASc and MASc in Electrical Engineering from the University of Waterloo.
Managing Director and Head of Quantitative Research, Alexandria Technology
Christopher Kantos: Managing Director and Head of Quantitative Research, Alexandria Technology
Mr. Christopher Kantos is a Managing Director and Head of Quantitative Research at Alexandria Technology. In this role, he focuses on maintaining and growing new business in EMEA, and exploring ways in which natural language processing and machine learning can be applied in the financial domain. Prior, he spent 15 years working in financial risk at Northfield Information Services as a Director and Senior Equity Risk Analyst. Mr. Kantos earned a BS in computer engineering from Tufts University.
Head of Internal Model Market Risk, Intesa Sanpaolo
Marco Bianchetti: Head of Internal Model Market Risk, Intesa Sanpaolo
Marco Bianchetti joined the Market Risk Management area of Intesa Marco joined the Financial and Market Risk Management area of Intesa Sanpaolo in 2008. His work covers pricing and risk management of financial instruments across all asset classes, with a focus on new products development, model validation, model risk management, interest rate modelling, funding and counterparty risk, fair and prudent valuation, applications of Quasi Monte Carlo in finance. He is in charge of the global Fair Value Policy of Intesa Sanpaolo group since Nov. 2015. Previously he worked for 8 years in the front office Financial Engineering area of Banca Caboto (now Banca IMI), developing pricing models and applications for interest rate and inflation trading desks. He is adjunct professor of Interest Rate Models at University of Bologna since 2015, and a frequent speaker at international conferences and trainings in quantitative finance. He holds a M.Sc. in theoretical nuclear physics and a Ph.D. in theoretical condensed matter physics.
Advisory Partner focusing on LIBOR, ESG, Climate Risk & TCFD, HSBC
Navin Rauniar: Advisory Partner focusing on LIBOR, ESG, Climate Risk & TCFD, HSBC
Navin is a Risk Director with 17 years’ experience in advising the sell side on the delivery of prudential regulation such as IBOR Transition, FRTB, IRRBB, Basel III, CRR 2 and CRD V. Navin is currently leading the IBOR workstream for a Tier One bank.
Prior to this, he worked as a Senior Manager at a leading global advisory firm, where he led the analysis of the impact of the IBOR Transition on financial institutions. Additionally, Navin has spent 15 years in the industry working in global run-the-bank and change-the-bank roles for Credit Suisse, RBS, Commerzbank and JP Morgan across Front Office, Risk and Operations.
Navin is a steering committee member of the Professional Risk Managers Association where he represents the Risk Management industry on regulatory initiatives, mentoring of capital markets professionals, and a frequent speaker at banking & thought leadership events.
Co – Founder, TurnLeaf Analytics | Lecturer in AI, University of Oxford
Alexander Denev: Co – Founder, TurnLeaf Analytics | Lecturer in AI, University of Oxford
Alexander has more than 15 years of experience in finance, financial modelling and machine learning and was previously Head of AI – Financial Services Advisory in Deloitte. Prior to joining Deloitte, he led the Quantitative Research & Advanced Analytics at IHS Markit where he created and maintained a center of excellence.
He has written several papers and two books on topics ranging from stress testing and scenario analysis to asset allocation. He has provided thought leadership engagements for conferences, journals and global forums. He also worked as a senior advisor to Risk Dynamics, an arm of McKinsey & Company. Previously he was Director of Risk Models at the Royal Bank of Scotland, where his responsibilities included development of the stress testing methodologies and credit models, and a Fixed Income Structurer for a front office desk. He has also held roles at the European Investment Bank and the European Investment Fund and has participated in the engineering of both the European Financial Stability Facility and the European Stability Mechanism.
Alexander Denev attained his Master of Science degree in Physics with a focus on Artificial Intelligence from the University of Rome, Italy, and he holds a degree in Mathematical Finance from the University of Oxford, UK, where he continues as a visiting lecturer.
Traded Risk Measurement, PRA, Bank of England
Fabrizio Anfuso: Traded Risk Measurement, PRA, Bank of England
Fabrizio is a leading expert in developing complex risk analytics, quantitative modelling and financial regulations. He has an extensive track-record of heading quant teams onshore and offshore, as well as of taking part in firm-wide programs, such as IMM, BCBS-IOSCO Margin Requirements and IBOR transition.
In his present and previous roles, Fabrizio has gained a comprehensive knowledge of the full model development cycle, including the model design, the validation of model performance, the IT implementation and the attainment of regulatory compliance.
His main areas of expertise are Counterparty credit risk, Monte Carlo simulations, Internal Models for the trading book (IMM and IMA), derivatives pricing, CCPs & collateral modelling, Initial Margin methodologies and regulatory capital.
Fabrizio is chairing the master’s course in Counterparty Credit Risk of the ETH / University of Zurich and taught a number of advanced professional trainings in topics such as CCR, capital management and Initial Margin methodologies.
As part of his academic activities, he has authored numerous research articles in the fields of quantitative finance and condensed matter physics. Fabrizio holds a Ph.D. in Theoretical Physics from the Chalmers University of Technology (Gothenburg, Sweden).
Vice President, Morgan Stanley
Harsh Prasad: Vice President, Morgan Stanley
Harsh currently works with Morgan Stanley in Quant Analytics Group. He started his career as a programmer focussed on developing data driven algos in the areas of speech recognition, image processing and bioinformatics. He then moved to financial risk management and over the last 12 years has worked in various roles through the life cycle of models. In these roles, he has been continuously enthusiastic to applying machine learning in problems related to behavioural assumptions, data quality, recommender systems, model benchmarking and text analytics. His current role requires him reviewing all Machine Learning models used by the firm and providing direction to shaping AIML governance framework and strategy. He is also a visiting lecturer with universities and training institutions.
Vice President, Quantitative Analyst, Citibank
Parviz Rakhmonov: Vice President, Quantitative Analyst, Citibank
XVA and Capital Quantitative Analyst, UBS
Gordon Lee: XVA and Capital Quantitative Analyst, UBS
XVA and Credit Derivative Quant, Daiwa Capital Markets
Assad Bouayoun: XVA and Credit Derivative Quant, Daiwa Capital Markets
Assad Bouayoun is a senior XVA Quantitative Analyst with more than 15 years’ experience in leading banks. He has designed industry standard hedging and pricing systems, first in equity derivative at Commerzbank, then in credit derivatives at Credit Agricole, in XVA at Lloyds in Model Validation at RBS in Model Development. Assad has an extensive experience in developing enterprise wide analytics to improve the financial management of derivative portfolios, in particular large scale hybrid Monte-Carlo and Exposure computation. Assad is currently building the prototype of a new XVA platform integrating cutting-edge technologies (GPU, Cloud computing) and numerical methods (AAD) to enable fast and accurate XVA and sensitivities computation. He holds a MSc in Mathematical Trading and Finance from CASS business school and a Master in Applied Mathematics and Computer Science from Université de Technologie de Compiegne (France).
Head of Valuation Model Risk, BNP Paribas
Sebastian Cassel: Head of Valuation Model Risk, BNP Paribas
Sebastian Cassel leads the Valuation Model Risk team at BNP Paribas covering model validation for trading book valuations including xVA. Previously, he worked in the Quantitative Research Centre at Royal Bank of Scotland Group developing market & counterparty risk models. Sebastian holds a D.Phil. in theoretical physics from Oxford University and M.Sci. from Cambridge University.
Independent financial mathematics and analytics consultant. OTC Analytics
Peter Jaeckel: Independent financial mathematics and analytics consultant. OTC Analytics
Peter Jäckel received his DPhil from Oxford University in 1995. In 1997, he moved into quantitative analysis and financial modelling when he joined Nikko Securities. Following that he worked as a quantitative analyst at NatWest, Commerzbank Securities, ABN AMRO, and now VTB Capital where he is the Deputy Head of Quantitative Research. Peter is the author of “Monte Carlo Methods in Finance” published by John Wiley & Sons. Some of his publications can be found at WWW.JAECKEL.ORG.
Head of Research and Development: MoCaX Intelligence
Mariano Zeron: Head of Research and Development: MoCaX Intelligence
Mariano leads our Research & Development work. He has vast experience in Chebyshev Spectral Decomposition, machine-learning and related disciplines, and their application to quantitative problems in the financial markets. Mariano holds a Ph.D. in Mathematics from Cambridge University.
Quantitative Research Solutions, Bloomberg, LP
Arun Verma: Quantitative Research Solutions, Bloomberg, LP
Dr. Arun Verma joined the Bloomberg Quantitative Research group in 2003. Prior to that, he earned his Ph.D from Cornell University in the areas of computer science & applied mathematics. At Bloomberg, Mr. Verma’s work initially focused on Stochastic Volatility Models for Derivatives & Exotics pricing and hedging. More recently, he has enjoyed working at the intersection of diverse areas such as data science (for structured & unstructured data), innovative quantitative & machine learning methods and finally interactive visualizations to help reveal embedded signals in financial data.
Jorge Miguel Vegas:
Senior Expert in Risk Analytics office, Market and Financial Risk Management, Intesa Sanpaolo
Jorge Miguel Vegas: Senior Expert in Risk Analytics office, Market and Financial Risk Management, Intesa Sanpaolo
Jorge holds and MSc in Finance from CUNEF (Madrid) and a MSc in Computer Science from the University of the Basque Country. He has 10 years’ experience in risk management, having worked as consultant for tier1 financial institutions in Spain & Italy aiding them at strengthening their market and counterparty risk measurement frameworks. In 2020 he joined UBI Banca as Market Risk Analyst and, as a result of the acquisition of UBI, he is now Senior Expert in the Risk Analytics team of Intesa Sanpaolo, where he follows a wide variety of risk-related topics in the financial and market risk area.
Jorge is a certified Financial Risk Manager (FRM®) by GARP and holds a Certificate in Quantitative Finance by the CQF Institute.
CEO, QuantZ / QMIT
Milind Sharma: CEO, QuantZ / QMIT
Milind Sharma’s 25+ years of market experience span running prop desks at RBC & Deutsche Bank (Saba unit) as well as hedge funds (QuantZ) & mutual funds (MLIM) not to mention his fintech venture QMIT. His funds have won many awards over the years including those from Morningstar, Lipper, WSJ, Battle of the Quants & BattleFin. He was also a co-founder of Quant Strategies at MLIM (now BlackRock) & Manager of the Risk Analytics and Research Group at Ernst & Young where he was co-architect of Raven TM.
His publications have appeared in the Journal of Investment Management, Risk, Elsevier, World Scientific, Wiley etc. His educational background includes Oxford, Vassar, Carnegie Mellon & Wharton. He has also guest-lectured and/ or taught Capstone courses at Columbia, Carnegie Mellon, NYU, UCLA, UCSD etc. He is founder & President of the quant society <QWAFAxNEW>.
Robert Dargavel Smith:
Lead Data Scientist, Clarity AI
Robert Dargavel Smith: Lead Data Scientist, Clarity AI
“Robert Smith is a Lead Data Scientist at Clarity AI. Previously he was Head of Data Science at IHS Markit (now part of S&P Global). He has worked in capital markets for over 25 years in Banco Santander and ABN Amro, holding various positions from Head of CVA Desk to Global Head of Quantitative Analysis.”
Quantitative Analyst – Market Risk Modelling, ABN AMRO Bank N.V.
Aurelio Romero-Bermudez: Quantitative Analyst – Market Risk Modelling, ABN AMRO Bank N.V.
Analyst in the IMM group with research interests spanning from perturbative and semi-analytic approaches to risk analysis to the application of Deep Learning and adjoint differentiation in risk management. Over 8 years research experience in Theory of Condensed Matter and Quantum Gravity with a PhD in Theoretical Physics from the University of Cambridge.